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Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10011412487

Why Do Firms Borrow from Foreign Banks?

Yilmaz, Umit - 2020

I examine U.S. firms' motives for participating in cross-border syndicated loans with foreign banks. Firms borrowing from foreign lead arrangers pay higher interest rates on their loans compared to firms borrowing from local banks, controlling for firm and loan characteristics and using matched...

Persistent link: https://www.econbiz.de/10012270749

Finance and Efficiency : Do Bank Branching Regulations Matter?

Acharya, Viral V. - 2012

sectors, with end effects on state-level volatility. This change in state-level volatility cannot be explained simply by …. This partly occurs because sectors with zero weight in the benchmark allocation see their share of total output shrink. We … show convergence is particularly strong in sectors characterized by young, small and external finance dependent firms, and …

Persistent link: https://www.econbiz.de/10012713156

Foreign acquisition and credit risk : evidence from the U.S. CDS market

Yilmaz, Umit - 2016 - This draft: May 31, 2016

This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...

Persistent link: https://www.econbiz.de/10011519062

Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - 2010

It is well known that non-normality plays an important role in asset and risk management. However, handling a large number of assets has long been a challenge due to the curse of dimensionality. We describe a statistical technique, which we call Moment Component Analysis (MCA), that extends...

Persistent link: https://www.econbiz.de/10008797742

Volatility spillovers, asymmetry and extreme events in securitized real estate returns

Hoesli, Martin; Reka, Kustrim - 2010

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...

Persistent link: https://www.econbiz.de/10008797759

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2012

This paper (i) proposes a simple multi-currency model of speculative foreign exchange (FX) trading, (ii) uses a natural experiment to identify the implied components of the optimal trading strategy, and (iii) proposes a new spectral inference method to strengthen the statistical evidence on the...

Persistent link: https://www.econbiz.de/10009558406

Dynamic Currency Hedging with Ambiguity

Polak, Pawel; Ulrych, Urban - 2021

This paper establishes a general relation between investor's ambiguity and non-Gaussianity of financial asset returns. Based on that relation and utilizing a flexible non-Gaussian returns model for the joint distribution of portfolio and currency returns, we develop an ambiguity-adjusted dynamic...

Persistent link: https://www.econbiz.de/10013215574

Ambiguity and the home currency bias

Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020

This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A robust mean-variance model with smooth ambiguity preferences is used to derive the optimal currency exposure. In the theoretical part, we show that the sample-efficient...

Persistent link: https://www.econbiz.de/10012271218

A theory of scenario generation

Schneider, Paul - 2019

We show how distributions can be reduced to low-dimensional scenario trees. Applied to intertemporal distributions, the scenarios and their probabilities become time-varying factors. From S&P 500 options, two or three time-varying scenarios suffice to forecast returns, implied variance or...

Persistent link: https://www.econbiz.de/10012003165

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