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Returns to investors in stocks in new industries

Dwyer, Gerald P.; Barnhart, Cora - 2008

We examine the returns to investors in publicly traded stock in new industries. We examine data from the United States on sellers of own-brand personal computers, airlines and airplane manufacturers, automobile manufacturers, railroads, and telegraphs. We find that a relatively small number of...

Persistent link: https://www.econbiz.de/10010292253

Bond positions, expectations, and the yield curve

Piazzesi, Monika; Schneider, Martin - 2008

This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...

Persistent link: https://www.econbiz.de/10010292351

Risk diversification and tax competition: The influence of risk correlations and tax provisions on tax competition

Berndt, Markus; Reichl, Bettina - 2000

From standard-portfolio-models the authors derive demand elasticities for risky assets, and combine the results with a simple non-cooperative model of tax competition between capital importing countries. They find that tax rates resulting from tax competition depend heavily on the correlations...

Persistent link: https://www.econbiz.de/10010295608

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747

Banking consolidation and small businessfinance: empirical evidence for Germany

Marsch, Katharina; Schmieder, Christian; Forster-van … - 2007

Since the early 1990s an unprecedented process of consolidation has taken place in the banking sector in most industrialised countries raising concern of policymakers that it may reduce access to credit for the small business sector. While most of the existing empirical studies have focused on...

Persistent link: https://www.econbiz.de/10010295928

Options, Futures, and Other Derivatives in Russia: An Overview

Rotfuß, Waldemar - 2007

This work provides a descriptive overview of Russian markets for financial derivatives. Available figures for the … exchange-traded and over-the-counter-traded derivatives in Russia show that the Russian derivatives markets experienced …-traded derivatives in Russia rose from 2000 to 2006 on average 168 percent per year and reached a total turnover of EUR 102 billion in …

Persistent link: https://www.econbiz.de/10010297949

Awareness and stock market participation

Guiso, Luigi; Jappelli, Tullio - 2005

The paper documents lack of awareness of financial assets in the 1995 and 1998 Bank of Italy Surveys of Household Income and Wealth. It then explores the determinants of awareness, and finds that the probability that survey respondents are aware of stocks, mutual funds and investment accounts is...

Persistent link: https://www.econbiz.de/10010298272

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10010298283

Realized beta: Persistence and predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...

Persistent link: https://www.econbiz.de/10010298288

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290