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Revealing Downturns
Schmalz, Martin C. - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10012922837
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Asset Pricing Implications of a New Keynesian Model : A Note
Heer, Burkhard - 2013
De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10013089158
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The Changing Macroeconomic Response to Stock Market Volatility Shocks
Beetsma, Roel M. W. J. - 2011
activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …
Persistent link: https://www.econbiz.de/10013117909
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The Impact of Creditor Protection on Stock Prices in the Presence of Liquidity Crises : Theory and Cross-Country Evidence
Hale, Galina - 2013
: the probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of … across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …
Persistent link: https://www.econbiz.de/10013091211
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The Impact of Creditor Protection on Stock Prices in the Presence of Credit Crunches
Hale, Galina - 2013
Data show that better creditor protection is correlated across countries with lower average stock market volatility …
Persistent link: https://www.econbiz.de/10013093466
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Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard - 2017
volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …
Persistent link: https://www.econbiz.de/10012954361
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Pulling Up the Tarnished Anchor : The End of Silver As a Global Unit of Account
Fernholz, Ricardo T. - 2017
suggests that a global bimetallic system, in which the gold price of silver uctuates, has higher price volatility than a global …
Persistent link: https://www.econbiz.de/10012955754
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012958874
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012910613
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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis
Caporale, Guglielmo Maria - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10013048822