Search Results - subject:"aggregate volatility"

Investor sentiment and aggregate volatility pricing

Labidi, Chiraz; Yaakoubi, Soumaya - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 53-63

Persistent link: https://www.econbiz.de/10011627506

Aggregate volatility risk and the cross-section of stock returns : Australian evidence

Van Anh Mai; Ang, Tze Chuan; Fang, Victor - In: Pacific-Basin finance journal 36 (2016), pp. 134-149

Persistent link: https://www.econbiz.de/10011668769

Business Cycle Fluctuations, Large Shocks, and Development Aid; New Evidence

Dabla-Norris, Era; Minoiu, Camelia; Zanna, Luis-Felipe - International Monetary Fund (IMF) - 2010

We examine the cyclical properties of development aid using bilateral data for 22 donors and over 100 recipients during 1970?2005. We find that bilateral aid flows are on average procyclical with respect to business cycles in donor and recipient countries. However, they become countercyclical...

Persistent link: https://www.econbiz.de/10008727796

Spillovers of Domestic Shocks; Will they Counteract the "Great Moderation"?

Mody, Ashoka; Carare, Alina - International Monetary Fund (IMF) - 2010

Even prior to the extreme volatility just observed, output growth volatility-following protracted decline-was flattening or mildly rising in some countries. More widespread was an increasing tendency from the mid-1990s for shocks in one country to transmit rapidly to other countries, creating...

Persistent link: https://www.econbiz.de/10008533228

Why does higher variability of trading activity predict lower expected returns?

Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470

Persistent link: https://www.econbiz.de/10011544044

Aggregate volatility expectations and threshold CAPM

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The North American journal of economics and finance : a … 34 (2015), pp. 231-253

Persistent link: https://www.econbiz.de/10011539964

Putting the Parts together; Trade, Vertical Linkages, and Business Cycle Comovement

Levchenko, Andrei A.; Giovanni, Julian di - International Monetary Fund (IMF) - 2009

Countries that trade more with each other exhibit higher business cycle correlation. This paper examines the mechanisms underlying this relationship using a large cross-country industry-level panel dataset of manufacturing production and trade. We show that sector pairs that experience more...

Persistent link: https://www.econbiz.de/10008528677

Trade Openness and Volatility

Levchenko, Andrei A.; Giovanni, Julian di - International Monetary Fund (IMF) - 2008

appreciable impact on aggregate volatility. Added together they imply that the relationship between trade openness and overall …

Persistent link: https://www.econbiz.de/10010790347

Turnover : liquidity or uncertainty?

Barinov, Alexander - In: Management science : journal of the Institute for … 60 (2014) 10, pp. 2478-2495

Persistent link: https://www.econbiz.de/10010461871

High short interest effect and aggregate volatility risk

Barinov, Alexander; Wu, Juan - In: Journal of Financial Markets 21 (2014) C, pp. 98-122

future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility …, and the aggregate volatility risk factor can largely explain the high RSI effect. The key mechanism is that high RSI firms … more valuable as idiosyncratic volatility goes up. Idiosyncratic volatility usually increases with aggregate volatility (i …

Persistent link: https://www.econbiz.de/10011116721