Some empirical evidence on the time series properties of four UK asset prices by J. A. Lane

Cover of: Some empirical evidence on the time series properties of four UK asset prices | J. A. Lane

Published by University of Wales, Aberystwyth, Dept. of Economics in Aberystwyth .

Written in English

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Edition Notes

Book details

StatementJ.A. Lane, D.A. Peel and E.J. Raeburn.
SeriesAberystwyth economic research papers -- no.95-20
ContributionsPeel, D. 1950-, Raeburn, E. J.
The Physical Object
Pagination21p. :
Number of Pages21
ID Numbers
Open LibraryOL18369382M

Download Some empirical evidence on the time series properties of four UK asset prices

Using a continuous time model of asset pricin g with asymmetric info rmation, Back () shows that there is a unique equilibrium pricing rule within a certain cl : Ako Doffou.

An Empirical Study of the UK Private Investor Market Article in Journal of Property Research 22(2) June with 15 Reads How we measure 'reads'. UK housing market: time series processes with independent and identically distributed residuals.

Abstract. The paper examines whether a univariate data generating process can be identified which explains the data by having residuals that are independent and identically distributed, as verified by the BDS test. We now discuss some revealing time-series properties of these two classes of growth models.

Proposition 1. In the problem (), under a + = 1, log-utility, and fulJ­ depreciation of the capital stoclc, the closed-form solution for In (Kt+l) implies it has a unit root even with {Zt} stationary.

Since the closed-form solutions for In (ytCited by: 4. During the ss empirical studies focused on time-series properties, and found that US stock prices and related financial series followed a random walk model in the short-term.

Whilst there is some predictability over the long-term, the extent to which this is due to rational time-varying risk premia as opposed to behavioral reasons is a.

The capital asset pricing model (CAPM) provides a useful measure that helps investors determine what sort of investment return they deserve for putting their money at risk on a particular : Ben Mcclure.

Lane, J A & Peel, D A & Raeburn, E J, "Some Empirical Evidence on the Time-Series Properties of Four UK Asset Prices," Economica, London School of Economics and Political Science, vol.

63(), pagesAugust. Dumas, Bernard, Empirically, we nd that: a) consumption reacts very slowly (i.e. over a period of two to four years), but signi cantly, to asset returns innovations, and these innovations account for about 27% of the time series variation of consumption growth; b) returns on portfolios of stocks load signi cantly on the SCA component, with a pattern that closely mimics the.

Empirical Asset Pricing uses economic theory (mostly macroeconomics) or finance theory (Capital Asset Pricing Model, Arbitrage Pricing) that help interpret and/or impose restrictions on OLS/PCA/GMM models. The statistics is easier and the results are sometimes intuitive.

the empirical facts as well as the theoretical explanations that have been proposed. We also connect the properties of the term structure of equity to term structures in other asset classes such as nominal and corporate bonds, volatility, and housing.

Initial measurements of the term structure of equity are based on portfolios of stocksCited by: and time periods. LNS () provide an interesting empirical exercise showing how asset pricing tests are often highly misleading. They demonstrate that if the set of test assets has returns with a strong factor structure, like size or book-to-market-sorted portfolios, almost any proposed factor weakly correlated with the FF factors is likely to.

Lastly, we report time-series evidence that the intermediary capital ratio predicts future returns in five of the seven asset classes we study. Related literature Until recently, the role of financial institutions in determining equilibrium asset prices has been under-appreciated by the finance literature (early contributions include Shleifer Cited by: Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller John Y.

Campbell1 May 1Department of Economics, Littauer Center, Harvard University, Cambridge MAand NBER. Email [email protected] Phone Instrumental in most of these empirical studies has been the Autoregressive Conditional Heteroskedasticity (ARCH) model introduced by Engle ().

This paper contains an overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial by: Cambridge Core - Economic Theory - Monetary Policy Transmission in the Euro Area - edited by Ignazio Angeloni J.

and M. Arellano (), The time series and cross-section asymptotics of dynamic panel data estimators, mimeo. Some empirical evidence on the effects of shocks to monetary policy on exchange rates, Quarterly Journal of.

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An empirical investigation into the effect of changes in the general price level on the time-series properties of quarterly earnings per share Author: William S Hopwood. Management of the Net Asset Value in the Real Estate Sector: An Empirical Evidence 1.

Introduction The aim of this study is to examine whether fund managers strategically run the net asset value of the real estate investment funds under their management and which factors may influence their decisions. the prices of dividend strips.1 To measure dividend prices precisely, BBK use high-frequency Trade-and-Quote (TAQ) data to ensure that put, call, and index prices are all measured at exactly the same time.

1A similar calculation can be performed using futures prices using the cost of carry formula, see also Golez (). 2Cited by:   The Efficient Market Theory and Evidence suggests that while tests of the theory on prices have produced violations suggestive of the potential for active management to add value to a multi-asset portfolio, finding consistent out-performing active managers is by: Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade".

Its concern is thus the interrelation of financial variables, such as prices, interest rates and shares, as opposed to those concerning the real has two main areas of focus: asset pricing.

This paper provides novel empirical evidence on the value of the elasticity of marginal utility, \(\eta \), for the United Kingdom. \(\eta \) is a crucial component of the social discount rate (SDR), which determines the inter-temporal trade-offs that are acceptable to society. Using contemporaneous and historical data, new estimates are obtained using four revealed Cited by: 5.

A book publisher requires substantial quantities of paper. The publisher and a paper producer have entered into an agreement for the publisher to buy and the producer to supply a given quantity of paper four months later at a price agreed upon today. This agreement is a: futures contract. forward contract.

commodity swap. In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized facts of limit order markets.

This study also provides some behavioral Author: Jiahua Wang, Hongliang Zhu, Dongxin Li. Christou et al. () use time series and panel data based on Vector Autoregressive models based for countries in the Organization for Economic Co- operation and Development (OECD).

They find that the EPU index is. convenient to forecast real home prices. Financial literacy is another are a which may affect home prices through influencing home. Downloadable. We examine the time-series relationship between house prices in eight Southern California metropolitan statistical areas (MSAs).

First, we perform cointegration tests of the house price indexes for the MSAs, finding seven cointegrating vectors. Thus, the evidence suggests that one common trend links the house prices in these eight MSAs, a purchasing power parity. Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management.

The book is also an indispensable reference for researchers and practitioners in finance and economics.5/5(1). Interestingly, house prices share some properties with financial time series (see, e.g., Dolde and Tirtiroglu, ; Miles, a; Karoglou et al., ; Lin and Fuerst, ), and hence appropriate modelling of house prices is of high importance.

Recently there has been an increased academic interest in the modelling of house prices by. The United Kingdom is a more open economy, and its imports share moves from to % with the average of %, while exports fluctuate between % and % with the average of % in our sample.

The imports' share in the United Kingdom's aggregate demand computed year by year fluctuates between % and % with the average of %.Cited by:   Identifiable intangible asset disclosures, stock prices and future earnings Identifiable intangible asset disclosures, stock prices and future earnings Ritter, Adam; Wells, Peter As a consequence of regulatory reforms currently being initiated as part of international convergence, it is likely that the recognition and disclosure of identifiable.

While considerable research has been done on the time series relationship between expected market return and market volatility (see French, Schwert, & Stambaugh,; Glosten et al., ), limited empirical evidence is available on cross-sectional volatility and that too mostly for the developed markets.

Although the findings are interesting Cited by: 4. Empirical evidence of memory effects. The analyses presented in this paper are carried out on the high frequency (tick-by-tick i.e. we have a record of the price for every operation), time series Cited by: This article provides a comparative overview of machine learning methods applied to the two canonical problems of empirical asset pricing: predicting returns in the cross-section and time series.

Our view is that the best way for researchers to understand the usefulness of machine learning in the field of asset pricing is to apply and compare.

Changes in house prices seem to be positively correlated across countries, suggesting that global factors (such as low real interest rates or global business cycles) are important determinants of house price cycles. 5 Chart shows a time series for the number of countries experiencing four-quarter declines in real house prices (the dashed.

THE QUARTERLY JOURNAL OF ECONOMICS Vol. May Issue 2 By combining the predictions of the model with empirical evidence, we assess the sources of labor market fluctuations in are available for employment, output, and labor market tightness, but not for product market tightness, so we construct a time series proxying for product.

The model does not completely explain oil prices because there are factors which are exogenous to the model. My personal guess as to why the model does not do well over the last 5 years is that quantitative easing caused financial bubbles that inflated the price of oil from and that currently those bubbles are deflating so that the model will overestimate the price of oil for a.

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The Analysis of Economic Time-Series () by M G Kendall in brief and general terms, the two approaches to predicting stock prices that are commonly espoused by market professionals. Every finance professional employs the concept of market efficiency.

The theory, evidence and counterevidence focus on a couple of dozen highly. Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research.

The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through Brand: Wiley. Time-series results reveal a positive impact of infrastructure investment on growth.

They also show that this effect varies across countries and sectors and over time. In some cases, these results reveal evidence of possible over-investment, Cited by: A Modern Portfolio Theory Approach to Asset Management in the listed South African Property Market Empirical Evidence 92 Importance of the research and its findings 92 Gaps, anomalies and further work 93 Recommendations 94 Appendix A Figure Risk free rate if File Size: KB.

for, and useful independent evidence regarding, the e ects of price risk on housing demand. Second, as noted by Goetzmann and Spiegel (), the traditional measurement of tenure choice in the context of a static home ownership likelihood obscures some important issues inherent in the dynamic home purchase Size: KB.

A number of recent empirical studies found evidence of time dependency in some stock return price series (Kyaw et al., ; Eitelman & Vitanza, ; Kristoufek, ; Horta et al., ). This property was identified by Mandelbrot () and designated as "long memory or low frequency persistent temporal dependence".The balanced scorecard consolidated and focused these diverse measures into a quarterly briefing book that contained seven sections: financial measures; customer-based .

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