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Capitalization of capital gains taxes : (In)attention and turn-of-the-year returns

Eichfelder, Sebastian; Lau, Mona - 2015 - Version: October 2015

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports....

Persistent link: https://www.econbiz.de/10011405098

Long run risk model and equity premium puzzle in Thailand

Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021

Persistent link: https://www.econbiz.de/10012582703

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Persistent link: https://www.econbiz.de/10012489580

Feedback effects and rational mispricing in markets

Choo, Lawrence; Kaplan, Todd R.; Zultan, Ro’i - 2025

Persistent link: https://www.econbiz.de/10015386511

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10013428350