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Liquidity and asset prices: how strong are the linkages?

Dreger, Christian; Wolters, Jürgen - 2009

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...

Persistent link: https://www.econbiz.de/10010291772

Price dividend models, expectations formation, and monetary policy

Valckx, Nico - 2003

This paper applies the Campbell-Shiller (1988) methodology to estimate a price dividend model with volatility and inflation risk, extending existing models in this field. The model fits the data well over the period 1979-2002 for the Euro Area, but less so for the U.S. The latter is interpreted...

Persistent link: https://www.econbiz.de/10010295476

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kim, Jeong-Ryeol - 2003

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...

Persistent link: https://www.econbiz.de/10010295749

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised … data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on …

Persistent link: https://www.econbiz.de/10010295798

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10010295909

The Power Law and Dividend Yields

Lüders, Erik; Lüders-Amann, Inge; Schröder, Michael - 2004

Recent research suggests that the power law is one of the most universal laws in nature and it also seems to work quite fine in economics and finance. In this paper we show that the power law explains extremely well the relationship between the value of broad-based market indices and their...

Persistent link: https://www.econbiz.de/10010297376

Surprises in scheduled releases: why do they move the bond market?

Hess, Dieter E. - 2000

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

Persistent link: https://www.econbiz.de/10010297725

A mean variance king? Creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter E. - 2001

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

Persistent link: https://www.econbiz.de/10010297797

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 … among the most prominent predictive variables, whereas valuation ratios perform rather poorly. Yet, predictability of market … of in-sample and out-of-sample predictability across different stock markets. Overall, these findings suggests that …

Persistent link: https://www.econbiz.de/10010298059

Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - 2009

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

Persistent link: https://www.econbiz.de/10010298727

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