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Are self-employed really happier than employees? An approach modelling adaptation and anticipation effects to self-employment and general job changes
Hanglberger, Dominik; Merz, Joachim - 2011
, spezifizieren wir fixed-effects Regressionsmodelle, die auch Antizipation und Adaption der Arbeitszufriedenheit an Selbständigkeit … Antizipation und Adaption berücksichtigt werden. Werden auch Antizipation und Adaption an Arbeitsplatzwechsel im Allgemeinen … berücksichtigt, so reduziert sich der Effekt der Selbständigkeit auf die Arbeitszufriedenheit um 70%. In Modellen, die Antizipation …
Persistent link: https://www.econbiz.de/10010290515
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Quantifying the efficiency of the Xetra LOB market: Detailed recipe
Sperl, Miriam - 2008
Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains...
Persistent link: https://www.econbiz.de/10010298404
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Systematic Mispricing in European Equity Prices?
Berneburg, Marian - 2007
One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...
Persistent link: https://www.econbiz.de/10010269909
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Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.
Berg, Lennart - 2000
Using daily data for the Swedish stock market for almost the last two decades no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and eliminates to some...
Persistent link: https://www.econbiz.de/10010321733
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Simulating stock returns under switching regimes: A new test of market efficiency
Meenagh, David; Minford, Patrick; Peel, David - 2006
A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.
Persistent link: https://www.econbiz.de/10010322769
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The joint dynamics of liquidity, returns, and volatility across small and large firms
Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2005
This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find...
Persistent link: https://www.econbiz.de/10010283461
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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
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What's on their mind: do exchange rate forecasters stick to theoretical models?
Schröder, Michael; Dornau, Robert - 1999
Do financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this paper. In contrast to other studies we use expectations data instead of observable variables. Therefore we analyse the implicit structural models forecasters...
Persistent link: https://www.econbiz.de/10010297610
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Do Forecasters use Monetary Models? An Empirical Analysis of Exchange Rate Expectations
Schröder, Michael; Dornau, Robert - 2000
Do financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this apper. In contrast to other studies we use expectations instead of realised data. Therefore we analyse the implicit structural models forecasters have in...
Persistent link: https://www.econbiz.de/10010324025
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Individual Rationality and Learning: Welfare Expectations in East Germany Post-Reunification
Frijters, Paul; Haisken-DeNew, John P.; Shields, Michael A. - 2002
In this paper we test the Rational Expectations hypothesis using longitudinal data on expectations and realizations of individual welfare for East Germans in the years following reunification. German reunification was unexpected and delivered a large shock to the future prospects of the...
Persistent link: https://www.econbiz.de/10010262741