Similar Search Results

Is sell-side research more valuable in bad times?

Loh, Roger K.; Stulz, René M. - 2013

Because uncertainty is high in bad times, investors find it harder to assess firm prospects and, hence, should value analyst output more. However, higher uncertainty makes analysts' tasks harder so it is unclear if analyst output is more valuable in bad times. We find that, in bad times, analyst...

Persistent link: https://www.econbiz.de/10010227721

Is sell-side research more valuable in bad times?

Loh, Roger K.; Stulz, René M. - 2014

Persistent link: https://www.econbiz.de/10010235399

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

Persistent link: https://www.econbiz.de/10011528647

The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report

Hautsch, Nikolaus; Hess, Dieter - 2002

This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...

Persistent link: https://www.econbiz.de/10011544322

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and … ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results … show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a …

Persistent link: https://www.econbiz.de/10011490999

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10011520321

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011520509

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …

Persistent link: https://www.econbiz.de/10011520514

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011541151

Are firms in "boring" industries worth less?

Chen, Jia; Hou, Kewei; Stulz, René M. - 2015

Persistent link: https://www.econbiz.de/10010489554