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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/10011444904
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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
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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
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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
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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/10003969878
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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
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse
Ziegler, Andreas (contributor) - 2003
Persistent link: https://www.econbiz.de/10001822524
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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/10003881575
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The impact of a stock market downturn on corporate financing activities in Germany
Meitner, Matthias (contributor);  … - 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/10003268547
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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