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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
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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
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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
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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
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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
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The Stable Long-Run CAPM and the Cross-Section of Expected Returns
Kim, Jeong-Ryeol - 2016
The capital-asset-pricing model (CAPM) is one of the most popular methods ofDas Capital-Asset-Pricing-Modell (CAPM) ist …
Persistent link: https://www.econbiz.de/10012991283
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The German sub-national government bond market: evolution, yields and liquidity
Schulz, Alexander; Wolff, Guntram B. - 2008
The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...
Persistent link: https://www.econbiz.de/10010295878
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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...
Persistent link: https://www.econbiz.de/10011483067
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IPOs as an Exit Strategy for Financial Investors in German IPO Market
Herberger, Tim Alexander - 2014
Succesful Initital Public Offerings of Venture Capital Investments are a major requirement of an efficient Private Equity Market in a well-oiled national economy. IPO as an adequate way of an investment exit is one of the most important alternatives for leaving an investment to reinvest in new...
Persistent link: https://www.econbiz.de/10013064947
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From Hero to Zero : Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks
Bohl, Martin T. - 2014
Stocks of German renewable energy companies have commonly been regarded as lucrative investment opportunities. Their innovative line of business initially seemed to promise considerable future earnings. As shown by two powerful bubble tests, the positive sentiment for renewable energy stocks...
Persistent link: https://www.econbiz.de/10013066408