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Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX : eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose

Entorf, Horst (contributor); Steiner, Christian (contributor) - 2006

Persistent link: https://www.econbiz.de/10003273181

The impact of a stock market downturn on corporate financing activities in Germany

Meitner, Matthias (contributor); … - 2005

reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and …

Persistent link: https://www.econbiz.de/10003268547

Stale information, shocks and volatility

Gropp, Reint (contributor); Kadareija, Arjan (contributor) - 2007

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistance should increase, as the …

Persistent link: https://www.econbiz.de/10003435444

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001945539

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …

Persistent link: https://www.econbiz.de/10003670896

The behaviour of noise traders : empirical evidence on purchases of business magazines

Czarnitzki, Dirk; Stadtmann, Georg - 2000

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...

Persistent link: https://www.econbiz.de/10011445202

The connection of stock markets between Germany and the USA : new evidence from a co-integration study

Eberts, Elke (contributor) - 2003

Persistent link: https://www.econbiz.de/10001774217

Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas (contributor) - 2003

Persistent link: https://www.econbiz.de/10001822524

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas (contributor); … - 2006

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset...

Persistent link: https://www.econbiz.de/10003356943

International stock return predictability under model uncertainty

Schrimpf, Andreas (contributor) - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10003728591