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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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Behavioral learning equilibria
Hommes, Cars H.; Zhu, Mei - 2013
Persistent link: https://www.econbiz.de/10010191433
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Learning in cobweb experiments
Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan; … - 2003
measured by the variance is significantly larger than the amplitude under RE, implying persistent excess volatility. However …
Persistent link: https://www.econbiz.de/10011333266
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Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
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Bifurcation routes to volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - 2000
, with technical analysts conditioning their forecastingrule upon deviations from a benchmark fundamental. Volatility …
Persistent link: https://www.econbiz.de/10011313936
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Bifurcation routes to volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - 2000
Persistent link: https://www.econbiz.de/10001554484
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The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
Persistent link: https://www.econbiz.de/10001472890
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …
Persistent link: https://www.econbiz.de/10010224773
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More hedging instruments may destablize markets
Brock, William A.; Hommes, Cars H.; Wagener, Florian … - 2008
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...
Persistent link: https://www.econbiz.de/10011349702
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Simple market timing with moving averages
Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018
average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …
Persistent link: https://www.econbiz.de/10011848115