We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

We experimentally explore how investor decision horizons influence the formation of stock prices. We find that in long-horizon sessions, where investors collect dividends till maturity, prices converge to the fundamental levels derived from dividends through backward induction. In short-horizon...

Employing a new accounting data set we apply the framework of McGrattan and Prescott (2005) to the Japanese economy in order to assess if Japanese stocks were priced correctly in the period after 1980. We find that the stock market tended to undervalue the fundamental value of installed capital....

This paper investigates whether the consumption-free two-beta intertemporal capital asset-pricing model developed by Campbell and Vuolteenaho (2004) is able to solve the risk premium puzzle in the Japanese stock market over the period 1984-2002. Using the cash flow and discount rate betas as...

Nach Daten des Europäischen Haushaltspanels (ECHP) und des Sozio-oekonomischen Panels (SOEP) benötigt im Durchschnitt etwa jeder fünfte Erwerbstätige in Europa eine Fremdsprache am Arbeitsplatz. Bei den ausländischen Erwerbstätigen mit der Nationalität eines der Mitgliedstaaten sind es...

The announcement of European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world...

We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that while the bulk of the variability of EU banks' stock...

This paper shows that there is a natural trade-off when designing market based executive compensation. The benefit of market based pay is that the stock price aggregates speculators’ dispersed information and there-fore takes a picture of managerial performance before the long-term value of a...