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Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

Dieser Literaturüberblick wertet 35 Forschungsarbeiten aus, die zwischen 2010 und 2012 veröffentlicht wurden und den Einfluss der Finanzspekulation auf die Agrarrohstoffmärkte empirisch untersuchen: Gemäß aktuellem Erkenntnisstand spricht wenig für die Auffassung, dass die Zunahme der...

Persistent link: https://www.econbiz.de/10011733840

Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

This literature survey comprises 35 empirical studies published between 2010 and 2012 that analyze the influence of financial speculation on the markets for agricultural commodities. According to the current state of research, there is little supporting evidence that the recent increase in...

Persistent link: https://www.econbiz.de/10011733841

Does financial speculation with agricultural commodities cause hunger? A reply to our critics

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2013

As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).

Persistent link: https://www.econbiz.de/10011733867

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10010295747

Systematic Mispricing in European Equity Prices?

Berneburg, Marian - 2007

One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...

Persistent link: https://www.econbiz.de/10010269909

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10010272747

Higher order expectations, illiquidity, and short-term trading

Cespa, Giovanni; Vives, Xavier - 2011

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on …

Persistent link: https://www.econbiz.de/10010274821

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10010276268

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

Persistent link: https://www.econbiz.de/10010276273

A Data-Reconstructed Fractional Volatility Model

Mendes, Rui Vilela; Oliveira, Maria J. - 2008

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data....

Persistent link: https://www.econbiz.de/10010295279