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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

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

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

Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?

Manganelli, Simone; Wolswijk, Guido - 2007

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...

Persistent link: https://www.econbiz.de/10011604791

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

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

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

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

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

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