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World Equity Premium based Risk Aversion Estimates

Pozzi, L.C.G.; de Vries, C.G.; Zenhorst, J. - 2010

CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We …

Persistent link: https://www.econbiz.de/10010325953

Distribution, aggregate demand and productivity growth - theory and empirical results for six OECD countries based on a Post-Kaleckian model

Hein, Eckhard; Tarassow, Artur - 2008

Empirical research based on the Bhaduri/Marglin-variant of the Kaleckian model has recently shown that aggregate demand in many medium-sized and large open economies tends to be wage-led in the medium to long run, even in a period of increasing globalisation. In this paper we extend this type of...

Persistent link: https://www.econbiz.de/10010460467

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

Peso problems in the estimation of the C-CAPM

Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas - In: Quantitative Economics 13 (2022) 1, pp. 259-313

This paper shows that the consumption-based capital asset pricing model (C-CAPM) with low-probability disaster risk …

Persistent link: https://www.econbiz.de/10014537035

Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM

Posch, Olaf; Schrimpf, Andreas - 2013

This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk … that leading asset pricing models cannot explain sizeable pricing errors in the C-CAPM. We also show (analytically and in a …

Persistent link: https://www.econbiz.de/10010329498

Consumption, wealth and business cycles in Germany

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - 2005

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies – mostly for the Anglo- Saxon economies – have generally documented that departures of these three variables from their common trend...

Persistent link: https://www.econbiz.de/10010261168

World equity premium based risk aversion estimates

Pozzi, Lorenzo C. G.; de Vries, Casper G.; Zenhorst, Jorn - 2010

CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We …

Persistent link: https://www.econbiz.de/10010272938

Consumption, wealth and business cycles: why is Germany different?

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - 2005

This paper studies the long-run relationship between consumption, asset wealth and income - the consumption-wealth ratio - in Germany, based on data from 1980 to 2003. Earlier papers for the Anglo-Saxon economies have documented that departures of these three variables from their common trend...

Persistent link: https://www.econbiz.de/10010295684

One-factor-Garch models for German stocks: Estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010435583

Cost of equity estimation techniques used by valuation experts

Kolouchová, Petra; Novák, Jiří - 2010

most popular model for cost of equity estimation is CAPM, which is followed by the heuristic build up model. In the case of …, consensus has not been reached regarding the appropriate cost of equity estimation. The aim of our paper is to investigate the … cost of equity estimation in practice. In other words, we aim to provide data on the popularity of individual cost of …

Persistent link: https://www.econbiz.de/10010322265