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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

Persistent link: https://www.econbiz.de/10010299076

The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

Persistent link: https://www.econbiz.de/10008533676

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Lüders, Erik; Schröder, Michael - 2004

-hoc specifications others are derived from a representative investor economy with HARA-utility and some are behavioral, i.e. are based on … representative investor model with HARA-utility. …

Persistent link: https://www.econbiz.de/10010297345

The Power Law and Dividend Yields

Lüders, Erik; Lüders-Amann, Inge; Schröder, Michael - 2004

declining relative risk aversion of the representative investor. Hence, the power law has a solid economic foundation. …

Persistent link: https://www.econbiz.de/10010297376

Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors

Schröder, Michael - 2000

home currency of the investor is of some importance for the results of the spanning tests. The outcomes for British, German … not only from the point of view of U.S. investors but to take explicitly into account the currency of the investor … result that a buy-and-hold investor could hardly benefit from such an investment. Only investors that have superior timing …

Persistent link: https://www.econbiz.de/10010297705

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Schröder, Michael; Lüders, Erik - 2004

-hoc specifications others are derived from a representative investor economy with HARA-utility and some are behavioral, i.e. are based on … from the representative investor model with HARA-utility. …

Persistent link: https://www.econbiz.de/10010298005

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 …

Persistent link: https://www.econbiz.de/10010298059

Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10010299179

Further evidence on the (in-) efficiency of the U.S. housing market

Schindler, Felix - 2010

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...

Persistent link: https://www.econbiz.de/10010299929

Market efficiency in the emerging securitized real estate markets

Schindler, Felix - 2010

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

Persistent link: https://www.econbiz.de/10010300506

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