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Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

What triggers stock market jumps?

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021

Persistent link: https://www.econbiz.de/10012614411

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

Asset prices and alternative characterizations of the pricing kernel

Lüders, Erik - 2002

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

Persistent link: https://www.econbiz.de/10013428466

How do investors' expectations drive asset prices?

Lüders, Erik; Peisl, Bernhard - 2001

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

Persistent link: https://www.econbiz.de/10013428399

Stock market volatility and learning

Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2011

Persistent link: https://www.econbiz.de/10009308272

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Capital gains taxes and asset prices : the impact of tax awareness and procrastination

Eichfelder, Sebastian; Lau, Mona - 2014 - Version: July 2014

We argue that the impact of capital gains taxation on asset pricing depends on the tax awareness of market participants. While institutional investors should be generally well-informed about tax regulations, private investors have only limited tax knowledge and resources. As a result, market...

Persistent link: https://www.econbiz.de/10010383736

Capitalization of capital gains taxes : (In)attention and turn-of-the-year returns

Eichfelder, Sebastian; Lau, Mona - 2015 - Version: October 2015

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports....

Persistent link: https://www.econbiz.de/10011405098

The scenario-based equity price impact induced by greenhouse gas emissions

Weth, Mark A.; Baltzer, Markus; Bertram, Christoph; … - 2024

This paper proposes a forward-looking metric of transition risk that relates financial performance and incremental carbon costs at the firm level. To this end, we use a consistent dividend discount framework augmented with emission costs of firms and climate scenario projections from four...

Persistent link: https://www.econbiz.de/10015048429

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