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Implied rates of return, the discount rate effect, and market risk premia
Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22
risk premia. The extent of this bias is substantial as verified by a bootstrap approach. We present an alternative …
Persistent link: https://www.econbiz.de/10009487229
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We ….K. result in quite similar patterns. Defining a “global” variance risk premium, we uncover even stronger predictability and …
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We ….K. result in quite similar patterns. Defining a “global” variance risk premium, we uncover even stronger predictability and …
Persistent link: https://www.econbiz.de/10013109053
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Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …
Persistent link: https://www.econbiz.de/10009011127
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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Firm Level Productivity, Risk, and Return
Imrohoroglu, Ayse - 2013
This paper provides new evidence about the link between firm level total factor productivity (TFP) and stock returns. We estimate firm level TFP and show that it is strongly related to several firm characteristics such as size, the book to market ratio, investment, and hiring rate. Low...
Persistent link: https://www.econbiz.de/10013093807
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Is there a too-big-to-fail discount in excess returns on German banks' stocks?
Nitschka, Thomas - 2015
returns than suggested by exposures to risk factors in the sample period from 1973 to 2014. This evidence is robust to various …
Persistent link: https://www.econbiz.de/10011298476
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Is there a too-big-to-fail discount in excess returns on German banks' stocks?
Nitschka, Thomas - In: International finance 19 (2016) 3, pp. 292-310
Persistent link: https://www.econbiz.de/10011713921
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Risk Premia in Electricity Wholesale Spot Markets - Empirical Evidence from Germany
Pietz, Matthäus - 2009
ranges from August 2002 to May 2009. As results we find significant positive risk premia, both in the block contract market … and in the day-ahead market. The risk premia in day-ahead market contracts vary in magnitude and in sign throughout the … day. Furthermore, we detect a term structure of risk premia during the sub-period in which all three market segments were …
Persistent link: https://www.econbiz.de/10013156069