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Margin Regulation and Volatility
Brumm, Johannes - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10013051665
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European Union enlargement and equity markets in accession countries
Dvorak, Tomas; Podpiera, Richard - 2005
The announcement of European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world...
Persistent link: https://www.econbiz.de/10011604598
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What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model
Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2006
We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that while the bulk of the variability of EU banks' stock...
Persistent link: https://www.econbiz.de/10011604723
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Hierarchical Markov normal mixture models with applications to financial asset returns
Geweke, John; Amisano, Gianni - 2007
With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...
Persistent link: https://www.econbiz.de/10011604877
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and …
Persistent link: https://www.econbiz.de/10011604908
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A value at risk analysis of cedit default swaps
Raunig, Burkhard; Scheicher, Martin - 2008
We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively traded firms over the period from March...
Persistent link: https://www.econbiz.de/10011605014
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The reception of public signals in financial markets - what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents’...
Persistent link: https://www.econbiz.de/10011605123
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Booms and busts in China's stock market: Estimates based on fundamentals
de Bondt, Gabe; Peltonen, Tuomas A.; Santabárbara, Daniel - 2010
This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated longrun stock price misalignments to date booms and busts, and analyses equity market reforms and excess...
Persistent link: https://www.econbiz.de/10011605236
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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
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Learning From Experience in the Stock Market
Nakov, Anton - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10013119137