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Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Richards, Anthony J. - 1996

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory...

Persistent link: https://www.econbiz.de/10014398637

Additions to market indices and the comovement of stock returns around the world

Claessens, Stijn; Yāfe, Yišay - 2011

Persistent link: https://www.econbiz.de/10009487130

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

Additions to Market Indices and the Comovement of Stock Returns Around the World

Yafeh, Yishay - 2011

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...

Persistent link: https://www.econbiz.de/10014402208

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

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

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

Another piece of the puzzle : adding SWIFT data on documentary collections to the short-term forecast of world trade

Ghazaryan, Narek; Goumilevski, Alexei; Mongardini, Joannes - 2021

This paper extends earlier research by adding SWIFT data on documentary collections to the short-term forecast of … have strong explanatory power to forecast world trade and national trade in selected economies. The informational content … from documentary collections helps improve the forecast of world trade, while a horse race with machine learning algorithms …

Persistent link: https://www.econbiz.de/10012794915

Energy transition metals

Boer, Lukas; Pescatori, Andrea; Stuermer, Martin - 2021

Persistent link: https://www.econbiz.de/10012796674

An evaluation of World Economic Outlook growth forecasts - 2004-17

Celasun, Oya; Lee, Jungjin; Mrkaic, Mico; Timmermann, Allan - 2021

countries less accurate than a naive forecast given by the average growth rate in the recent past. The analysis suggests that a …

Persistent link: https://www.econbiz.de/10012796831

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