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Brumm, Johannes - 2014

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …

Persistent link: https://www.econbiz.de/10013051665

The uncovered return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2007

This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...

Persistent link: https://www.econbiz.de/10011604858

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - 2007

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...

Persistent link: https://www.econbiz.de/10011604877

How arbitrage-free is the Nelson-Siegel Model?

Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - 2008

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...

Persistent link: https://www.econbiz.de/10011604920

International stock return comovements

Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - 2008

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We...

Persistent link: https://www.econbiz.de/10011604977

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10011605091

Multimarket trading and the cost of debt: evidence from global bonds

Petrasek, Lubomir - 2010

Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...

Persistent link: https://www.econbiz.de/10011605258

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

Persistent link: https://www.econbiz.de/10013106056

Catching Falling Knives : Speculating on Market Overreaction

Colliard, Jean-Edouard - 2013

Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...

Persistent link: https://www.econbiz.de/10013082533

Stock Return Comovement When Investors are Distracted : More, and More Homogeneous

Ehrmann, Michael - 2020

-specific and from global news. When movements in global stock markets are large, the pricing of global news reverts back to normal …

Persistent link: https://www.econbiz.de/10012833580