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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George; Viceira, Luis M. - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. …
Persistent link: https://www.econbiz.de/10005843149
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Market Belief, Trading Volume, Price Volatility, andLiquidity
Wang, Songtao - Swiss National Centre of Competence in Research North … - 2010
This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and … liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock …, it is shown in this paper that when market belief is more volatile,trading volume and liquidity decline while price …
Persistent link: https://www.econbiz.de/10009305076
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...
Persistent link: https://www.econbiz.de/10009305103
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Der Aktienmarktverbund zwischen Deutschland und den USA : Ergebnisse einer Kointegrationsstudie
Eberts, Elke - 2002
Das vorliegende Papier verfolgt, den empirischen Zusammenhang zwischen den realen Aktienmarktniveaus von Deutschland und den USA zur Aktienmarktprognose zu verwenden ...
Persistent link: https://www.econbiz.de/10005842119
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The Determinants of Stock Returns in a Small Open Economy
Cauchie, Séverine; Hoesli, Martin; Isakov, Dusan - 2003
This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions.
Persistent link: https://www.econbiz.de/10005843578
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Detecting Speculative Bubbles in Stock Prices : a New Approach and Some Evidence for the US
Siklos, Pierre L.; Bohl, Martin T. - 2001
A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)
Persistent link: https://www.econbiz.de/10005843733
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Survival of Noise Traders and the Implications for Asset Prices
Bucher, Mathias; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2005
investigate the two most prominent puzzles related to low-frequency stock prices: The conditional volatility of price returns, and … to approximate the conditional volatility, quantified with a GARCH(1,1) process, that is observed in empirical price data …
Persistent link: https://www.econbiz.de/10005858738
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Mutual Fund Flows and Extrapolative Investors’ Expectations : The German Case
Breuer, Wolfgang; Stotz, Olaf - RWTH <Aachen> / Lehrstuhl für … - 2007
In this paper the relation between aggregate mutual fund flows and stock market returns isanalysed with respect to three issues. First, we study the relation between fund flows andlong-term realized returns (past, current and future). Second, we find out that fund flows arenot driven by...
Persistent link: https://www.econbiz.de/10005858861
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The Cross-Section of German StockReturns: New Data and New Evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - Centre for Financial Research <Köln> - 2011
test the standard CAPM, the Fama-French three-factor model, and the Carhartfour-factor model. Our tests are based on a more …
Persistent link: https://www.econbiz.de/10009302626
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The Impact of Investor Sentiment on the German Stock Market
Finter, Philipp; Ruenzi, Stefan - Centre for Financial Research <Köln> - 2010
This paper investigates whether investor sentiment can explain stock returns on theGerman stock market. Based on a principal component analysis, we construct a senti-ment indicator that condenses information of several well-known sentiment proxies. Weshow that this indicator explains the return...
Persistent link: https://www.econbiz.de/10009302647