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International diversification with securitized real estate and the veiling glare from currency risk
Kroencke, Tim Alexander; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...
Persistent link: https://www.econbiz.de/10008869221
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Further evidence on the (in-) efficiency of the U.S. housing market
Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...
Persistent link: https://www.econbiz.de/10008615599
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...
Persistent link: https://www.econbiz.de/10009003568
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Size, value and liquidity: Do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous …-researched. By focusing on the Polish stock market, we aim to fill in a gap in the asset pricing literature and draw attention to … market, size and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this …
Persistent link: https://www.econbiz.de/10008694113
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Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10008694114
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Asset pricing without garbage
Kroencke, Tim A. - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
relative risk aversion in the consumption-based asset pricing model than consumption based on the official National Income and …
Persistent link: https://www.econbiz.de/10010957584
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Return and risk of human capital contracts
Kroencke, Tim A.; Muehler, Grit; Sprietsma, Maresa - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
Human capital contracts give private investors the right to share of students' future earnings in return for a financial contribution during their studies. Although still rarely used, human capital contracts could not only help to completement limited public funding for higher education but...
Persistent link: https://www.econbiz.de/10010957606
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GDP mimicking portfolios and the cross-section of stock returns
Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...
Persistent link: https://www.econbiz.de/10010957652
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Sovereign risk premia: The link between fiscal rules and stability culture
Heinemann, Friedrich; Osterloh, Steffen; Kalb, Alexander - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
There is a growing empirical literature studying whether fiscal rules reduce borrowing costs. Nevertheless, it remains an open question whether these rules are effective genuinely or just because they mirror fiscal preferences of politicians and voters. In our analysis of European bond spreads,...
Persistent link: https://www.econbiz.de/10010957687
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Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience
Feld, Lars P.; Kalb, Alexander; Moessinger, Marc-Daniel; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
We investigate the political determinants of risk premiums which sub-national governments in Switzerland have to pay for their sovereign bond emissions. For this purpose we analyse financial market data from 288 tradable cantonal bonds in the period from 1981 to 2007. Our main focus is on two...
Persistent link: https://www.econbiz.de/10010957767