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The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations

Chulia-Soler, Helena (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003651504

Long-horizon consumption risk and the cross-section of returns : new tests and international evidence

Grammig, Joachim; Schrimpf, Andreas; Schuppli, Michael - 2009

This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted...

Persistent link: https://www.econbiz.de/10003857784

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

On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U … statistically and economically significant explanatory variables for volatility. Private information is more important than public …

Persistent link: https://www.econbiz.de/10011386466

Short-term volatility versus long-term growth : evidence in US macroeconomic time series

Sensier, Marianne (contributor); Dijk, Dick van (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001575240

Testing for volatility changes in US macroeconomic time series

Sensier, Marianne (contributor); Dijk, Dick van (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001836409

On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011

Persistent link: https://www.econbiz.de/10009126682

Getting the most out of macroeconomic information for predicting stock returns and volatility

Çakmaklı, Cem; Dijk, Dick van - 2010

Persistent link: https://www.econbiz.de/10008771807

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011 - This version: 4.1.2011

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This...

Persistent link: https://www.econbiz.de/10009236964