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The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...
Persistent link: https://www.econbiz.de/10009189918
This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications. In order to...
Persistent link: https://www.econbiz.de/10009385954
This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463...
Persistent link: https://www.econbiz.de/10008725850
This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...
Persistent link: https://www.econbiz.de/10009370244
Persistent link: https://www.econbiz.de/10009370255
In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...
Persistent link: https://www.econbiz.de/10008498113
This study investigates the extent to which three key summary accounting income figures, namely operating income (OPI), net income (NI) and comprehensive income (CI), provide value-relevant information to investors in major EU capital markets. Using a large sample over the pre-IAS-compliance...
Persistent link: https://www.econbiz.de/10008551618
We develop a dynamic model in which traders have differential information about the payoff of the risky asset and trade the risky asset with proportional transaction costs. Firstly, trading volume provides useful information on the asset fundamental value which cannot be inferred from the...
Persistent link: https://www.econbiz.de/10008551709
For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major...
Persistent link: https://www.econbiz.de/10008520016
Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence...
Persistent link: https://www.econbiz.de/10008520018