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Why Does Idiosyncratic Risk Increase with Market Risk
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …
Persistent link: https://www.econbiz.de/10012950299
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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias; Suter, Rahel - CESifo - 2013
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …
Persistent link: https://www.econbiz.de/10010667417
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What do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, Michael - CESifo - 2013
the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible …
Persistent link: https://www.econbiz.de/10010639427
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Financial Frictions and Inflation Differentials in a Monetary Union
Hristov, Nikolay - 2010
This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation differentials can be explained by cross-country differences concerning the characteristics of financial markets. Our results suggest that empirically plausible degrees of...
Persistent link: https://www.econbiz.de/10013136243
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10013126003
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How National and International Financial Development Affect Industrial R&D
Maskus, Keith E. - 2013
We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990-2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...
Persistent link: https://www.econbiz.de/10013092838
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Terrorist Attacks and Financial Markets
Bonekamp, Bas - 2017
This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin (2016) on the stock indices of the...
Persistent link: https://www.econbiz.de/10012962114
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - CESifo - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The … beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 … WIG and WIG20 indexes on individual foreign stock market indexes. The beta risk is an average of monthly individual beta …
Persistent link: https://www.econbiz.de/10005249463
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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10013134234
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Market Transparency and Fragility
Cespa, Giovanni - 2019
We show that dealers' limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering...
Persistent link: https://www.econbiz.de/10012902334