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In Search of Money Illusion in CEE Stock Markets : The CAPM Approach

Orlovaitė, Ernesta - 2019

We investigate whether the hypothesis of money illusion can explain the negative or non-existent stock returns and inflation co-movement, and lead to deviations from the CAPM-implied risk-return relation in ten Central Eastern European (CEE) markets. We employ the Cohen, Polk and Vuolteenaho...

Persistent link: https://www.econbiz.de/10012906159

Does Money Illusion Delude Investors?

Heo, Yuna - 2019

This study investigates the role of money illusion in a broad set of anomaly-based strategies. To the extent that anomalies reflect mispricing, I examine whether money illusion predicts anomaly returns. I find that, following periods of high inflation, anomalies are stronger and returns in short...

Persistent link: https://www.econbiz.de/10012890592

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

Endogenous Asymmetric Money Illusion

Duarte, Diogo - 2019

We show that when investors suffer from endogenous asymmetric money illusion, the usual proportionality between money supply and nominal prices commonly present in frictionless economies is eliminated. This drives changes in the money supply to cause real price fluctuations. Nevertheless, the...

Persistent link: https://www.econbiz.de/10012899606

Spatial distribution of housing liquidity

Osswald do Amaral, Francisco; Toth, Mark; Zdrzalek, Jonas - 2025

This paper examines the relation between location, liquidity, and prices in urban housing markets. We build geospatial … datasets for German and U.S. cities and show that housing liquidity and prices jointly decrease with distance to the city … center determines the joint spatial distribution of housing liquidity and prices. In a counterfactual analysis, we find that …

Persistent link: https://www.econbiz.de/10015361412

Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically

Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015

Macroeconomic models that are based on either the rational expectations hypothesis (REH) or behavioral considerations share a core premise: All future market outcomes can be characterized ex ante with a single overarching probability distribution. This paper assesses the empirical relevance of...

Persistent link: https://www.econbiz.de/10011309720

Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically

Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015

Macroeconomic models that are based on either the rational expectations hypothesis (REH) or behavioral considerations share a core premise: all future market outcomes can be characterized ex ante with a single overarching probability distribution. This paper assesses the empirical relevance of...

Persistent link: https://www.econbiz.de/10011279656

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts...

Persistent link: https://www.econbiz.de/10011555939

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in 't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Liquidity and investment horizon

Vovchak, Volodymyr - 2014

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

Persistent link: https://www.econbiz.de/10010258742