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The day-of-the-week effect revisited: An alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10010292794

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard; de Raaij, Gabriela - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10010295725

Steht der deutsche Aktienmarkt unter politischem Einfluss?

Gottschalk, Katrin; Bohl, Martin T. - 2005

lassen. In Übereinstimmungen mit den für die USA verfügbaren Evidenzen ist auch für Deutschland von einem politisch …Die vorliegende Arbeit untersucht den Zusammenhang zwischen politischen Zyklen und Aktienrenditen in Deutschland …. Während sich die bis dato verfügbaren Studien über politisch bedingte Aktienmarktanomalien auf die USA konzentrieren …

Persistent link: https://www.econbiz.de/10010296346

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Schröder, Michael; Lüders, Erik - 2004

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …

Persistent link: https://www.econbiz.de/10010298005

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

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010298391

Fiscal policy, housing and stock prices

Afonso, António; Sousa, Ricardo M. - 2009

This paper investigates the link between fiscal policy shocks and movements in asset markets using a Fully Simultaneous System approach in a Bayesian framework. Building on the works of Blanchard and Perotti (2002), Leeper and Zha (2003), and Sims and Zha (1999, 2006), the empirical evidence for...

Persistent link: https://www.econbiz.de/10011605036

Are dividend taxes and tax imputation credits capitalized in share values?

Harris, Trevor S.; Hubbard, R. Glenn; Kemsley, Deen - 1998

The relation between personal taxes and firm value has fundamental implications for understanding why firms pay dividends and how taxes influence capital structure choices. Assessing personal tax valuation effects also influences tax policy debates regarding the integration of corporate and...

Persistent link: https://www.econbiz.de/10011608410

Contagion between European and US banks: Evidence from equity prices

Fricke, Daniel - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US banks. The fact that many regulators have no detailed data sets about interbank cross-exposures raises the necessity of finding market-based indicators in order to analyze the...

Persistent link: https://www.econbiz.de/10010274429

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

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