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International stock return comovements
Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - 2008
portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better …
Persistent link: https://www.econbiz.de/10011604977
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International equity flows and returns: a quantative equilibrium approach
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10011604356
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Sovereign risk premia in the European government bond market
Bernoth, Kerstin; von Hagen, Jürgen; Schuknecht, Ludger - 2004
differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …
Persistent link: https://www.econbiz.de/10011604415
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European Union enlargement and equity markets in accession countries
Dvorak, Tomas; Podpiera, Richard - 2005
. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due …
Persistent link: https://www.econbiz.de/10011604598
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008
and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though we …
Persistent link: https://www.econbiz.de/10011604908
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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10011605091
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Pricing of bonds and equity when the zero lower bound is relevant
Kick, Heinrich - 2017
. We achieve statistically signicant risk premia by imposing restrictions on the matrix of risk premia. Taken together …
Persistent link: https://www.econbiz.de/10011606037
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The risk premium channel and long-term growth
Schumacher, Malte Daniel; Żochowski, Dawid - 2017
being financially constrained leads to an increase in risk premia. Even for a small adverse shock to productivity a drop in … framework a constraint on leverage induces countercyclical risk premia in equity markets even when it does not bind. …
Persistent link: https://www.econbiz.de/10011853302
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Investor heterogeneity and large-scale asset purchases
Breckenfelder, Johannes; De Falco, Veronica - 2024
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014543663
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Unconventional monetary policy and funding liquidity risk
d'Avernas, Adrien; Vandeweyer, Quentin; Darracq … - 2020
crisis. We propose a macro-finance model featuring both traditional and shadow banks subject to funding risk. When banks are … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012389553