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The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021
prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …
Persistent link: https://www.econbiz.de/10013235116
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How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …
Persistent link: https://www.econbiz.de/10011615843
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10010266065
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Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...
Persistent link: https://www.econbiz.de/10013427742
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Why Does Idiosyncratic Risk Increase with Market Risk?
Bartram, Söhnke M.; Brown, Gregory; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011698727
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Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...
Persistent link: https://www.econbiz.de/10014237624
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Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement
Fehr, Hans - 2019
We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...
Persistent link: https://www.econbiz.de/10012864931
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Five Facts About Beliefs and Portfolios
Giglio, Stefano - 2019
We administer a newly-designed survey to a large panel of retail investors who have substantial wealth invested in financial markets. The survey elicits beliefs that are crucial for macroeconomics and finance, and matches respondents with administrative data on their portfolio composition and...
Persistent link: https://www.econbiz.de/10012866380
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Hedging Climate Change News
Engle, Robert F. - 2019
We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise...
Persistent link: https://www.econbiz.de/10012866389
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Decomposing the Disposition Effect
Maier, Johannes; Fischer, Dominik - 2021
We theoretically show that there is a fundamental disconnect between the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses...
Persistent link: https://www.econbiz.de/10013324218