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Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts
Delatte, Anne-Laure - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10013056598
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2015
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk …-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size … factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has …
Persistent link: https://www.econbiz.de/10013038431
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Box-Jenkins modeling of Greek stock prices data
Dritsaki, Chaido - In: International journal of economics and financial issues … 5 (2015) 3, pp. 740-747
Persistent link: https://www.econbiz.de/10011454204
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Market abuse under different close price determination mechanisms : a European case
Alexakis, Christos A.; Pappas, Vasileios; Skarmeas, … - In: International review of financial analysis 74 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012803939
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Measuring the Effects of Unconventional Monetary Policy on Asset Prices
Swanson, Eric T. - 2015
I adapt the methods of Gurkaynak, Sack, and Swanson (2005) to estimate two dimensions of monetary policy during the 2009-2015 zero lower bound period in the U.S. I show that, after a suitable rotation, these two dimensions can be interpreted as "forward guidance" and "large-scale asset...
Persistent link: https://www.econbiz.de/10013009914
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Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-Cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10013077962
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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10012436893
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Monetary policy and stock returns under the MPC and inflation targeting
Chortareas, Georgios E.; Noikokyris, Emmanouil - In: International review of financial analysis 31 (2014), pp. 109-116
Persistent link: https://www.econbiz.de/10010461531
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Covid-Induced Economic Uncertainty
Baker, Scott R. - 2020
Assessing the economic impact of the COVID-19 pandemic is essential for policymakers, but challenging because the crisis has unfolded with extreme speed. We identify three indicators – stock market volatility, newspaper-based economic uncertainty, and subjective uncertainty in business...
Persistent link: https://www.econbiz.de/10012837188