Results 211 to 220 of about 18,988 (256)
Disclosures and Asset Returns [PDF]
Econometrica, 2003 Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of the market to the new information. When the strategic interaction between the sender and the receiver is formalized as a disclosure game with verifiable reports, equilibrium prices can be given a simple ...
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Demographic Structure and Asset Returns [PDF]
Review of Economics and Statistics, 2001 This paper investigates the association between population age structure, particularly the share of the population in the ‘prime saving years’ (40 to 64), and the returns on stocks and bonds. The paper is motivated by recent claims that the aging of the ‘baby boom’ cohort is a key factor in explaining the recent rise in asset values, and by predictions
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ON THE SHAPE OF ASSET RETURN DISTRIBUTION
Communications in Statistics: Simulation and Computation, 2002ABSTRACT In this paper we investigate the shape of the asset return distribution using all shares index of Helsinki Stock Exchange and Standard & Poor's 500 index of New York Stock Exchange. In both cases the power exponential distribution is used to model the shape of the return distribution and the inference is cross-checked with Student t ...
Juuso Töyli, Kimmo Kaski, Antti Kanto
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Asset Returns and Measured Inflation
Journal of Money, Credit and Banking, 1994This paper analyzes the inverse relationship between estimated real returns on assets and estimates of the expected rate of inflation that is commonly noted in the literature. The authors suggest that this puzzling relationship may be produced by an inappropriate application of currently published price indices to the problem of measuring asset returns.
Santoni, G J, Moehring, H Brian
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Labour Relations and Asset Returns
Review of Economic Studies, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jean-Pierre Danthine, John B. Donaldson
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Globalization and Asset Returns
Annual Review of Financial Economics, 2016We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes in the regulatory environment and de facto or realized openness, as well as between capital market restrictions ...
Geert Bekaert +3 more
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Martingale Analysis for Assets with Discontinuous Returns
Mathematics of Operations Research, 1995The equivalent martingale measure approach is applied to a financial market subject to jump-diffusion uncertainty. The uncertainty in the market is caused by a multidimensional Brownian motion process and a multidimensional point process of jumps admitting stochastic intensity.
Indrajit Bardhan, Xiuli Chao
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Sunspots and predictable asset returns
Journal of Economic Theory, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Journal of Alternative Investments, 2008
This article reviews research on momentum in asset markets, with an emphasis on research involving momentum in commodity markets. Commodity markets are different than the markets for financial assets, such as stocks and bonds. Storage costs, inventory levels, and hedging demand by suppliers and producers influence commodity prices in ways that may not ...
Thomas Schneeweis +2 more
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This article reviews research on momentum in asset markets, with an emphasis on research involving momentum in commodity markets. Commodity markets are different than the markets for financial assets, such as stocks and bonds. Storage costs, inventory levels, and hedging demand by suppliers and producers influence commodity prices in ways that may not ...
Thomas Schneeweis +2 more
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A Multifractal Model of Asset Returns [PDF]
, 1997 This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well-known in finance.
Laurent Calvet +2 more
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