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Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised …

Persistent link: https://www.econbiz.de/10010295798

Tell-tale tails: A data driven approach to estimate unique market information shares

Grammig, Joachim G.; Peter, Franziska J. - 2010

informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely …, informational leadership becomes blurred. We show how fat tails and tail dependence of price changes, which emerge as a result of …

Persistent link: https://www.econbiz.de/10010302551

Politics and the Stock Market: Evidence from Germany

Pierdzioch, Christian; Döpke, Jörg - 2004

We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence …

Persistent link: https://www.econbiz.de/10010260493

Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913

Pierdzioch, Christian - 2004

I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over …

Persistent link: https://www.econbiz.de/10010260497

Correlation vs. causality in stock market comovement

Weber, Enzo - 2007

This paper seeks to disentangle the sources of correlations between high-, mid- and low-cap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components...

Persistent link: https://www.econbiz.de/10010263708

Estimating the Expected Cost of Equity Capital Using Consensus Forecasts

Gebhardt, Günther; Daske, Holger; Klein, Stefan - 2004

/Taylor/Shroff/Sougiannis (2002), our approach allows daily estimation, using only publicly available information at that date. We then estimate the …

Persistent link: https://www.econbiz.de/10010316291

Fractional cointegration of voting and non-voting shares

Dittmann, Ingolf - 1998

pairs of price series are fractionally cointegrated, which means that for each pair there is a linear combination of the two …

Persistent link: https://www.econbiz.de/10010316669

Underpricing and Index Excess Returns

Nippel, Peter; Pierdzioch, Christian; Schertler, Andrea - 2005

We study the link between underpricing of initial public offerings (IPOs) and index excess returns in secondary markets. We use a theoretical model to argue that underpricing of IPOs raises investors' attention and, thereby, triggers investments in secondary markets. Our theoretical model...

Persistent link: https://www.econbiz.de/10010260538

A Dynamic Integer Count Data Model for Financial Transaction Prices

Pohlmeier, Winfried; Liesenfeld, Roman - 2003

implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. …In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for … financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change …

Persistent link: https://www.econbiz.de/10010263413

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

Schmeling, Maik; Schrimpf, Andreas - 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/10010263733