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ECONIS (ZBW)
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1
Relative Returns on Equities in Pacific Basin Countries
Engel, Charles
-
1994
We examine the factors that determine the differences in ex ante returns on equities in eleven Pacific Basin countries. Our concern is whether real return differentials are primarily caused by nominal return differentials or expected changes in real exchange rates. We find that nominal return...
Persistent link: https://www.econbiz.de/10012474281
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2
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
Bekaert, Geert
-
1991
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied...
Persistent link: https://www.econbiz.de/10012475210
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3
Anomalies Abroad : Beyond Data Mining
Lu, Xiaomeng
-
2017
A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in
Canada
, France …, 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/10012453902
Saved in:
4
Information, Trading and Stock Returns : Lessons from Dually-Listed Securities
Chan, K.C.
-
1994
This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable...
Persistent link: https://www.econbiz.de/10012474182
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5
Were Trade and Factor Mobility Substitutes in History?
Collins, William J.
-
1997
Trade theorists have come to understand that their theory is ambiguous on the question: Are trade and factor flows substitutes? While this sounds like an open invitation for empirical research, hardly any serious econometric work has appeared in the literature. This paper uses history to fill...
Persistent link: https://www.econbiz.de/10012472755
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6
The Changing Role of Government in Financing Health Care : An International Perspective
Stabile, Mark
-
2013
This paper explores the changing role of government involvement in health care financing policy outside the United States. It provides a review of the economics literature in this area to understand the implications of recent policy changes on efficiency, costs and quality. Our review reveals...
Persistent link: https://www.econbiz.de/10012459221
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7
The Rate of Return on Everything, 1870–2015
Jordà, Òscar
-
2017
This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...
Persistent link: https://www.econbiz.de/10012453601
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8
Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns
Ahn, Dong-Hyun
-
1999
This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...
Persistent link: https://www.econbiz.de/10012471575
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9
The Mysterious Growing Value of S&P 500 Membership
Morck, Randall
-
2001
The efficient markets hypothesis implies that passive indexing should generate as high a return as active fund management. Indexing has been a very successful strategy. We document a large value premium in the average q ratios of firms in the S&P 500 index relative to the q ratios of other...
Persistent link: https://www.econbiz.de/10012470061
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10
Measuring Risk Aversion From Excess Returns on a Stock Index
Chou, Ray
-
1991
We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with the relative share of stocks in the risky wealth...
Persistent link: https://www.econbiz.de/10012475371
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