Suchergebnisse

"In the years since the subprime financial crisis of 2007-2011, we have learned a number of important lessons about the crisis, and have subsequently applied appropriate legislation, such as increased capital ratios and systematic stress testing, in order to combat it. However, it would be naive to suggest that such measures have put an end to the possibility of future crises. In this book, senior figures in economics, risk Management, and the banking sector use active research and policy debates to offer a wide perspective on what the next financial crisis may look like and what can be done about it from a regulatory point of view. By first exploring issues of macroeconomic policy, and then studying cutting-edge methodologies, challenging important aspects of testing financial practice, this book will be an essential read for all those studying and researching financial crises, financial regulation and macroprudential policy-making"--

AbstractWe examine dividend growth predictability and the excess volatility puzzle across a large sample of international equity markets using a mixed‐frequency data sampling (MIDAS) regression approach. We find that accounting for dividend seasonality under the MIDAS framework significantly improves dividend growth predictability compared to simple regressions with annually aggregated data. Moreover, variance bounds tests that allow for nonstationary dividends consistently fail to reject the market efficiency hypothesis across all countries. Our findings suggest that the common rejection of market efficiency in the literature is most likely driven by the annual aggregation of dividend data as well as by the assumption of stationary dividends.