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A simple model of a speculative housing market
Dieci, Roberto; Westerhoff, Frank - 2009
We develop a simple model of a speculative housing market in which the demand for houses is influenced by expectations about future housing prices. Guided by empirical evidence, agents rely on extrapolative and regressive forecasting rules to form their expectations. The relative importance of...
Persistent link: https://www.econbiz.de/10010300808
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Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019
study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …
Persistent link: https://www.econbiz.de/10012433234
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27
:01-2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the …
Persistent link: https://www.econbiz.de/10013201388
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to good news, but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …
Persistent link: https://www.econbiz.de/10010333621
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International Stock Return Predictability Under Model Uncertainty
Schrimpf, Andreas - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
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Further evidence on the (in-) efficiency of the U.S. housing market
Schindler, Felix - 2010
Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...
Persistent link: https://www.econbiz.de/10010299929
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Market efficiency in the emerging securitized real estate markets
Schindler, Felix - 2010
This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...
Persistent link: https://www.econbiz.de/10010300506
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How efficient is the U.K. housing market?
Schindler, Felix - 2010
Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to...
Persistent link: https://www.econbiz.de/10010300511
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Determinants of spreads on sovereign bank loans: The role of credit history
Benczúr, Péter; Ilut, Cosmin - 2006
This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...
Persistent link: https://www.econbiz.de/10010322423
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The Quest for Stability: The View of Financial Institutions
Blommestein, Hans J.; Hoogduin, Lex H.; Peeters, … - 2010
On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.
Persistent link: https://www.econbiz.de/10011689944