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Estimating Cross-Industry Cross-Country Models Using Benchmark Industry Characteristics
Ciccone, Antonio; Papaioannou, Elias - C.E.P.R. Discussion Papers - 2010
International industry data permits testing whether the industry-specific impact of cross-country differences in institutions or policies is consistent with economic theory. Empirical implementation requires specifying the industry characteristics that determine impact strength. Most of the...
Persistent link: https://www.econbiz.de/10008684683
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The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
Farmer, Roger E A; Nourry, Carine; Venditti, Alain - C.E.P.R. Discussion Papers - 2013
efficiently allocate risk. Our work demonstrates that financial markets, by their very nature, cannot be Pareto efficient, except …
Persistent link: https://www.econbiz.de/10011084682
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Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
This Paper uses restrictions implied by cointegration to identify the permanent and transitory elements (the ‘trend’ and ‘cycle’) of household asset wealth. Our empirical analysis yields answers to the following questions: 1. Is there a large transitory component in household net worth...
Persistent link: https://www.econbiz.de/10005792097
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Financial Integration and Systemic Risk
Fecht, Falko; Grüner, Hans Peter - C.E.P.R. Discussion Papers - 2005
efficient design of the interbank market that allows for a cross-regional risk sharing between banks. We also provide a measure …
Persistent link: https://www.econbiz.de/10005497717
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Adjustment to Target Capital, Finance and Growth
Ciccone, Antonio; Papaioannou, Elias - C.E.P.R. Discussion Papers - 2006
Does financial development result in capital being reallocated more rapidly to industries where it is most productive? We argue that if this was the case, financially developed countries should see faster growth in industries with investment opportunities due to global demand and productivity...
Persistent link: https://www.econbiz.de/10005504771
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Are Retail Traders Compensated for Providing Liquidity?
Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014
This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...
Persistent link: https://www.econbiz.de/10011096103
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Spot and Forward Volatility in Foreign Exchange
Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2010
This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward...
Persistent link: https://www.econbiz.de/10008553071
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Optimal Portfolio Allocation for Corporate Pension Funds
McCarthy, David; Miles, David K - C.E.P.R. Discussion Papers - 2007
We model the asset allocation decision of a defined benefit pension fund using a stochastic dynamic programming approach. Our model recognizes the fact that asset allocation decisions are made by trustees who are mandated to act in the best interests of beneficiaries - not by sponsoring...
Persistent link: https://www.econbiz.de/10005123770
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Liquidity Risk, Leverage and Long-Run IPO Returns
Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005
We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily … constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …
Persistent link: https://www.econbiz.de/10005124287
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Momentum and Turnover: Evidence from the German Stock Market
Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002
This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...
Persistent link: https://www.econbiz.de/10005136650