In this study, we develop a technique for estimating a firm’s expected cost of equity capital derived from analyst consensus forecasts and stock prices. Building on the work of Gebhardt/Lee/-Swaminathan (2001) and Easton/Taylor/Shroff/Sougiannis (2002), our approach allows daily estimation,...

Ja, der Ablauf der Lock-up-Frist ist ein kursrelevantes Ereignis. Wir untersuchen Kursreaktionen auf das Ende der Lock-up-Frist bei 142 Unternehmen des Neuen Marktes. Da der Ablauf der Sperrfrist bereits zum Zeitpunkt des Börsengangs bekannt ist, erwarten wir bei einem...

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both...

Stock returns are often modeled as having infinite second or fourth moments with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple Pareto tail index estimate. In a recent study...

Voting and non-voting shares of ten German companies are analyzed for fractional cointegration. It turns out that seven pairs of price series are fractionally cointegrated, which means that for each pair there is a linear combination of the two series that is a long-memory process. If two stocks...

We analyze a general business tax in an uncertain economy. Our tax system allows for a time-dependent tax rate and to this end we incorporate a generalized allowance for corporate equity (ACE). The generalized allowance is given by a fraction of the product of interest rate and book value of the...

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-a-vis the...

We examine the international stock market comovements between Western Europe vis-àvis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of...

When stock or bond prices drop sharply we are told that the nation''s wealth has fallen. Some commentators go beyond such a vague statement and calculate how many billions of dollars of wealth have been wiped out by multiplying the percentage change in stock prices or bond prices by the previous...