Similar Search Results

The connection of stock markets between Germany and the USA : new evidence from a co-integration study

Eberts, Elke (contributor) - 2003

Persistent link: https://www.econbiz.de/10001774217

Size, value and liquidity : do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - 2010

Schwellenländern erklären. Sie fokussiert auf den polnischen Aktienmarkt, der bisher in diesem Forschungsbereich nicht berücksichtigt …, Unternehmensgröße und Buch-zu-Marktwert analysieren wir daher, inwiefern Liquidität bei der Preisbildung auf dem polnischen Aktienmarkt … Aktienmarkt relevant sind. Im Gegensatz zu den Erwartungen bezüglich des Einflusses des Liquiditätsfaktors finden wir keinen …

Persistent link: https://www.econbiz.de/10008660508

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas (contributor); … - 2006

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset...

Persistent link: https://www.econbiz.de/10003356943

International stock return predictability under model uncertainty

Schrimpf, Andreas (contributor) - 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/10003728591

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/10011444904

The impact of a stock market downturn on corporate financing activities in Germany

Meitner, Matthias (contributor); … - 2005

reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and …

Persistent link: https://www.econbiz.de/10003268547

Stale information, shocks and volatility

Gropp, Reint (contributor); Kadareija, Arjan (contributor) - 2007

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistance should increase, as the …

Persistent link: https://www.econbiz.de/10003435444

The behaviour of noise traders : empirical evidence on purchases of business magazines

Czarnitzki, Dirk; Stadtmann, Georg - 2000

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...

Persistent link: https://www.econbiz.de/10011445202

Return and volatility reactions to monthly announcements of business cycle forecasts : an event study based on high-frequency data

Entorf, Horst; Groß, Anne; Steiner, Christian - 2009

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

Persistent link: https://www.econbiz.de/10003814068

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter - 2001

differences of opinion is left, and hence volatility is decreased. …

Persistent link: https://www.econbiz.de/10011446937