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Renewed Momentum in the German Housing Market : Boom or Bubble?
Chen, Xi - 2013
speculative bubbles in Germany over the sample period 1987Q3-2012Q4. Overall, we find that actual house prices are not … significantly disconnected from underlying economic fundamentals. Thus, there is no evidence of speculative house price bubbles in …
Persistent link: https://www.econbiz.de/10013079871
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Social Networks and Housing Markets
Bailey, Michael - 2016
We document that the recent house price experiences within an individual's social network affect her perceptions of the attractiveness of property investments, and through this channel have large effects on her housing market activity. Our data combine anonymized social network information from...
Persistent link: https://www.econbiz.de/10012988967
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Calendar Anomalies in the Ukrainian Stock Market
Caporale, Guglielmo Maria - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10012991942
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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10012981605
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Ben Cheikh, Nidhaleddine - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10012914946
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Oil Prices and Stock Markets : What Drives What in the Gulf Corporation Council Countries?
Arouri, Mohamed; Rault, Christophe - 2021
In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...
Persistent link: https://www.econbiz.de/10013316262
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10013094817
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
Persistent link: https://www.econbiz.de/10013315674
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Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - 2021
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...
Persistent link: https://www.econbiz.de/10013316234
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Leveraged Bubbles
Jorda, Oscar - 2015
What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 … countries over the past 140 years. History shows that not all bubbles are alike. Some have enormous costs for the economy, while … others blow over. We demonstrate that what makes some bubbles more dangerous than others is credit. When fueled by credit …
Persistent link: https://www.econbiz.de/10013014986