Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase their individual efficiency in an ever more digitized environment. Introduced in the early 1990's, the technology has...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space models. Our main findings are that: (i) the currency...

We estimate the long-run stock performance after intial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolio and matching stocks). In addition we present the...

Stock returns in emerging markets are to some extent predictable onthe basis of proper instrument variables. We show that local informationis more important than global information to capture emergingstock market returns. This is an indication for at least partial segmentationof emerging stock...

We find that stocks exhibiting high dispersion in analysts’ earnings forecasts do not onlyunderperform in the U.S. but also in many European countries. Testing for the dispersioneffect in many countries calls for adequate multiple testing controls and we show that theU.S. dispersion effect...

We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average...

We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change...

We develop a simple model of a speculative housing market in which the demand for houses is influenced by expectations about future housing prices. Guided by empirical evidence, agents rely on extrapolative and regressive forecasting rules to form their expectations. The relative importance of...

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...