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Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021

Persistent link: https://www.econbiz.de/10012614411

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

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

Why are asset returns predictable?

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

The economic effects of Brexit : evidence from the stock market

Breinlich, Holger; Leromain, Elsa; Novy, Dennis; … - 2018

Persistent link: https://www.econbiz.de/10011928024

Stock return regularities : evidence from the Israeli stock market

Lauterbach, Beni; Ungar, Meyer - 1991

Persistent link: https://www.econbiz.de/10000820329

Who trades on momentum?

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

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

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

Stock market volatility and learning

Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2011

Persistent link: https://www.econbiz.de/10009308272

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