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The Value Spread as a Predictor of Returns
Lu, Naiping - 2005
Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies. We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the...
Persistent link: https://www.econbiz.de/10012467357
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
returns. The documented predictability holds for annual and multi-annual horizons and works both in and out …
Persistent link: https://www.econbiz.de/10012457852
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora...
Persistent link: https://www.econbiz.de/10012459667
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Is Financial Globalization in Reverse After the 2008 Global Financial Crisis? Evidence from Corporate Valuations
Doidge, Craig - 2020
For the last two decades, non-US firms have lower valuations than similar US firms. We study the evolution of this valuation gap to assess whether financial markets are less integrated after the 2008 global financial crisis (GFC). The valuation gap for firms from developed markets increases by...
Persistent link: https://www.econbiz.de/10012481979
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A Century of Global Stock Markets
Jorion, Philippe - 2000
Persistent link: https://www.econbiz.de/10012471210
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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2009
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10012463572
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How Big are the Gains from International Financial Integration?
Hoxha, Indrit - 2009
The literature has shown that the implied welfare gains from international financial integration are very small. We revisit the existing findings and document that welfare gains can be substantial if capital goods are not perfect substitutes. We use a model of optimal savings that includes a...
Persistent link: https://www.econbiz.de/10012464013
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Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Diebold, Francis X. - 2008
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10012464836
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International Capital Flows, Returns and World Financial Integration
Evans, Martin D. D. - 2005
in equity and debt markets. Such developments are often attributed to the increased integration of world financial … markets. We present a model that allows us to examine how greater integration in world financial markets affects the behavior … concentrated in bonds. As integration progresses and households gain access to world equity markets, the size and volatility of …
Persistent link: https://www.econbiz.de/10012466971
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A Century of Global Stock Markets
Goetzmann, William N. - 1997
capitalist system in the world; most other countries have been plagued by political upheaval, war, and financial crises. The … purpose of this paper is to provide estimates of return on capital from long-term histories for world equity markets. By …
Persistent link: https://www.econbiz.de/10012472927