Search Results - subject:"Present Value Model"

Currency exchange rate predictability : the new power of Bitcoin prices

Feng, Wenjun; Zhang, Zhengjun - In: Journal of international money and finance 132 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014290854

Return predictability and valuation ratios: Sector-level evidence on the Johannesburg Stock Exchange

Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-27

Africa, this study employs an apposite present value model, accounts for structural breaks and investigates the non …

Persistent link: https://www.econbiz.de/10014001391

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - In: Empirical Economics 61 (2020) 1, pp. 145-172

In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests for detecting and date-stamping financial bubbles. Our Monte Carlo simulations find that the majority of the sup-ADF-style...

Persistent link: https://www.econbiz.de/10014504230

An experimental analysis of German farmers' decisions to buy or rent farmland

Buchholz, Matthias; Danne, Michael; Mußhoff, Oliver - 2020

deviate substantially from normative predictions from the present value model. …

Persistent link: https://www.econbiz.de/10012151392

An experimental analysis of German farmers' decisions to buy or rent farmland

Buchholz, Matthias; Danne, Michael; Mußhoff, Oliver - Agricultural Land Markets - Efficiency and Regulation - 2020

deviate substantially from normative predictions from the present value model. …

Persistent link: https://www.econbiz.de/10012150134

Stock market volatility, speculation and unemployment : a Granger-causality analysis

Algieri, Bernardina; Brancaccio, Emiliano; Buonaguidi, … - In: PSL quarterly review 73 (2020) 293, pp. 137-160

empirical analyses by Shiller and other authors which deny the traditional Present Value Model (PVM), provide new elements on …

Persistent link: https://www.econbiz.de/10012288289

Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange

Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

Africa, this study employs an apposite present value model, accounts for structural breaks and investigates the non …

Persistent link: https://www.econbiz.de/10013179575

Sup-ADF-style bubble detection methods under test

Monschang, Verena; Wilfling, Bernd - 2019

In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo...

Persistent link: https://www.econbiz.de/10012099130

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - 2019

Persistent link: https://www.econbiz.de/10012287533

Aggregation bias in tests of the commodity currency hypothesis

Bork, Lasse; Rovira Kaltwasser, Pablo; Sercu, Piet - In: Journal of banking & finance 135 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013401953