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Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011888693
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
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Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011619632
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
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Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth,...
Persistent link: https://www.econbiz.de/10014388605
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Volatility forecasts for the RTS stock index : optionimplied volatility versus alternative methods
Caporale, Guglielmo Maria; Teterkina, Daria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …
Persistent link: https://www.econbiz.de/10011997328
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Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
We review the labor market implications of recent real-business-cycle models that successfully replicate the empirical equity premium. We document the fact that all models considered in this survey with the exception of Boldrin, Christiano, and Fisher (2001) imply a negative correlation of...
Persistent link: https://www.econbiz.de/10009011127
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10009786095
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Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy
Cafiso, Gianluca - 2015
Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...
Persistent link: https://www.econbiz.de/10010519950