Showing 1 - 10 of 1,119
Persistent link: https://www.econbiz.de/10000636849
Persistent link: https://www.econbiz.de/10001594708
Persistent link: https://www.econbiz.de/10002208791
Persistent link: https://www.econbiz.de/10001986605
Persistent link: https://www.econbiz.de/10013400301
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH...
Persistent link: https://www.econbiz.de/10010322613
Immobilienaktien können Anleger nicht vor der allgemeinen Geldentwertung schützen. Ebenso wie andere Aktien bieten sie keinen effektiven Schutz vor Inflation. Stattdessen zeigen Regressionsanalysen negative Korrelationen an. Ein steigendes Preisniveau wirkt sich somit negativ auf die Renditen...
Persistent link: https://www.econbiz.de/10011633232
In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default risk, we construct a factor that measures the...
Persistent link: https://www.econbiz.de/10010427776
This paper studies the effects of heterogeneity in planning propensity on wealth inequality and asset prices. I consider an economy populated by attentive and inattentive agents. Attentive agents plan their consumption period by period, while inattentive agents plan every other period....
Persistent link: https://www.econbiz.de/10010320790
Persistent link: https://www.econbiz.de/10000889320