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Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals

Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020

This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...

Persistent link: https://www.econbiz.de/10012158166

Quantitative easing in the euro area : an event study approach

Urbschat, Florian; Watzka, Sebastian - 2017

reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit … risk reduction we find rather mild effects from portfolio rebalancing for all countries. …

Persistent link: https://www.econbiz.de/10011743065

Noise vs. news in equity returns

Chirinko, Robert S. (contributor); Foad, Hisham (contributor) - 2006

Persistent link: https://www.econbiz.de/10003377317

Mental models of the stock market

Andre, Peter; Schirmer, Philipp; Wohlfart, Johannes - 2023

Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...

Persistent link: https://www.econbiz.de/10014383579

Momentum effects in the cryptocurrency market after one-day abnormal returns

Caporale, Guglielmo Maria; Plastun, Alex - 2019

This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...

Persistent link: https://www.econbiz.de/10012118561

Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994 - 2013. The econometric analysis is based on the...

Persistent link: https://www.econbiz.de/10010383808

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417491

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404549

Measuring market expectations

Baumeister, Christiane - 2021

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

Persistent link: https://www.econbiz.de/10012622575

Retrospective capital gains taxation in the real world

Menoncin, Francesco; Panteghini, Paolo - 2009

even if the risk-free asset return is correlated with other risky assets' returns. However, equivalence fails to hold on an … achieved only if a huge amount of information is available, making its implementation a hard task. -- capital gains ; risk …

Persistent link: https://www.econbiz.de/10003850804