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Hedging against inflation: Housing vs. equity
Fehrle, Daniel - 2021
To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price...
Persistent link: https://www.econbiz.de/10013329984
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Hedging against inflation : housing vs. equity
Fehrle, Daniel - 2021
To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price...
Persistent link: https://www.econbiz.de/10012544584
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An Empirical Analysis of Short Term Interest Rate Models for Turkey
Sahin, Hasan; Genç, Ismail H. - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 107-119
GMM a robust estimation method comparing to maximum likelihood. Estimation results reveal that Cox Ingersoll Ross square …
Persistent link: https://www.econbiz.de/10008464863
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Retesting the CCAPM Euler equations
Azar, Samih - In: International Journal of Managerial Finance 7 (2011) September, pp. 324-346
discount rate, and is in line with the research on labor supply. Tests based on General Method of Moments (GMM) for the same … of the regression-based tests. Habit formation models are also to be evaluated with regression-based and GMM tests …/methodology/approach – The paper presents empirical evidence that the conventional use of GMM fails because of four pathological features of GMM …
Persistent link: https://www.econbiz.de/10009415553
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
effect of sentiment is apparent exclusively in small-capitalization stocks. …
Persistent link: https://www.econbiz.de/10009647399
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Heterogeneity in stock prices: A STAR model with multivariate transition function
Lof, Matthijs - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1845-1854
This paper applies a heterogeneous agent asset pricing model, featuring fundamentalists and chartists, to the price-dividend and price-earnings ratios of the S&P500 index. Agents update their beliefs according to macroeconomic information, as an alternative to evolutionary dynamics. For...
Persistent link: https://www.econbiz.de/10010580806
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Factors Driving Risk Premia
Sløk, Torsten - 2004
This paper assesses the extent to which the fall in risk premia of a number of financial assets, which occurred throughout 2003, was due to improvements in factors specific to individual markets at that time or to general economic fundamentals coupled with OECD-wide abundant liquidity. Regarding...
Persistent link: https://www.econbiz.de/10012445763
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The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012599250
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Essays on Expectations and the Econometrics of Asset Pricing
Lof, Matthijs - Volkswirtschaftliche Fakultät, … - 2013
consistency of the generalized method of moments (GMM) estimator, as long as agents form rational expectations. …
Persistent link: https://www.econbiz.de/10011109608