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Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel - 2015
information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10013017087
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Contagion : How to Measure it?
Rigobon, Roberto - 2021
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10013243366
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Betting Against Beta
Frazzini, Andrea - 2010
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10013135232
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The Cross-Section and Time-Series of Stock and Bond Returns
Koijen, Ralph S. J. - 2010
Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...
Persistent link: https://www.econbiz.de/10013148389
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Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Campbell, John Y.; Sunderam, Adi; Viceira, Luis M. - 2021
The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953--2009, it was unusually high in the early 1980''s and negative in the 2000''s, particularly in the downturns of 2000--02 and 2007--09....
Persistent link: https://www.econbiz.de/10013244134
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Emerging Local Currency Bond Markets
Burger, John D. - 2010
We assess the development of local currency bond markets in emerging market economies (EMEs). Supported by policies and laws that helped to improve macroeconomic stability and creditor rights, many local currency EME bond markets have grown substantially over the past decade and have also...
Persistent link: https://www.econbiz.de/10013139558
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Flights to Safety
Baele, Lieven - 2013
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10013081241
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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2010
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10013152498
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Foreign Participation in Local Currency Bond Markets
Burger, John D. - 2010
Countries that cannot attract foreigners to invest in their local currency bonds run the risk of currency mismatches that can result in painful crises. We analyze foreign participation in the bond markets of over 40 countries. Bond markets in less developed countries have returns characterized...
Persistent link: https://www.econbiz.de/10012760626
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Foreign Speculators and Emerging Equity Markets
Bekaert, Geert - 2008
equity markets. We also examine the impact of capital marketquot; liberalizations on the correlation of emerging equity … market returns and the world market return. quot; Our empirical approach is designed to control for other economic events … statistically weak. The effects on volatility and correlation are less robust.quot …
Persistent link: https://www.econbiz.de/10012774923