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, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed …
Persistent link: https://www.econbiz.de/10012947659
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012763174
panel dataset of firms that are publicly traded in France, Germany, and Italy. Controlling for either permanent unobserved …&D in France and Germany is remarkably similar both to each other and to that in the US or the UK during the same period In …
Persistent link: https://www.econbiz.de/10013311906
Behavioral finance tries to make sense of financial data using models that are based on psychologically accurate assumptions about people's beliefs, preferences, and cognitive limits. I review behavioral finance approaches to understanding asset prices and trading volume, with particular...
Persistent link: https://www.econbiz.de/10012916604
We investigate the relationship between media sentiment and international equity prices using a new dataset of 4 million news articles published between 1991 and 2015. Three key results emerge. First, news sentiment robustly predicts (future) daily returns around the world. However, we find a...
Persistent link: https://www.econbiz.de/10012906764
This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure...
Persistent link: https://www.econbiz.de/10013223885
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10013225971
This paper uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past 25 years. The analysis investigates whether variation in the stochastic behavior of output and inflation can explain movements in the rate of interest. Our results reveal that...
Persistent link: https://www.econbiz.de/10013227862
Asset prices and the equity premium might reflect doubts and pessimism. Introducing these features in an otherwise standard New-Keynesian model changes in a quite substantial way the nature of the policy that maximizes the welfare of the consumers in the model. First, following productivity...
Persistent link: https://www.econbiz.de/10013137729
This paper shows that the stock market downturns of 2000-2002 and 2007-09 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to corporate profits by rational investors, while the late 2000's saw a decrease in rational expectations of future...
Persistent link: https://www.econbiz.de/10013139890