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THE IMPLICATIONS OF LIQUIDITY CRISES IN THE CONTEXT OF EMERGING CAPITAL MARKET
Birău, Felicia Ramona - In: Revista Tinerilor Economisti (The Young Economists Journal) 1 (2012) 18, pp. 189-193
This article aims to highlight the implications of liquidity crises in the context of emerging capital market. Capital markets, and especially emerging capital market appear to behave notably differently during periods of liquidity crises in comparison with periods of stability. The concept of...
Persistent link: https://www.econbiz.de/10010592957
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Rescue costs and financial risk
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014
First externalities risk due to the size of the companies or the principle that large companies are also at risk of … for savers and investors are taken. If we accept-so conservatively that the risk exposure of a company is limited by its … risk foreseeable losses with positive externalities, then, what can happen with negative derivatives risk capital …
Persistent link: https://www.econbiz.de/10011110979
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Financial crisis in The Arcades Project of Walter Benjamin
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014
The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems...
Persistent link: https://www.econbiz.de/10011114306
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Stock returns, mutual fund flows and spillover shocks
Narayan, Paresh Kumar; Narayan, Seema; K.P, Prabheesh - In: Pacific-Basin Finance Journal 29 (2014) C, pp. 146-162
In this paper we examine the dynamic relationship between stock returns and mutual fund flows in India by using a generalised VAR model. We find that spillover shocks—that is, stock return shocks and mutual fund flow shocks together explain as much as 20% of the total forecast error variance...
Persistent link: https://www.econbiz.de/10011116408
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Measuring Equity Risk with Option-Implied Correlations
Buss, Adrian - 2012
option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk … betas confirm a risk-return relation consistent with linear factor models, because, when compared to other beta approaches …
Persistent link: https://www.econbiz.de/10012712556
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Testing Asymmetric-Information Asset Pricing Models
Kelly, Bryan T. - 2011
due to expected returns becoming more sensitive to liquidity risk. Our results confirm that information asymmetry has a …
Persistent link: https://www.econbiz.de/10012713974
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Global, Local, and Contagious Investor Sentiment
Baker, Malcolm P. - 2012
We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...
Persistent link: https://www.econbiz.de/10012754854
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Do Stock Prices Move too Much to be Justified by Changes in Dividends? Evidence from Real Estate Investment Trusts
Muhlhofer, Tobias - 2010
A central issue in asset pricing is whether asset prices move too much in relation to cash flows. We take advantage of the existence of two parallel markets for a set of cash flows to show that better measurement of cash flows can dramatically improve the performance of a dynamic dividend...
Persistent link: https://www.econbiz.de/10012715324
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CAPM with Option-Implied Betas : Another Rescue Attempt
Buss, Adrian - 2009
We test the conditional CAPM with time-varying forward-looking betas, assuming a two-state model for the market risk … probabilities for good and bad states are furthermore able to predict the market risk premium one period into the future …
Persistent link: https://www.econbiz.de/10012719192
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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10010851243