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Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10009647230

Rescate y costos del riesgo financiero

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...

Persistent link: https://www.econbiz.de/10011110979

The Cost of Capital in Markets with Opaque Intermediaries and the Risk-Structure of Interest Rates

Mierzejewski, Fernando - 2009

The demand for cash balances of financial intermediaries that establish contractual liabilities with credit-sensitive customers is characterized. As stated by Merton, the success of the business activities of such firms crucially depends on their credit quality, and hence, they are obliged to...

Persistent link: https://www.econbiz.de/10013160192

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10009647399

Financial crisis in The Arcades Project of Walter Benjamin

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014

The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems...

Persistent link: https://www.econbiz.de/10011114306

Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India

Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

Persistent link: https://www.econbiz.de/10011113081

Systemic Liquidity Crisis with Dynamic Haircuts

Sever, Can - Volkswirtschaftliche Fakultät, … - 2014

In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and Gorton and Metrick (2010) reveal the evidence from...

Persistent link: https://www.econbiz.de/10011111629

Axiomatization of residual income and generation of financial securities

Ghiselli Ricci, Roberto; Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2009

profit and the investor's excess wealth, a well-specified theory of residual income is generated: one is the standard theory …, which historically traces back to Hamilton (1777) and Marshall (1890) and is a deep-rooted notion in economic theory …), the theory is enfolded in Keynes's (1936) notion of user cost and is naturally generated by an arbitrage-theory …

Persistent link: https://www.econbiz.de/10005619494

Force-majeure events and financial market’s behavior

Plastun, Alex; Plastun, Vyacheslav - Volkswirtschaftliche Fakultät, … - 2013

Efficient market hypothesis fails from time to time. There are many reasons why it happens. We will try to concentrate on one of them – force-majeure events – situations when something important happens unexpectedly. In this case market simply can’t absorb information in one moment. So for...

Persistent link: https://www.econbiz.de/10011108420

Gambling Preference and the New Year Effect of Assets with Lottery Features

Doran, James; Jiang, Danling; Peterson, David - Volkswirtschaftliche Fakultät, … - 2008

This paper examines whether investors exhibit a New Year's gambling preference and whether such preference impacts …

Persistent link: https://www.econbiz.de/10008636503

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