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Risk and Return in International Corporate Bond Markets

De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Persistent link: https://www.econbiz.de/10012825946

Detecting and interpreting financial stress in the euro area

Blix Grimaldi, Marianna - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10011605260

Disentangling the Role of the Exchange Rate in Oil-Related Scenarios for the European Stock Market

Ojea Ferreiro, Javier - 2021

domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are … concept, to assess how could change the stock market response depending on the source of risk that moves oil prices. I apply …-related scenario in euros could generate an opposite impact in the European stock market depending on the source of risk. The source of …

Persistent link: https://www.econbiz.de/10013315362

Commonality in Hedge Fund Returns : Driving Factors and Implications

Bussière, Matthieu - 2014

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds' commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds' exposure to...

Persistent link: https://www.econbiz.de/10013057670

Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability

De Santis, Roberto A.; Favero, Carlo A.; Roffia, Barbara - 2008

The long-run relationship between money and prices in the euro area embedded in traditional money demand models with income and interest rates broke down after 2001. We develop a money demand model where investors hold a diversified portfolio with money, domestic and foreign stocks and long-term...

Persistent link: https://www.econbiz.de/10011604972

Asset Returns Under Model Uncertainty : Evidence From the Euro Area, the US and the UK

Sousa, João - 2013

risk premium. As for the US, only a few predictors play an important role. In the case of the UK, future stock returns are …

Persistent link: https://www.econbiz.de/10013078196

Finance and Diversification

Manganelli, Simone - 2010

faster for sectors that have a higher "natural" long-term risk-adjusted growth and which exhibit higher information frictions …

Persistent link: https://www.econbiz.de/10013136834

Household's Portfolio Structure in Germany - Analysis of Financial Accounts Data 1959-2009

Ramb, Fred - 2011

Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interest rate elasticities were calculated using a unique new quarterly financial accounts macro data set which covers the period from...

Persistent link: https://www.econbiz.de/10013124189

Investing in Crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

Persistent link: https://www.econbiz.de/10013227328

Insurers’ Investment Strategies : Pro- or Countercyclical?

Fache Rousová, Linda; Giuzio, Margherita - 2021

increasing risk premia, and countercyclicality in response to rises in the risk-free rate. Using granular data on insurers …

Persistent link: https://www.econbiz.de/10013315359

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