Showing 1 - 10 of 88
Persistent link: https://www.econbiz.de/10000984425
Persistent link: https://www.econbiz.de/10000985609
Persistent link: https://www.econbiz.de/10001410592
Persistent link: https://www.econbiz.de/10001410603
Persistent link: https://www.econbiz.de/10003900045
This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...
Persistent link: https://www.econbiz.de/10011344170
Diese Studie widmet sich den Verteilungen von Immobilienrenditen. Wir verwenden die Klasse der Pareto-stabilen Verteilungen welche sich im Bereich der Analyse von Immobilienrenditen etabliert haben. Wir tragen zur Forschung in diesem Bereich bei, indem wir die erste umfassende globale Analyse...
Persistent link: https://www.econbiz.de/10010228013
Persistent link: https://www.econbiz.de/10010201094
This study uncovers the ability of liquid stocks to generate significant higher risk-adjusted portfolio returns than their illiquid counterparts. Using U.S. stocks in the period of 01/1990 to 09/2015, we show that a significant negative illiquidity premium can be obtained when accounting for a...
Persistent link: https://www.econbiz.de/10012961943
This study investigates the role of heterogeneous agents in oil markets and tests tales of speculators in oil price formation. Results obtained from using a non-linear heterogeneous agent model suggest that oil market prices are driven by different groups of speculators, namely fundamentalists,...
Persistent link: https://www.econbiz.de/10013003958