Similar Search Results

Long run risk model and equity premium puzzle in Thailand

Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021

Persistent link: https://www.econbiz.de/10012582703

GMM weighting matrices incross-sectional asset pricing tests

Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020 - This version: November 4, 2020

Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...

Persistent link: https://www.econbiz.de/10012322408

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

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Capitalization of capital gains taxes : (In)attention and turn-of-the-year returns

Eichfelder, Sebastian; Lau, Mona - 2015 - Version: October 2015

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports....

Persistent link: https://www.econbiz.de/10011405098

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

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially … mutual funds, are momentum traders, whereas private households are contrarians. Contrarian trading by private households … momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …

Persistent link: https://www.econbiz.de/10010471006

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10013428350

Company takeovers & equity returns : the target size effect

Anderson, Don; Haynes, Andrea; Heaney, Richard A. - 1992

Persistent link: https://www.econbiz.de/10000881018

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

1
2
3
4
5
6
7
8
9
10
Next
Last