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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

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 experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...

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

Stock returns and inflation redux : an explanation from monetary policy in advanced and emerging markets

Zhang, Zhongxia - 2021

Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I...

Persistent link: https://www.econbiz.de/10012796818

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

, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the … additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for …

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

Bank Funding Structures and Risk : Evidence From the Global Financial Crisis

Federico, Pablo - 2012

This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies … the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and …-crisis period were more likely to fail afterward. The likelihood of bank failure also increases with bank risk-taking. In the cross …

Persistent link: https://www.econbiz.de/10014396921

Bank Rating Changes and Bank Stock Returns : Puzzling Evidence From the Emerging Markets

Richards, Anthony J. - 1999

This paper examines the performance of emerging market bank stocks around the time of rating changes by major …

Persistent link: https://www.econbiz.de/10014400871

Systemic Risk and Financial Consolidation : Are they Related?

De Nicoló, Gianni - 2002

We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99....

Persistent link: https://www.econbiz.de/10014399710

Sever, Can; Perez-Archila, Manuel - 2021

bank- and firm-level data. Focusing on the deterioration of firms' balance sheets and the exposure of banks to different …

Persistent link: https://www.econbiz.de/10012796249

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