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Gold and Oil Prices : Abnormal Returns, Momentum and Contrarian Effects
Caporale, Guglielmo Maria - 2020
This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the … returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can … be detected. On the following day two different price patterns are detected: a momentum effect for Oil prices and a …
Persistent link: https://www.econbiz.de/10012827113
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Momentum Effects in the Cryptocurrency Market after One-Day Abnormal Returns
Caporale, Guglielmo Maria - 2019
This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market … returns is different on overreaction days compared to normal days; H2) there is a momentum effect on overreaction days, and H3 … day when it occurs, which implies the existence of a momentum effect on that day giving rise to exploitable profit …
Persistent link: https://www.econbiz.de/10012859990
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Asset Pricing and the Carbon Beta of Externalities
Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021
Climate policy needs to set incentives for actors who face imperfect, distorted markets and large uncertainties about the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon beta). We study carbon pricing and financial incentives...
Persistent link: https://www.econbiz.de/10013214337
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Time-Varying Parameters in Monetary Policy Rules : A GMM Approach
Anderl, Christina; Caporale, Guglielmo Maria - 2023
, Australia, New Zealand, Sweden) and five countries with alternative monetary regimes (the US, Japan, Denmark, the Euro Area …
Persistent link: https://www.econbiz.de/10014348141
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Retaining Alpha : The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns
Melvin, Michael - 2020
The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...
Persistent link: https://www.econbiz.de/10012839779
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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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
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...
Persistent link: https://www.econbiz.de/10013235116
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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10013250734
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Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10013211113