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The impact of geopolitical risk on stock returns : evidence from inter-Korea geopolitics

Jung, Seungho; Lee, Jongmin; Lee, Seohyun - 2021

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

Persistent link: https://www.econbiz.de/10012796347

Pricing protest : the response of financial markets to social unrest

Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Persistent link: https://www.econbiz.de/10012518928

Monetary policy and intangible investment

Döttling, Robin; Ratnovski, Lev - 2020

We contrast how monetary policy affects intangible relative to tangible investment. We document that the stock prices of firms with more intangible assets react less to monetary policy shocks, as identified from Fed Funds futures movements around FOMC announcements. Consistent with the stock...

Persistent link: https://www.econbiz.de/10012300640

Heterogeneity and persistence in returns to wealth

Fagereng, Andreas; Guiso, Luigi; Malacrino, Davide; … - 2018

differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial …

Persistent link: https://www.econbiz.de/10011905850

Portfolio Diversification, Leverage, and Financial Contagion

Smith, T. Todd - 1999

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …

Persistent link: https://www.econbiz.de/10014400415

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

Del Negro, Marco - 2005

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...

Persistent link: https://www.econbiz.de/10014400963

The Brady-Euro Yield Differential Debate : Why Arbitrage is Infeasible

Kaune Moreno, Federico L. - 1996

Brady bonds offer substantially higher returns than Eurobonds. This paper examines the Brady and Eurobond markets for developing country debt and finds that the apparent arbitrage opportunity is not only smaller than it at first appears, but is infeasible given the illiquidity of the Eurobond...

Persistent link: https://www.econbiz.de/10014395922

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - 2003

value for market participants in asset pricing and risk management, as well as for policymakers in the design of …

Persistent link: https://www.econbiz.de/10014400143

Explaining International Comovements of Output and Asset Returns : The Role of Money and Nominal Rigidities

Kollman, Robert Miguel W. K. - 1999

Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact....

Persistent link: https://www.econbiz.de/10014400201

The New Economy and Global Stock Return

Catão, Luis - 2000

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle...

Persistent link: https://www.econbiz.de/10014401448

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