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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2014
We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...
Persistent link: https://www.econbiz.de/10013054678
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship … between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long …
Persistent link: https://www.econbiz.de/10012842441
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Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area
Beetsma, Roel M. W. J. - 2017
Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...
Persistent link: https://www.econbiz.de/10012956251
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Trading ahead of Treasury auctions
Sigaux, Jean-David - 2021
I develop and test a model explaining the gradual price decrease observed in the days leading up to anticipated asset sales such as Treasury auctions. In the model, risk-averse investors expect an uncertain increase in the net supply of a risky asset. They face a trade-off between hedging the...
Persistent link: https://www.econbiz.de/10013315375
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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
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The Predictive Content of Sectoral Stock Prices : A US-Euro Area Comparison
Andersson, Magnus - 2011
This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the Euro Area. Our findings are that the predictive content of sectoral stock market indicators: i) is...
Persistent link: https://www.econbiz.de/10013125196
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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
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What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model
Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2006
We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for …
Persistent link: https://www.econbiz.de/10011604723
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A High Frequency Assessment of the ECB Securities Markets Programme
Ghysels, Eric - 2014
Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...
Persistent link: https://www.econbiz.de/10013059119
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Contagion from market price impact: A price-at-risk perspective
Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022
holdings under a severe stress scenario. As a result, we show how the bias of more homogeneous estimation techniques, commonly …
Persistent link: https://www.econbiz.de/10014278196