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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
Altay, Erdinc - EconWPA - 2003
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
stochastic volatility model estimated via the efficient Monte Carlo likelihood technique. A comparison of the different models …
Persistent link: https://www.econbiz.de/10005076972
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A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
Goswami, Gautam; Shrikhande, Milind; Wu, Liuren - EconWPA - 2002
We study the behavior of real exchange rates in a two­country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...
Persistent link: https://www.econbiz.de/10005076998
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Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha; Bulla, Jan - EconWPA - 2005
estimated via the efficient Monte Carlo likelihood technique as well as two Markov switching models. A comparison of the … different models' ex-ante forecast performances indicates that the random walk process in connection with the Kalman filter is …, the Markov switching models yield a worse out-of-sample performance than standard OLS. …
Persistent link: https://www.econbiz.de/10005077020
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Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
LOS, CORNELIS A. - EconWPA - 2004
In an earlier paper (Los, 1998a), the exact and complete return attribution framework of Singer and Karnosky (1995) was extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting identities, the resulting degenerate portfolio choice...
Persistent link: https://www.econbiz.de/10005125061
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An Analysis of Hedge Fund Performance
Capocci, Daniel - EconWPA - 2002
hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined … with Fama & French (1998) Agarwal & Naik (2000) models and a new factor that take into account the fact that some hedge …
Persistent link: https://www.econbiz.de/10005134782
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Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments
LOS, CORNELIS A. - EconWPA - 2004
The open financial economic systems of six Asian countries Taiwan, Malaysia, Singapore, Philippines, Indonesia and Japan - over the period 1986 through 1995 are identified from empirical data to determine how their stock markets, economies and financial markets are interrelated. The objective is...
Persistent link: https://www.econbiz.de/10005134813
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International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
d'Addona, Stefano; Kind, Axel H. - EconWPA - 2005
In this paper we use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post- war economies...
Persistent link: https://www.econbiz.de/10005134844
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The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets
Hayo, Bernd; Kutan, Ali - EconWPA - 2002
This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on ….S. stock market returns Granger-cause Russian financial markets. Third, growth in oil prices has a positive effect on Russian …
Persistent link: https://www.econbiz.de/10005134897
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Beta Risk and Regime Shift in Market Volatility
Shami, Roland; Galagedera, Don U.A. - EconWPA - 2004
In this paper, we relate the returns in the thirty securities in the Dow Jones index to regime shifts in stock market volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities' returns in different volatility regimes. We test...
Persistent link: https://www.econbiz.de/10005134927