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

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 …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

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 … Bundesrepublik Deutschland die zeitliche Streuung von Aktienrenditen nur schlechter abbilden. Dagegen werden Portfolio-Renditen im …

Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the … conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a … choice of the conditional distribution has systematic effects on the parameter estimates of the volatility process. …

and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …