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The Power Law and Dividend Yields
Lüders, Erik; Lüders-Amann, Inge; Schröder, Michael - 2004
the value of broad-based market indices and their dividends. We also show that this relationship is consistent with …
Persistent link: https://www.econbiz.de/10010297376
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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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Application of dividend discount model valuation at Macedonian Stock Exchange
Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 147-154
research is to examine if DDM models offer relevant and safe valuation of long-term securities at Macedonian Stock Exchange … use of DDM valuation models at MSE, to determine causes for differences between the intrinsic values and the stock market … prices and to determine basic parameters for implementation of valuation on Macedonian financial market. We find that DDM …
Persistent link: https://www.econbiz.de/10011298772
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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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Volatility and Kurtosis of daily stock returns at MSE
Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 209-221
Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian … Macedonian Stock Exchange (MSE). Obtaining information about the shape of distribution is an important step for models of pricing …
Persistent link: https://www.econbiz.de/10011456336
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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
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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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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
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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