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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
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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
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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
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Delta-neutral volatility trading with intra-day prices : an application to options on the DAX
Schmitt, Christian; Kaehler, Jürgen - 1996
This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …
Persistent link: https://www.econbiz.de/10011622744
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Delta-neutral volatility trading with intra-day prices : an application to options on the DAX
Schmitt, Christian; Kähler, Jürgen - 1996
Persistent link: https://www.econbiz.de/10013428096
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Eraslan, Sercan; Ali, Faek Menla - 2018
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …
Persistent link: https://www.econbiz.de/10011903691
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Comparing models for forecasting the yield curve
Matsumura, Marco Shinobu; Moreira, Ajax - 2015
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...
Persistent link: https://www.econbiz.de/10012053243
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013
substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …
Persistent link: https://www.econbiz.de/10010203684
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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