Narrow search
Showing 1 - 10 of 2,273
Cover Image
Consumption volatility, production volatility, spot rate volatility and the returns on treasury bills and bonds
Lauterbach, Beni - 1989
Persistent link: https://www.econbiz.de/10000769051
Cover Image
Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
Cover Image
Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
Cover Image
The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...
Persistent link: https://www.econbiz.de/10011899208
Cover Image
Is local bias a cross-border phenomenon? : evidence from individual investors’ international asset allocation
Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 2013
stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead … also determines their international investment decisions. Our results confirm the presence of a cross-border local bias … display a significantly lower foreign investment bias towards investment opportunities in that country and (ii) that this drop …
Persistent link: https://www.econbiz.de/10009740268
Cover Image
Gini decompositions and Gini elasticities : on measuring the importance of income sources and population subgroups for income inequality
Jurkatis, Simon; Strehl, Wolfgang - 2014
This paper points to flaws in Gini decompositions by income sources and population subgroups and to common pitfalls in the interpretation of decomposition results, focusing on methods within the framework of Rao (1969). We argue that within this framework Gini elasticities may provide the only...
Persistent link: https://www.econbiz.de/10010414242
Cover Image
A note on the calculation of firm-specific and skill-specific labor costs from firm-level data
Kaiser, Ulrich - 2000
Persistent link: https://www.econbiz.de/10013428309
Cover Image
Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition
Berger, Tino; Ochsner, Christian - 2022
The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force and international integration. We provide a state of the art estimate of the German output gap between 1995 and 2022 and present a nowcasting scheme that accurately predicts the...
Persistent link: https://www.econbiz.de/10013370512
Cover Image
Decomposing the cost of Kyoto : a global CGE analysis of multilateral policy impacts
Böhringer, Christoph - 2000
We decompose the economic implications of the Kyoto Protocol at the cross-country level, splitting the total economic impact for each region into contributions from its own emission abatement policy and those from other regions. Our analysis which is based on a large-scale computable general...
Persistent link: https://www.econbiz.de/10013428314
Cover Image
Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
declines with investors’ financial sophistication though, as proxied by financial wealth and equity home bias. Observing …
Persistent link: https://www.econbiz.de/10010471006