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Do financial market experts know their theory? : new evidence from survey data

Brückbauer, Frank - 2020

Using a unique survey dataset, the author studies how financial market experts form their stock market expectations. He documents a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the...

Persistent link: https://www.econbiz.de/10012420532

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

Do financial market experts know their theory? : new evidence from survey data

Brückbauer, Frank - 2022 - This draft: April 2022

Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...

Persistent link: https://www.econbiz.de/10013175639

GMM weighting matrices incross-sectional asset pricing tests

Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020 - This version: November 4, 2020

Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...

Persistent link: https://www.econbiz.de/10012322408

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …

Persistent link: https://www.econbiz.de/10014227600

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …

Persistent link: https://www.econbiz.de/10009625556

The threat of systemic risk in banking - evidence for Europe

Schüler, Martin - 2002

Persistent link: https://www.econbiz.de/10013428472

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

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

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

tax reform of 2009 by triple-difference estimation, we find evidence of a delayed market reaction long after the … was 10.6%. Furthermore, we find a significant and positive correlation between trading volumes and measures for awareness …

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