period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …

structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and …

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …, but Telecom was defensive. The results give a valuable insight into the systematic risk levels in Poland and Germany …

default risk. We then compare results from asset pricing tests for the German and the U.S. stock markets. Since Germany is the … composition of corporate debt affects equity returns in Germany. Firms' default risk sensitivities are attenuated the more a firm …

pricing model (CAPM) to investigate whether direct real estate returns compensate for their risk levels. Based on a panel … real estate portfolio performance in the single-factor CAPM model is compared with the national housing markets stock … evaluated by the five-factor CAPM model, which includes the factors of liquidity risk, value risk, time risk, credit-rating risk …