scholarly journals Active vs. Passive Funds—An Empirical Analysis of the German Equity Market

2019 ◽  
Vol 08 (02) ◽  
pp. 73-91 ◽  
Author(s):  
Ernst J. Fahling ◽  
Elmar Steurer ◽  
Sven Sauer
2014 ◽  
Vol 49 (5-6) ◽  
pp. 1167-1199 ◽  
Author(s):  
Thomas J. Chemmanur ◽  
Xuan Tian

AbstractThis paper presents the first empirical analysis of the choice of firms regarding whether to release private information (“prepare the market”) in advance of a possible dividend cut and the consequences of such market preparation. We use a hand-collected data set of dividend cutting firms, which allows us to distinguish between prepared and nonprepared dividend cutters and to test the implications of two alternative theories: the “signaling through market preparation” theory and the “stock return volatility reduction” theory. We document several important differences between prepared and nonprepared dividend cutters. Overall, our empirical results are consistent with the signaling theory.


2021 ◽  
Vol 2021 (063) ◽  
pp. 1-49
Author(s):  
Yacine Aït-Sahalia ◽  
◽  
Felix Matthys ◽  
Emilio Osambela ◽  
Ronnie Sircar ◽  
...  

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty significantly improves portfolio performance, over and above the performance obtained by conditioning on volatility only.


2018 ◽  
Vol 20 (6) ◽  
pp. 75-97
Author(s):  
Shiyu Han ◽  
Lan Wu ◽  
Yuan Cheng

2007 ◽  
Vol 23 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Matthias R. Mehl ◽  
Shannon E. Holleran

Abstract. In this article, the authors provide an empirical analysis of the obtrusiveness of and participants' compliance with a relatively new psychological ambulatory assessment method, called the electronically activated recorder or EAR. The EAR is a modified portable audio-recorder that periodically records snippets of ambient sounds from participants' daily environments. In tracking moment-to-moment ambient sounds, the EAR yields an acoustic log of a person's day as it unfolds. As a naturalistic observation sampling method, it provides an observer's account of daily life and is optimized for the assessment of audible aspects of participants' naturally-occurring social behaviors and interactions. Measures of self-reported and behaviorally-assessed EAR obtrusiveness and compliance were analyzed in two samples. After an initial 2-h period of relative obtrusiveness, participants habituated to wearing the EAR and perceived it as fairly unobtrusive both in a short-term (2 days, N = 96) and a longer-term (10-11 days, N = 11) monitoring. Compliance with the method was high both during the short-term and longer-term monitoring. Somewhat reduced compliance was identified over the weekend; this effect appears to be specific to student populations. Important privacy and data confidentiality considerations around the EAR method are discussed.


Sign in / Sign up

Export Citation Format

Share Document