Similar Search Results

COVID-19 containment measures and expected stock volatility : high-frequency evidence from selected advanced economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2021

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies …-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly … following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally …

Persistent link: https://www.econbiz.de/10012612335

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

International Monetary Fund - 2009

This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility … markets are found to a¤ect both conditional returns and volatility, with the e¤ects on volatility being more pronounced and … volatility dynamics in external emerging bond markets …

Persistent link: https://www.econbiz.de/10014404285

The present value of corporate profits : a forecasters’ survey perspective

Andrle, Michal - 2019

This paper presents and discusses the estimates of the present value of corporate profits in the United States from 1984 to 2018. To value the expected income stream, it uses the long-range forecasts of professional forecasters for pre-tax corporate earnings and long-term Treasury note yields,...

Persistent link: https://www.econbiz.de/10012001557

FX intervention to stabilize or manipulate the exchange rate? : inference from profitability

Sandri, Damiano - 2020

We analyze the profitability of FX swaps used by the central bank of Brazil to shed light on the rationale for FX intervention. We find that swaps are profitable in expectation, suggesting that FX intervention is used to stabilize the exchange rate in the face of temporary excessive movements...

Persistent link: https://www.econbiz.de/10012251968

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

Search Unemployment with Advance Notice

Garibaldi, Pietro - 1998

This paper proposes and solves a search model in which job separation requires mandatory notice. When jobs are subject to idiosyncratic uncertainty, firms would issue advance notice even with good business conditions. We show that such precautionary policy is not pursued if it entails...

Persistent link: https://www.econbiz.de/10014400716

Responses of the Stock Market to Macroeconomic Announcements Across Economic States

Hu, Frederick Zu-liu - 1998

Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money...

Persistent link: https://www.econbiz.de/10014401312

Why Does Bad News Increase Volatility and Decrease Leverage?

Fostel, Ana - 2010

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain … pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more … often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous …

Persistent link: https://www.econbiz.de/10014395754

Discretionary Trading and Asset Price Volatility

Aziz, Jahangir - 1995

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and...

Persistent link: https://www.econbiz.de/10014395952

Exchange Rate Movements and International Interdependence of Stock Markets

International Monetary Fund - 1989

predictions of the theory …

Persistent link: https://www.econbiz.de/10014396348