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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003985756
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Private information, human capital, and optimal “home bias” in financial markets
Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10009516904
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New moneys under the new normal? : bitcoin and gold interdependence during COVID times
Agnese, Pablo; Thoss, Jonathan - 2021
Bitcoin in particular and so-called cryptocurrencies in general have shaken up the financial world and seem to be …
Persistent link: https://www.econbiz.de/10012517614
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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...
Persistent link: https://www.econbiz.de/10011731909
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …
Persistent link: https://www.econbiz.de/10009535779
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How does the economic uncertainty affect asset prices under normal and financial distress times?
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022
By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....
Persistent link: https://www.econbiz.de/10013198932
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Higher-order beliefs and risky asset holdings
Gorodnichenko, Yuriy; Yin, Xiao - 2024
We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...
Persistent link: https://www.econbiz.de/10014580789
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Risk sharing within and outside the firm: the disparate effects of wrongful discharge laws on expected stock returns
Mahlstedt, Robert; Weber, Rüdiger - 2020
We study the effect of wrongful-discharge laws (WDL) on firm-level stock returns. We find disparate effects depending on the exact design of the law. Consistent with rational, risk-based pricing, the effect on returns seems to be linked to how firms share systematic risk with their employees...
Persistent link: https://www.econbiz.de/10012373128
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Stock market returns and consumption
Di Maggio, Marco; Kermani, Amir; Majlesi, Kaveh - 2018
This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume...
Persistent link: https://www.econbiz.de/10011803183
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Are starting wages reduced by an insurance premium for preventing wage decline? : testing the prediction of Harris and Holmstrom (1982)
Hartog, Joop; Raposo, Pedro - 2015
In the model of Harris and Holmstrom (1982) workers pay an insurance premium to prevent a wage decline. As employers are unable to assess the ability of a labour market entrant, they would offer a wage equal to expected productivity of the worker's category and adjust it with unfolding...
Persistent link: https://www.econbiz.de/10011407951