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Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10013428490

Performance forecasts in uncertain environments : examining the predictive power of the VRIO-framework

Powalla, Christian; Bresser, Rudi K. F. - 2010

effectiveness of a theory-based decision-making tool, the VRIO-Framework, in predicting the stock-market performance of different … companies. The VRIO's predictive power is compared to the predictions derived from Analyst Ratings that are a widespread and … practical usefulness of resource-based theory. …

Persistent link: https://www.econbiz.de/10008665447

Do financial market experts know their theory? : new evidence from survey data

Brückbauer, Frank - 2022 - This draft: April 2022

Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...

Persistent link: https://www.econbiz.de/10013175639

Do financial market experts know their theory? : new evidence from survey data

Brückbauer, Frank - 2020

Using a unique survey dataset, the author studies how financial market experts form their stock market expectations. He documents a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the...

Persistent link: https://www.econbiz.de/10012420532

Apparent bubbles and misspecified fundamentals

Smith, Gregor W. - 1987

Persistent link: https://www.econbiz.de/10003532777

On the volatility of cryptocurrencies

Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022

Persistent link: https://www.econbiz.de/10012938838

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Invariant distributions for monotone markov processes

Hopenhayn, Hugo A.; Prescott, Edward C. - 1987

Persistent link: https://www.econbiz.de/10003528450

Spatial multivariate regressions with panel data

Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016

We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the random effect model. This work extends the previous study...

Persistent link: https://www.econbiz.de/10012059270

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