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Market efficiency in the emerging securitized real estate markets
Schindler, Felix - 2010
process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests …
Persistent link: https://www.econbiz.de/10010300506
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Further evidence on the (in-) efficiency of the U.S. housing market
Schindler, Felix - 2010
obtain excess returns from both autocorrelation- and moving average-based trading strategies compared to a buy …
Persistent link: https://www.econbiz.de/10010299929
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The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study
Eberts, Elke - 2003
run. Thus, the estimation period shows that with increasing forecasting horizon predictability of simple real returns of …
Persistent link: https://www.econbiz.de/10010297288
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How efficient is the U.K. housing market?
Schindler, Felix - 2010
able to obtain excess returns from both autocorrelation- and moving average-based strategies compared to a buy …
Persistent link: https://www.econbiz.de/10010300511
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Panel Tests for Unit Roots in Hours Worked
Kappler, Marcus - 2006
Hours worked is a time series of interest in many empirical investigations of the macroeconomy. Estimates of macro elasticities of labour supply, for example, build on this variable. Other empirical applications investigate the response of hours worked to a shock to technology on the basis of...
Persistent link: https://www.econbiz.de/10010297530
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse
Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003
Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche … am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass … Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. …
Persistent link: https://www.econbiz.de/10010297296
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The Impact of a Stock Market Downturn on Corporate Financing Activities in Germany
Westerheide, Peter; Meitner, Matthias - 2005
The paper analyses the potential impact of stock market developments on lending behaviour from different perspectives. First we scrutinize the impact of stock market movements on the banks' and on the borrowers' balance sheets. Subsequently we estimate aggregate credit supply and demand...
Persistent link: https://www.econbiz.de/10010297504
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Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10010297705
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International Stock Return Predictability Under Model Uncertainty
Schrimpf, Andreas - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
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Size, value and liquidity: Do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - 2010
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...
Persistent link: https://www.econbiz.de/10010302590