Similar Search Results

Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2024

We devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in …' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer …-intermediated volume. Thus, the otherwise strong and positive relation between liquidity costs and trading volume effectively shrinks to …

Persistent link: https://www.econbiz.de/10014460793

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 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/10010298059

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

Long-run Consumption Risk and International Stock Returns : A Century of Evidence

Rangvid, Jesper - 2011

We estimate consumption based asset pricing models using consumption and equity market data for fifteen countries from 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption CAPM that prices international stock returns via their...

Persistent link: https://www.econbiz.de/10013134128

The FOMC risk shift

Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas - 2021 - This version: January 25, 2021

We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call "risk shifts", are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion's share of...

Persistent link: https://www.econbiz.de/10012424574

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Persistent link: https://www.econbiz.de/10013169023

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce; Schrimpf, Andreas; … - 2023

Persistent link: https://www.econbiz.de/10014292801

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

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

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

Grammig, Joachim; Schrimpf, Andreas - 2009 - This version: March 27, 2009

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/10009525974

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