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Correlation Dynamics in European Equity Markets

Kearney, Colm; Poti, Valerio - EconWPA - 2005

We examine correlation dynamics using daily data from 1993 to 2002 on the 5 largest eurozone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies,including estimation of the...

Persistent link: https://www.econbiz.de/10005413082

Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...

Persistent link: https://www.econbiz.de/10005413091

DATA MINING SOBRE EL BETA EN ESPAÑA

Rubio, Fernando - EconWPA - 2004

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...

Persistent link: https://www.econbiz.de/10005413097

Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets

Altay, Erdinc - EconWPA - 2003

of adjustment of small cap portfolio prices to common market-wide information is slower than large cap portfolio prices … and small cap portfolio prices are slower in reacting to bad news. …

Persistent link: https://www.econbiz.de/10005413132

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

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

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

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

INTANGIBLES Y VALORACION DE EMPRESAS: EVIDENCIA EMPIRICA

Rubio, Fernando - EconWPA - 2004

Existe un diferencial entre el valor de mercado del patrimonio y el valor contable. Este se relaciona a los activos intangibles. Un análisis de regresión, permite concluir que el retorno total al inversor, la rentabilidad sobre activos y las utilidades totales, en conjunto con alguna (todas...

Persistent link: https://www.econbiz.de/10005561659

CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA

Rubio, Fernando - EconWPA - 2004

EXTRACTO: El objetivo de esta investigación es contrastar las dos metodologías que han sido utilizadas normalmente para el cálculo de beta de mercado. Ellas son: la “tradicional” propuesta por Black, Jensen y Scholes (1972) y por Fama y MacBeth (1973); y la denominada “impar-par”...

Persistent link: https://www.econbiz.de/10005561663