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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 …

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

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

Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies

Richards, Anthony J. - 1999

This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components of returns. This is the type of “hedged” position that is held by...

Persistent link: https://www.econbiz.de/10014400872

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 … total investment in firms with more intangible assets responds less to monetary policy, and that intangible investment … responds less to monetary policy compared to tangible investment. We identify two mechanisms behind these results. First, firms …

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

International financial connection and stock return comovement

Ando, Sakai - 2019

comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset … United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The …

Persistent link: https://www.econbiz.de/10012103619

Firm-Level Evidenceon International Stock Market Comovement

Brooks, Robin - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10014403861

International Stock Returns and Market Integration : A Regional Perspective

Del Negro, Marco - 2002

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of...

Persistent link: https://www.econbiz.de/10014401376

Can contingent convertibles help private asset managers fund their acquisition of nonperforming loans from Portuguese banks?

Santos, André Oliveira - 2019

This paper analyzes the capital structure of private asset managers in which the acquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles (CoCos) placed with investors. The paper develops a model based on NPL transfer prices and residual recovery rates to assess capital...

Persistent link: https://www.econbiz.de/10012021827

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

Heterogeneity and persistence in returns to wealth

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

We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...

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

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