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The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets

Mili, Mehdi - In: Research in international business and finance 48 (2019), pp. 187-200

Persistent link: https://www.econbiz.de/10012135869

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...

Persistent link: https://www.econbiz.de/10012199998

On the sustainability of the EU's current account deficits

Holmes, Mark J. (contributor); Otero, Jesús G. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003428262

Momentum effects in country equity indices

Muller, C.; Ward, M. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 34 (2010) 1, pp. 111-127

Persistent link: https://www.econbiz.de/10003980099

Mean reversion in international stock markets : an empirical analysis of the 20th Century

Spierdijk, Laura; Bikker, Jacob A.; Hoek, Pieter van den - 2010

Persistent link: https://www.econbiz.de/10003954433

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...