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Riding the South Sea Bubble
Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004
The efficient markets hypothesis implies that, in the presence of rational investors, bubbles cannot develop. We …
Persistent link: https://www.econbiz.de/10005136583
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Collateralisation bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014
about mean payoffs, price bubbles arise without collateralisation, which may discipline prices as pessimists demand higher …
Persistent link: https://www.econbiz.de/10011084220
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In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2002
It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this Paper we question this conventional...
Persistent link: https://www.econbiz.de/10005124323
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Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
Lettau, Martin; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2005
Evidence of stock return predictability by financial ratios is still controversial as documented by inconsistent results for in-sample and out-of-sample regressions as well as substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the...
Persistent link: https://www.econbiz.de/10005661523
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Market Stress and Herding
Hwang, Soosung; Salmon, Mark - C.E.P.R. Discussion Papers - 2004
We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market...
Persistent link: https://www.econbiz.de/10005656282
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A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...
Persistent link: https://www.econbiz.de/10008466351
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Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach
Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2004
We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are...
Persistent link: https://www.econbiz.de/10005791800
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Forecasting Stock Returns under Economic Constraints
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013
We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...
Persistent link: https://www.econbiz.de/10011083895
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Illusive Persistence in German Unemployment
Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992
The non-stationarity of many macroeconomic time series has lead to an increased demand for economic models that are able to generate fragile equilibria. For instance, in this literature the natural unemployment rate is allowed to shift over time depending on past unemployment. Actually, many...
Persistent link: https://www.econbiz.de/10005666959
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Bubbles and Central Banks: Historical Perspectives
Brunnermeier, Markus K; Schnabel, Isabel - C.E.P.R. Discussion Papers - 2015
This paper reviews some of the most prominent asset price bubbles from the past 400 years and documents how central … banks (or other institutions) reacted to those bubbles. The historical evidence suggests that the emergence of bubbles is … also suggests that a purely passive “cleaning up the mess” stance toward the buildup of bubbles is, in many cases, costly …
Persistent link: https://www.econbiz.de/10011249380