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Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

Explaining Epps Effect When Bivariate Price Staleness Is Present

Zhu, Haibin; Liu, Zhi - 2022

realized covariation of semi-martingale. In this study, we establish a unified result for the limiting theory of the realized …. Moreover, we provide a new asymptotic theory for realized covariation by considering the bivariate price staleness processes … between assets. A Monte Carlo study verifies the proposed theory, and an analysis of real high-frequency data is proposed for …

Persistent link: https://www.econbiz.de/10013404859

Implementing the Fama-French Five-Factor Model for the German Stock Market

Dirkx, Philipp - 2018

We implement the Fama-French five-factor model for the German market using recent monthly data from 2002 to 2017. We construct the five factors associated with the market, size, value, profitability, and investment for the CDAX constituents and examine to which extent the five-factor model...

Persistent link: https://www.econbiz.de/10012906585

The stable long-run CAPM and the cross-section of expected returns

Kurz-Kim, Jeong-Ryeol - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10011431316

One-factor-Garch models for German stocks : estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010407100