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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
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Higher-order beliefs among professional stock market forecasters: some first empirical tests
Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009
that the expected average of all forecasters' forecasts (the expected consensus forecast) influences an individual … forecaster's own forecast. This looks like herding. In our survey, forecasters do not herd for reputational reasons, however … our study, we conclude that our results indicate that the incorporation of the expected consensus forecast into individual …
Persistent link: https://www.econbiz.de/10005027063
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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
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Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries
Wölfle, Marco - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2007
This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many...
Persistent link: https://www.econbiz.de/10005097674
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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
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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
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Market efficiency in the emerging securitized real estate markets
Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...
Persistent link: https://www.econbiz.de/10008568592
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How efficient is the U.K. housing market?
Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to...
Persistent link: https://www.econbiz.de/10008568597
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Forecaster overconfidence and market survey performance
Deaves, Richard; Lei, Jin; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2015
realizations. Moderate filters based on forecast accuracy over short rolling windows are somewhat successful in improving …
Persistent link: https://www.econbiz.de/10011269118
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M&A and the tax benefits of debt-financing
Scheuering, Uwe - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2014
The deductibility of interest expenses from the corporate tax base creates an incentive for acquiring companies to finance a takeover with debt. In this paper, I investigate the impact of profit taxation on the financing decision in corporate acquisitions for the first time for a sample of...
Persistent link: https://www.econbiz.de/10010957629