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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

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

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

response to lower in-terest rates, and vice versa. Institutional funds' risk-taking increases when interest rates turn negative …

Persistent link: https://www.econbiz.de/10012250652

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

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

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

volatility and amplify the risk of market disruptions in fixed income markets. …In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find …

Persistent link: https://www.econbiz.de/10011483067

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10011632212

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

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

Analysis of nonlinear comovement of benchmark Thai government bond yields

Rewat Khanthaporn - 2022

Persistent link: https://www.econbiz.de/10013429426

Does uncertainty reduce growth? : using disasters as natural experiments

Baker, Scott; Bloom, Nicholas - 2013

Persistent link: https://www.econbiz.de/10010191904