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Consuming dividends
Bräuer, Konstantin; Hackethal, Andreas; Hanspal, Tobin - 2020 - Current version: May 2020
This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...
Persistent link: https://www.econbiz.de/10012223798
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Why has the stock market risen so much since the US presidential election?
Blanchard, Olivier; Collins, Christopher G.; … - 2018
This paper looks at the evolution of U.S. stock prices from the time of the Presidential elections to the end of 2017 …. It concludes that a bit more than half of the increase in the aggregate U.S. stock prices from the presidential election … to the end of 2017 can be attributed to higher actual and expected dividends. A general improvement in economic activity …
Persistent link: https://www.econbiz.de/10011917436
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
prices and the log dividends. However, the empirical results also show that the cointegrating relationship has changed over …According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the … structural changes would provide a better empirical description of the Present Value model of U.S. stock prices. The methodology …
Persistent link: https://www.econbiz.de/10011745419
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How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010291779
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Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10010297705
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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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How does European Integration affect the European Stock Markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010300155
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Long-horizon consumption risk and the cross-section of returns: New tests and international evidence
Grammig, Joachim G.; Schrimpf, Andreas; Schuppli, Michael - 2009
This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted...
Persistent link: https://www.econbiz.de/10010302553
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The Determinants of Stock Returns in a Small Open Economy
Cauchie, Séverine; Hoesli, Martin; Isakov, Dusan - 2003
This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions.
Persistent link: https://www.econbiz.de/10005843578
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International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much …
Persistent link: https://www.econbiz.de/10009636533