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We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...
Persistent link: https://www.econbiz.de/10012915984
We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...
Persistent link: https://www.econbiz.de/10013311483
Bubbles in asset markets have been documented in numerous experimental studies. However, all experiments in which … bubbles occur pay dividends after each trading day. In this paper we study whether bubbles can occur in markets without … may have inside information, and (2) the option to communicate with other traders. We find that bubbles can indeed occur …
Persistent link: https://www.econbiz.de/10003592714
Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model …, dividend ratio model, yield curve and term structure, all of which are concepts used to analyse pricing and other behaviour in …
Persistent link: https://www.econbiz.de/10014337024
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dividend pay-out ratio tends to increase over time, indicating that dividend policies do matter in the KSE and that dividends …
Persistent link: https://www.econbiz.de/10012930391
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...
Persistent link: https://www.econbiz.de/10013003892
limited liability investors contribute to asset price bubbles by increasing liquidity provision and that caps fail to tame … bubbles. Overall, giving investors skin in the game fosters financial stability. …
Persistent link: https://www.econbiz.de/10010530580