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Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011646274

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10011482859

The micro dynamics of macro announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

Persistent link: https://www.econbiz.de/10010190208

Macro news and bond yield spreads in the Euro area

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

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

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

Cyber-attacks and cryptocurrencies

Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020

This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and …

Persistent link: https://www.econbiz.de/10012171767

The great risk shift? : income volatility in an international perspective

Buch, Claudia M. (contributor) - 2008

Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which … builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …

Persistent link: https://www.econbiz.de/10003790966

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …

Persistent link: https://www.econbiz.de/10003861767

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

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

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115