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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

Persistent link: https://www.econbiz.de/10008533676

GDP mimicking portfolios and the cross-section of stock returns

Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

-to-market portfolios and do reasonably well in explaining the returns of 10 momentum portfolios. The lagging components do a poor job at … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …

Persistent link: https://www.econbiz.de/10010957652

Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10008533681

Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors

Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10005097624

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Lüders, Erik; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004

This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...

Persistent link: https://www.econbiz.de/10005098117

The Power Law and Dividend Yields

Lüders, Erik; Lüders-Amann, Inge; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004

Recent research suggests that the power law is one of the most universal laws in nature and it also seems to work quite fine in economics and finance. In this paper we show that the power law explains extremely well the relationship between the value of broad-based market indices and their...

Persistent link: https://www.econbiz.de/10005098187

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10005098314

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Schröder, Michael; Lüders, Erik - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2004

Persistent link: https://www.econbiz.de/10005098374

International diversification benefits with foreign exchange investment styles

Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011

such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits … but we also show that international portfolios augmented by FX investment styles are superior in terms of second and third …

Persistent link: https://www.econbiz.de/10009003568

Further evidence on the (in-) efficiency of the U.S. housing market

Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...

Persistent link: https://www.econbiz.de/10008615599