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Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …. - Contagion ; financial crisis ; equity markets ; global transmission ; market integration ; country risk ; factor model …

Persistent link: https://www.econbiz.de/10009380410

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2013

Persistent link: https://www.econbiz.de/10009766337

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Persistent link: https://www.econbiz.de/10012259354

Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...

Persistent link: https://www.econbiz.de/10014483035

What do asset prices have to say about risk appetite and uncertainty?

Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental...

Persistent link: https://www.econbiz.de/10003832589

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert; Hoerova, Marie - 2014

Persistent link: https://www.econbiz.de/10010382050

International stock return comovements

Bekaert, Geert (contributor); Hodrick, Robert J. (contributor) - 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-Rouwenhorst (1994) model. We...

Persistent link: https://www.econbiz.de/10003789454