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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10011605091

Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System

Breig, Christoph; Elsas, Ralf - 2009

In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default risk, we construct a factor that measures the...

Persistent link: https://www.econbiz.de/10010427776

Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse

Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003

Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche … am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass … Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. …

Persistent link: https://www.econbiz.de/10010297296

Stock market volatility and learning

Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008

Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...

Persistent link: https://www.econbiz.de/10011604908

Learning from experience in the stock market

Nakov, Anton; Nuño, Galo - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10011605442

One-factor-Garch models for German stocks: Estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010435583

A multiple factor model for European stocks

Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000

We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly...

Persistent link: https://www.econbiz.de/10010316262

Common influences, spillover and integration in Chinese stock markets

Weber, Enzo; Zhang, Yanqun - 2008

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...

Persistent link: https://www.econbiz.de/10010263757

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

Persistent link: https://www.econbiz.de/10010274514

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