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Recent legalizations of cannabis at the state level in the United States have given rise to renewed interest in the price elasticity of demand for cannabis and implications for likely state excise and sales tax revenues. We use crowdsourced data on prices, qualities, and consumption of cannabis...
Persistent link: https://www.econbiz.de/10011995032
In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study how much these phenomena are explained by the...
Persistent link: https://www.econbiz.de/10010316804
This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...
Persistent link: https://www.econbiz.de/10010285303
estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …
Persistent link: https://www.econbiz.de/10014516405
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …
Persistent link: https://www.econbiz.de/10012422114
the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk … systematic risk measures, downside beta proved its superiority to traditional CAPM beta. The results can be attributed to delayed …
Persistent link: https://www.econbiz.de/10011937439
employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …
Persistent link: https://www.econbiz.de/10012217928
The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the majority of these papers attempt to explain the variation of returns in developed and emerging markets. In that sense, the literature lacks sufficient evidence regarding the...
Persistent link: https://www.econbiz.de/10015337540
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10010274513