Showing 1 - 10 of 17,118
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...
Persistent link: https://www.econbiz.de/10011096567
In Andersen and Bondarenko (2014), using tick data for S&P 500 futures, we establish that the VPIN metric of Easley, Lopez de Prado, and O'Hara (ELO), by construction, will be correlated with trading volume and return volatility (innovations). Whether VPIN is more strongly correlated with volume...
Persistent link: https://www.econbiz.de/10011099292
International capital markets tend to be characterized by volatility, which is always a function of world economic and political environment and is frequently associated with contagion risk and increased cross-market linkages. This phenomenon affects both developed markets and emerging markets,...
Persistent link: https://www.econbiz.de/10011107424
This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities rather than the daily price movements. We demonstrate that the effects of short selling activity changes during the two sessions of the day and...
Persistent link: https://www.econbiz.de/10011107632
interest rates during the crisis. We compare the results obtained with a similar analysis for a period of time before the …
Persistent link: https://www.econbiz.de/10011108395
This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. For a sample including six major European economies, we find that sovereign and...
Persistent link: https://www.econbiz.de/10011110320
market spread and its equity-implied spread, exploit the information provided by the time-varying price discovery of the …
Persistent link: https://www.econbiz.de/10011110924
First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...
Persistent link: https://www.econbiz.de/10011110979
We examine the existence of stock market contagion effects among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France, the Netherlands, Finland, Belgium), and the major European Union - but not euro-countries...
Persistent link: https://www.econbiz.de/10011111198
This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the complex area of financial crises. Specifically, we investigated the scope of the phenomenon of persuasion in advertising. It examines advertisements in publications notable economic...
Persistent link: https://www.econbiz.de/10011111296