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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10013094817
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Assets Returns Volatility and Investment Horizon : The French Case
Bec, Frederique - 2009
-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …
Persistent link: https://www.econbiz.de/10013160520
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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria - 2013
is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …
Persistent link: https://www.econbiz.de/10013081704
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Oil Price Uncertainty and Sectoral Stock Returns in China : A Time-Varying Approach
Caporale, Guglielmo Maria - 2014
ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model …
Persistent link: https://www.econbiz.de/10013050468
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How Much Do Means-Tested Benefits Reduce the Demand for Annuities?
Butler, Monika - 2011
We analyze the effect of means-tested benefits on annuitization decisions. Most industrialized countries provide a subsistence level consumption floor in old age, usually in the form of means-tested benefits. The availability of such means-tested payments creates an incentive to cash out...
Persistent link: https://www.econbiz.de/10013123214
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Institutional Reform and Depositors' Portfolio Choice -- Evidence from Censored Quantile Regressions
Berlemann, Michael - 2014
access to financial markets quite quickly result in increasing market participation. However, the degree and sort of risk …
Persistent link: https://www.econbiz.de/10013053072
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'Unwarranted' Wage Changes and the Return on Capital
Katsimi, Margarita - 2009
Casual empiricism suggests that “unwarranted” wage changes, defined as the part of wage growth that is not explained by changes in labour productivity, are negatively associated with the return on capital. The main point of this paper is to show that “unwarranted” wage changes have no...
Persistent link: https://www.econbiz.de/10013156013
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A Neglected Semi-Stylized Fact of Daily Stock Returns
Kraemer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10012994582
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
Persistent link: https://www.econbiz.de/10013315674
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Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - 2021
evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10013316234