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The comovement of credit default swap, bond and stock markets: An empirical analysis

Norden, Lars; Weber, Martin - Center for Financial Studies - 2004

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period 2000-2002. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused...

Persistent link: https://www.econbiz.de/10010958637

The comovement of credit default swap, bond and stock markets: An empirical analysis

Norden, Lars; Weber, Martin - 2004

Persistent link: https://www.econbiz.de/10010298261

Does Binding of Feedback Influence Myopic Loss Aversion? An Experimental Analysis

Langer, Thomas; Weber, Martin - C.E.P.R. Discussion Papers - 2003

The feedback frequency and the length of commitment are two important features of investment alternatives in intertemporal decision-making. So far, empirical research has shown that a lower feedback frequency combined with a longer binding period decreases myopia and thereby increases the...

Persistent link: https://www.econbiz.de/10005789203

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002

This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the … previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded … more profitable among high-turnover stocks. In contrast to US evidence, this result is driven mainly by winners: high …

Persistent link: https://www.econbiz.de/10005136650

Overconfidence and Trading Volume

Glaser, Markus; Weber, Martin - Institute for Financial Research (SIFR) - 2005

Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors (number of trades, turnover). Approximately 3,000...

Persistent link: https://www.econbiz.de/10005190926

The comovement of credit default swap, bond and stock markets: an empirical analysis

Norden, Lars; Weber, Martin - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10005022444

Which Past Returns Affect Trading Volume?

Glaser, Markus; Weber, Martin - Institute for Financial Research (SIFR) - 2005

transactions, and the probability to trade stocks in a given month) and are thus able to confirm predictions of overconfidence … unable to give a correct estimate of their own past realized stock portfolio performance. The correlation between return …

Persistent link: https://www.econbiz.de/10005651567

Overconfidence and Trading Volume

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2003

Persistent link: https://www.econbiz.de/10005656212

The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis

Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2004

This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period 2000-02. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by...

Persistent link: https://www.econbiz.de/10005662219

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - In: Schmalenbach Business Review (sbr) 55 (2003) 2, pp. 108-135

This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the … previous three to twelve months and sell stocks with low returns over the same period) and turnover (number of shares traded … more profitable among high turnover stocks. In contrast to U.S. evidence, this result is mainly driven by winners: high …

Persistent link: https://www.econbiz.de/10005736937