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Sovereign Credit Ratings, Market Volatility, and Financial Gains
Afonso, António - 2014
filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …
Persistent link: https://www.econbiz.de/10013057674
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2014
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013054678
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Financial Literacy and Savings Account Returns
Deuflhard, Florian - 2015
Savings accounts are owned by most households, but little is known about the performance of households' investments. We create a unique dataset by matching information on individual savings accounts from the DNB Household Survey with market data on account-specific interest rates and...
Persistent link: https://www.econbiz.de/10013014617
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Risk and Return in International Corporate Bond Markets
De Santis, Roberto A. - 2020
pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …
Persistent link: https://www.econbiz.de/10012825946
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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
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Asset Returns Under Model Uncertainty : Evidence From the Euro Area, the US and the UK
Sousa, João - 2013
The goal of this paper is to analyze predictability of future asset returns in the context of model uncertainty. Using data for the euro area, the US and the UK, we show that one can improve the forecasts of stock returns using a model averaging approach, and there is a large amount of model...
Persistent link: https://www.econbiz.de/10013078196
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …
Persistent link: https://www.econbiz.de/10011605305
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Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area
Beetsma, Roel M. W. J. - 2017
following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …
Persistent link: https://www.econbiz.de/10012956251
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The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks
De Santis, Roberto A. - 2006
Using bilateral data on international equity and bond flows, we find that the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets. Moreover, over the turbulent 1998-2001 period characterised...
Persistent link: https://www.econbiz.de/10011604724