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Firm-Level Evidence on International Stock Market Comovement
Brooks, Robin; Negro, Marc Del - Institut für Weltwirtschaft (IfW) - 2005
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10010887021
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Phase Transition in the S&P Stock Market
Raddant, Matthias; Wagner, Friedrich - Institut für Weltwirtschaft (IfW) - 2013
We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...
Persistent link: https://www.econbiz.de/10010886861
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Transitions in the Stock Markets of the US, UK, and Germany
Raddant, Matthias; Wagner, Friedrich - Institut für Weltwirtschaft (IfW) - 2014
systematically describe a risk measure for stocks from different sectors of the economy. This slowly varying sector specific risk … measure describes ordered states in the market and identifies sectors which show concentration of market risk …
Persistent link: https://www.econbiz.de/10011120335
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International Diversification at Home and Abroad
Cai, Fang; Warnock, Francis E. - Institut für Weltwirtschaft (IfW) - 2005
We analyze foreigners’ and domestic institutional investors’ positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...
Persistent link: https://www.econbiz.de/10010886952
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012
belonging to the long-term strategy. The results show that the ETL is a better measure of the downside risk than the Value-at-Risk …
Persistent link: https://www.econbiz.de/10010956076
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Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?
Orlowski, Lucjan T. - Institut für Weltwirtschaft (IfW) - 2008
Stearns and Lehman Brothers with counterparty risk effects on other financial institutions; the commodity price bubble, and …
Persistent link: https://www.econbiz.de/10005083415
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Alan Greenspan, the quants and stochastic optimal control
Stein, Jerome L. - Institut für Weltwirtschaft (IfW) - 2010
function on too thin layer of capital - high leverage - owing to a misreading of the degree of risk embodied in ever more … is upon capital requirements or debt ratios. The 'Quants' ignored systemic risk and just focused upon risk transfer in … following questions: what is an optimal leverage or capital requirement that balances the expected growth against risk? What are …
Persistent link: https://www.econbiz.de/10008543004
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Secular stagnation
Bossone, Biagio - Institut für Weltwirtschaft (IfW) - 2014
This study analyzes the emergence of secular stagnation as the consequence of a rise in the preference for liquidity. Such a rise is caused by a persistent set of pessimistic expectations. This study also investigates the effectiveness of a broad range of demand-management policies in dealing...
Persistent link: https://www.econbiz.de/10011076235
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Capital Flows, Financial Asset Prices and Real Financial Market Exchange - Rate: A Case Study for an Emerging Market, India
Ghosh, Saurabh; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2012
In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...
Persistent link: https://www.econbiz.de/10010886833
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Real Financial Market Exchange Rates and Capital Flows
Leppin, Julian S.; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2014
different regimens thereby reflecting the impact of substantial swings in agents’ risk perception on CDS spreads. Overall, our … results confirm the importance of nonlinearities in the pricing of risk derivatives during tranquil and turbulent times …
Persistent link: https://www.econbiz.de/10010886881