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The expectations hypothesis: New hope or illusory support?

Jitmaneeroj, Boonlert; Wood, Andrew - In: Journal of Banking & Finance 37 (2013) 3, pp. 1084-1092

Recent studies of the expectations hypothesis of the term structure (EHTS) find evidence in favor of the EHTS using post 1980s US data. This has been attributed to the relative macro stability of this period and greater market efficiency. Using a panel of forecasts for 3-month interest rates for...

Persistent link: https://www.econbiz.de/10010608661

Rational expectations, changing monetary policy rules, and real exchange rate dynamics

Chen, Shiu-Sheng; Chou, Yu-Hsi - In: Journal of Banking & Finance 36 (2012) 10, pp. 2824-2836

This paper reexamines the explanatory power of Taylor rule fundamentals for real exchange rate determination. We assume the agents know the time-varying parameters in central bank policy rules. The empirical results suggest that a monetary policy rule with regime switching is better able to...

Persistent link: https://www.econbiz.de/10010595271

Profitability of time series momentum

He, Xue-Zhong; Li, Kai - In: Journal of Banking & Finance 53 (2015) C, pp. 140-157

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the performance of momentum strategy is determined by both time horizon and the market dominance of momentum traders....

Persistent link: https://www.econbiz.de/10011209842

Robust portfolio choice with ambiguity and learning about return predictability

Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of Banking & Finance 37 (2013) 5, pp. 1397-1411

We analyze the optimal stock-bond portfolio under both learning and ambiguity aversion. Stock returns are predictable … a closed-form solution for the optimal robust investment strategy. We find that both learning and ambiguity aversion … impact the level and structure of the optimal stock investment. Suboptimal strategies resulting either from not learning or …

Persistent link: https://www.econbiz.de/10010741754

Overconfident individual day traders: Evidence from the Taiwan futures market

Kuo, Wei-Yu; Lin, Tse-Chun - In: Journal of Banking & Finance 37 (2013) 9, pp. 3548-3561

A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin....

Persistent link: https://www.econbiz.de/10011065676

Bailout uncertainty in a microfounded general equilibrium model of the financial system

Cukierman, Alex; Izhakian, Yehuda - In: Journal of Banking & Finance 52 (2015) C, pp. 160-179

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest...

Persistent link: https://www.econbiz.de/10011209863

When active fund managers deviate from their peers: Implications for fund performance

Gupta-Mukherjee, Swasti - In: Journal of Banking & Finance 37 (2013) 4, pp. 1286-1305

This paper proposes that the extent to which mutual fund managers’ beliefs deviate from the ex ante unobservable representative beliefs of their peers contains information about their skill. A new measure based on portfolio allocations, peer deviation, is used to capture a fund manager’s...

Persistent link: https://www.econbiz.de/10010741755

Incomplete information, idiosyncratic volatility and stock returns

Berrada, Tony; Hugonnier, Julien - In: Journal of Banking & Finance 37 (2013) 2, pp. 448-462

When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock’s idiosyncratic volatility and the investors’ aggregated forecast errors. If...

Persistent link: https://www.econbiz.de/10010595295

Information demand and stock market volatility

Vlastakis, Nikolaos; Markellos, Raphael N. - In: Journal of Banking & Finance 36 (2012) 6, pp. 1808-1821

We study information demand and supply at the firm and market level using data for 30 of the largest stocks traded on NYSE and NASDAQ. Demand is approximated in a novel manner from weekly internet search volume time series drawn from the recently released Google Trends database. Our paper makes...

Persistent link: https://www.econbiz.de/10010574877

Modelling long run comovements in equity markets: A flexible approach

Martins, Luis F.; Gabriel, Vasco J. - In: Journal of Banking & Finance 47 (2014) C, pp. 288-295

International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an ‘interrupted’ Markov switching cointegration specification. This flexible approach allow us to study to what extent...

Persistent link: https://www.econbiz.de/10010931666