Similar Search Results

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

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

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

The threat of systemic risk in banking : evidence for Europe

Schüler, Martin (contributor) - 2002

Persistent link: https://www.econbiz.de/10001701678

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

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

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

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

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

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

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

Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas (contributor) - 2003

Persistent link: https://www.econbiz.de/10001822524

1
2
3
4
5
6
7
8
9
10
Next
Last