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Detrending and Business Cycle Facts
Canova, Fabio - C.E.P.R. Discussion Papers - 1993
of detrending methods. It is shown: (i) that both quantitatively and qualitatively `stylized facts' of US business cycles … vary widely across detrending methods; (ii) that alternative detrending filters extract different types of information from …
Persistent link: https://www.econbiz.de/10005792392
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Measuring and Modelling Variation in the Risk-Return Trade-off
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
Are excess stock market returns predictable over time and, if so, at what horizons and with which economic indicators? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk change over time? This chapter reviews what is known...
Persistent link: https://www.econbiz.de/10005498159
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Expectations, Liquidity, and Short-term Trading
Cespa, Giovanni; Vives, Xavier - C.E.P.R. Discussion Papers - 2011
In a market with short term agents and heterogeneous information, when liquidity trading displays persistence, prices … expectations inasset pricing. We show that with persistence HFT can enhance informational efficiency and liquidity -- though …
Persistent link: https://www.econbiz.de/10008873331
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Liquidity Risk and Expected Stock Returns
Pástor, Luboš; Stambaugh, Robert F. - C.E.P.R. Discussion Papers - 2002
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of...
Persistent link: https://www.econbiz.de/10005792272
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Product-Based Cultural Change: Is the Village Global?
Maystre, Nicolas; Olivier, Jacques; Thoenig, Mathias; … - C.E.P.R. Discussion Papers - 2009
This paper makes three contributions to the growing literature on culture and economics. Using answers to the World Values Survey for a sample of 79 countries over the 1989-2004 period, we first provide evidence of cultural homogenization between countries. Second, we provide a model of...
Persistent link: https://www.econbiz.de/10005082538
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Endogenous Growth and Stochastic Trends
Fatás, Antonio - C.E.P.R. Discussion Papers - 1996
This paper shows that there exists a strong positive correlation between long-term growth rates and the persistence of … output fluctuations in a cross section of countries. We argue that the traditional explanation of persistence, a real …, output fluctuations are persistent and the degree of persistence is an increasing function of long-term growth rates. Growth …
Persistent link: https://www.econbiz.de/10005124049
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Performance and Characteristics of Swedish Mutual Funds 1993-97
Dahlquist, Magnus; Engström, Stefan; Söderlind, Paul - C.E.P.R. Discussion Papers - 1999
The performance, and its characteristics, of Swedish-based equity and bond mutual funds are studied in detail. Accounting for survivorship biases, regular equity funds have a slight overperformance, equity funds with certain tax advantages have a negative performance (before tax), and bond funds...
Persistent link: https://www.econbiz.de/10005136548
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A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002
Kandel, Shmuel; Zilca, Shlomo - C.E.P.R. Discussion Papers - 2004
asset prices, such as short-term persistence and volatility clustering of unconditional returns. …
Persistent link: https://www.econbiz.de/10005067377
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Noisy Financial Signals and Persistent Effects of Nominal Shocks in Open Economies
Andersen, Torben M; Beier, Niels C - C.E.P.R. Discussion Papers - 2000
Floating exchange rates display substantial short-run volatility causing a nontrivial information problem in disentangling temporary from permanent changes. Although agents observe current market signals they are imperfectly informed about the future, but they accumulate information and learn...
Persistent link: https://www.econbiz.de/10005067427
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The Poor Stay Poor: Non-Convergence Across Countries and Regions
Canova, Fabio; Marcet, Albert - C.E.P.R. Discussion Papers - 1995
We study the issue of income convergence across countries and regions with a Bayesian model which allows us to use information in an efficient and flexible way. We argue that the very slow convergence rates to a common level of per-capita income found, for example, by Barro and Sala-i-Martin, is...
Persistent link: https://www.econbiz.de/10005067447