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Ex Post : The Investment Performance of Collectible Stamps

Dimson, Elroy - 2016

This paper uses stamp catalogue prices to investigate the returns on British collectible postage stamps over the period … 1900–2008. We find an annualized return on stamps of 7.0% in nominal terms, or 2.9% in real terms. These returns are higher … are impacted by movements in the equity market, but the systematic risk of stamps remains low. Stamps partially hedge …

Persistent link: https://www.econbiz.de/10013009195

A Double Machine Learning Approach to Estimate the Effects of Musical Practice on Student's Skills

Knaus, Michael - 2018

This study investigates the dose-response effects of making music on youth development. Identification is based on the conditional independence assumption and estimation is implemented using a recent double machine learning estimator. The study proposes solutions to two highly practically...

Persistent link: https://www.econbiz.de/10012918255

Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility

Hafner, Christian - 2018

The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme volatility. While it is difficult to assess an intrinsic value to a specific cryptocurrency, one can employ recently proposed bubble tests that rely on recursive applications of classical unit...

Persistent link: https://www.econbiz.de/10012929792

Volatility of price indices for heterogeneous goods

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

Persistent link: https://www.econbiz.de/10009540165

Econometric analysis of volatile art markets

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical...

Persistent link: https://www.econbiz.de/10009349110

Analysts' Accuracy Following Information Shocks : Evidence from the Art Market

Barnes, Spencer; Mendez, Brandon; Schrowang, Andrew - 2023

Analysts quantify price uncertainty through their estimates. This study utilizes the art market as an exogenous setting to explore how an increase in price uncertainty (e.g., the death of an artist) impacts the accuracy and precision of analysts' estimates. We find that in the year following an...

Persistent link: https://www.econbiz.de/10014255874

Does income equality of export IPO firms hurt their market returns in Korea? : using Fama-French 5 factor model

Liu, Yong-Shang; Kim, Jin-San; Kim, Sung-Hwan - In: Journal of international trade & commerce 17 (2021) 2, pp. 157-173

Persistent link: https://www.econbiz.de/10013188963

New Zealand long-term equity returns and their determinants

Ma, Rui; Marshall, Ben R.; Nguyen, Nhut; … - In: Pacific-Basin finance journal 85 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014575304

Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - 2009

We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10003864095

Inflation persistence

Fuhrer, Jeffrey C. - 2009

This paper examines the concept of inflation persistence in macroeconomic theory. It begins with a definition of persistence, emphasizing the difference between reduced]form and structural persistence. It then examines a number of empirical measures of reduced]form persistence, considering the...

Persistent link: https://www.econbiz.de/10003906727

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