Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to...

This paper empirically investigates the risk and performance of three types of alternative beta products over the January 2002 to September 2009 time period: funds of hedge funds (FHFs), investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). We show that IHFIs are...

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 study seeks to explore, how market efficiency changes, if ordinary traders receive fundamental news more or less often. We show that longer temporal information gaps lead to fewer but larger shocks and a reduction of the average noise level on the dynamics. The consequences of these effects...

Private investors have limited time available for learning about stocks as they need to divide their time between stock analysis and work. This paper analyzes the influence of learning constraintsin the form of time constraints on portfolio selection and derives both optimal portfolio holdings...

Der Beitrag entwickelt ein umfassendes Modell zur Bewertung von Unternehmen auf der Grundlage der Arbitragetheorie. Es wird gezeigt, wie Steuern auf Unternehmens- und Kapitalgeberebene in konsistenter Weise abgebildet werden können, ohne auf das mit schwerwiegenden Mängeln behaftete Konzept...

This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on...