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Consumption-based asset pricing with a reference level : new evidence from the cross-section of stock returns

Grammig, Joachim (contributor); … - 2006

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. The novelty is that we use a broad cross-section of test assets, which provides a level playing field for a comparison to...

Persistent link: https://www.econbiz.de/10003328088

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas (contributor); … - 2006

show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing … for time-varying parameters of the stochastic discount factor. A conditional CAPM with the term spread as a conditioning …

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

Asset pricing with a reference level of consumption : new evidence from the cross-section of stock returns

Grammig, Joachim (contributor); … - 2007 - Rev. version

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level....

Persistent link: https://www.econbiz.de/10003671149

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

Panel tests for unit roots in hours worked

Kappler, Marcus (contributor) - 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/10003314703

Words speak louder than actions : the impact of politics on economic performance

Osterloh, Steffen - 2010

In this paper, a new approach to disclose the impact of politics on economic growth is presented: we use data derived from content analysis of party manifestos as measures of party preferences. In a panel of 23 OECD countries, we detect a positive impact of party support for various...

Persistent link: https://www.econbiz.de/10008702176

The drivers of deregulation in the era of globalization

Heinemann, Friedrich (contributor) - 2006

This paper treats the question to what extent globalization trends restrict a countryspecific regulation policy in industrial countries. The empirical analysis makes use of recently collected regulation indicators for four policy fields: financial market, product markets, labour markets and...

Persistent link: https://www.econbiz.de/10003301116

A Bayesian approach to determine the impact of institutions on the unemployment rate

Sachs, Andreas - 2010

applying an instrumental variable estimation approach. -- Unemployment ; institutions ; labor and product markets ; model …

Persistent link: https://www.econbiz.de/10008652532

Exchange rate regimes and fiscal discipline in OECD countries

Heinemann, Friedrich - 1999

estimation for 20 OECD countries from 1970 onwards. The conclusion is that the exchange rate regime as such is not relevant for …

Persistent link: https://www.econbiz.de/10011442384

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