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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

Forecaster overconfidence and market survey performance

Deaves, Richard; Lei, Jin; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2015

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over...

Persistent link: https://www.econbiz.de/10011269118

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

Higher-order beliefs among professional stock market forecasters: some first empirical tests

Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

A sizeable literature reports that financial market analysts and forecasters herd for reputational reasons. Using new data from a large survey of professional forecasters' expectations about stock market movements, we find strong evidence that the expected average of all forecasters' forecasts...

Persistent link: https://www.econbiz.de/10005027063

Finding starting-values for maximum likelihood estimation of vector STAR models

Schleer, Frauke - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

This paper focuses on finding starting-values for maximum likelihood estimation of Vector STAR models. Based on a Monte Carlo exercise, different procedures are evaluated. Their performance is assessed w.r.t. model fit and computational effort. I employ i) grid search algorithms, and ii)...

Persistent link: https://www.econbiz.de/10010957614

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2012

We develop an agent-based model in which heterogenous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

Persistent link: https://www.econbiz.de/10010957621

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

Persistent link: https://www.econbiz.de/10010957716

On the Transition from Instantaneous to Time-Lagged Capital Accumilation: The Case of Leontief Type Production Functions

Winkler, Ralph; Brandt-Pollmann, Ulrich; Moslener, Ulf; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2005

We formulate an optimal control capital accumulation model with a Leontief-type production function and an exogenously given time-lag between investment and the accumulation of the capital stock, to analyze the qualitative and quantitative influence of time-lags on the system dynamics. As known...

Persistent link: https://www.econbiz.de/10005097483

Decomposing Integrated Assessment Climate Change

Böhringer, Christoph; Löschel, Andreas; Rutherford, … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2005

We present a decomposition approach for integrated assessment modeling of climate policy based on a linear approximation of the climate system. Our objective is to demonstrate the usefulness of decomposition for integrated assessment models posed in a complementarity format. First, the...

Persistent link: https://www.econbiz.de/10005097647

Sensitivity Analysis in Economic Simulations: A Systematic Approach

Hermeling, Claudia; Mennel, Tim - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008

Sensitivity analysis studies how the variation in the numerical output of a model can be quantitatively apportioned to different sources of variation in basic input parameters. Thus, it serves to examine the robustness of numerical results with respect to input parameters, which is a...

Persistent link: https://www.econbiz.de/10005097920