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The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
Atanasov, Victoria; Nitschka, Thomas - 2013
basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …
Persistent link: https://www.econbiz.de/10010326554
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Stock Selection Strategies in Emerging Markets
van der Hart, Jaap; Slagter, Erica; van Dijk, Dick - 2001
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging …
Persistent link: https://www.econbiz.de/10010324784
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010325965
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Common Risk Factors in Equity Markets
Atanasov, Victoria - 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010377245
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm …
Persistent link: https://www.econbiz.de/10010326212
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How Banks Respond to Distress: Shifting Risks in Europe's Banking Union
Mink, Mark; Ramcharan, Rodney; van Lelyveld, Iman - 2020
This paper uses granular bond portfolio data to study how banking systems across the European Union (EU) adjust their asset holdings in response to regulatory solvency shocks. We also study the impact of these shocks at financial intermediaries on the prices of bonds in their portfolio. Despite...
Persistent link: https://www.econbiz.de/10012233968
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Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements
Lizyayev, Andrey - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10010325987
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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10010326245
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Private and Public Risk Sharing in the Euro Area
Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo M. - 2017
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...
Persistent link: https://www.econbiz.de/10011819457
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Private and Public Risk Sharing in the Euro Area
Cimadomo, Jacopo - 2017
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...
Persistent link: https://www.econbiz.de/10012951732