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The smallest stocks are not just smaller : global evidence
Moor, Lieven de; Sercu, Piet - In: The European journal of finance 21 (2015) 1/3, pp. 51-70
Persistent link: https://www.econbiz.de/10010519976
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Gene Fama’s Impact : a quantitative analysis
Schwert, George William; Stulz, René M. - 2014
This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than …,792. Gene Fama has published highly-cited papers in six decades. His most impactful theoretical work took place earlier than his … most impactful empirical work. While Gene Fama's most impactful empirical asset pricing work was published in the Journal …
Persistent link: https://www.econbiz.de/10010483663
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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-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10010297345
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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-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10010298005
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Returns and Volatility of Eurozone Energy Stocks
Oberndorfer, Ulrich - 2008
This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as...
Persistent link: https://www.econbiz.de/10010298026
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EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry
Oberndorfer, Ulrich - 2008
This paper constitutes – to our best knowledge – the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes...
Persistent link: https://www.econbiz.de/10010298070
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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
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European Union enlargement and equity markets in accession countries
Dvorak, Tomas; Podpiera, Richard - 2005
The announcement of European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world...
Persistent link: https://www.econbiz.de/10011604598
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...
Persistent link: https://www.econbiz.de/10011604908
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On equilibrium prices in continuous time
Martins-da-Rocha, V. Filipe; Riedel, Frank - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Persistent link: https://www.econbiz.de/10010272583