Narrow search
Showing 1 - 10 of 1,679
Cover Image
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
Cover Image
A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?
Schmidt, Robert; Leitner, Johannes - 2004
The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts...
Persistent link: https://www.econbiz.de/10010296526
Cover Image
Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Lüders, Erik; Schröder, Michael - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest … a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad … recent findings in behavioral finance. To compare these models we use the inflation adjusted MSCI total return indices of 5 …
Persistent link: https://www.econbiz.de/10010297345
Cover Image
Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Schröder, Michael; Lüders, Erik - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest … a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad … recent findings in behavioral finance. To compare these models we use the inflation adjusted MSCI total return indices of 5 …
Persistent link: https://www.econbiz.de/10010298005
Cover Image
Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10010298784
Cover Image
A simple agent-based financial market model: Direct interactions and comparisons of trading profits
Westerhoff, Frank - 2009
We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change...
Persistent link: https://www.econbiz.de/10010300807
Cover Image
Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices
Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003
The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also …
Persistent link: https://www.econbiz.de/10010305737
Cover Image
Zur Qualität professioneller Wechselkursprognosen
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010305747
Cover Image
Splitting Orders in Fragmented Markets
Menkveld, Bert - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10010324853
Cover Image
Modeling optimism and pessimism in the foreign exchange market
de Grauwe, Paul; Kaltwasser, Pablo Rovira - 2007
In this paper we model how the existence of different beliefs about the underlying fundamental value of a currency affects the dynamics of the exchange rate. We find that a divergence of beliefs creates the potential for waves of optimism and pessimism that alternate in an unpredictable way....
Persistent link: https://www.econbiz.de/10010273768