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Duffie, Darrell; Gârleanu, Nicolae; Pedersen, Lasse Heje - 2004

bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are …

Persistent link: https://www.econbiz.de/10005846988

Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

Persistent link: https://www.econbiz.de/10005857785

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

Nomen est Omen : How Company Names Influence Short- and Long-Run Stock Market Performance

Pensa, Pascal - Wirtschaftswissenschaftliches Zentrum <Basel> - 2006

I use a survey methodology to obtain consensus ratings of 64 Swiss company names. The survey evidence suggests that simple cognitive company name characteristics do affect the buy and sell decision of respondents. Furthermore, I find that respondents attribute positive stock performance rather...

Persistent link: https://www.econbiz.de/10005862886

Performance of Initial Public Offerings : The Evidence for Switzerland

Drobetz, Wolfgang; Kammermann, Matthias; Wälchli, Urs - Wirtschaftswissenschaftliches Zentrum <Basel>

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signallinghypothesis and, to some extent, the market cyclicality hypothesis...

Persistent link: https://www.econbiz.de/10005863001

Long-run stock performance after intial public offerings and seasoned equity issues in the German capital market

Stehle, Richard; Erhardt, Olaf; Przyborowsky, René - Universität <Berlin, Humboldt-Universität> / … - 2000

We estimate the long-run stock performance after intial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolio and matching stocks). In addition we present the...

Persistent link: https://www.econbiz.de/10005863243

The reception of public signals in financial marketswhat if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

, the more timehas elapsed since the latest release of an inflation report, market volatility shouldincrease, the price …

Persistent link: https://www.econbiz.de/10005866483

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - European Central Bank - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...

Persistent link: https://www.econbiz.de/10005866585

Conditional Asset Pricing in Emerging Stock Markets

Drobetz, Wolfgang; Stürmer, Susanne; Zimmermann, Heinz - 2001

Stock returns in emerging markets are to some extent predictable onthe basis of proper instrument variables. We show that local informationis more important than global information to capture emergingstock market returns. This is an indication for at least partial segmentationof emerging stock...

Persistent link: https://www.econbiz.de/10005866748

Extended Dividend, Cash Flow and Residual Income ValuationModels - Accounting for Deviations from Ideal Conditions

Hess, Dieter; Homburg, Carsten; Lorenz, Michael; … - Universität <Köln> / Seminar für Allgemeine … - 2009

Standard equity valuation approaches (i.e., DDM, RIM, and DCF) are derivedunder the assumption of ideal conditions, such as infinite payoffs and cleansurplus accounting. Since these conditions are hardly ever met, we provideextensions of the standard approaches based on the fundamental principle...

Persistent link: https://www.econbiz.de/10005866810