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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...
Persistent link: https://www.econbiz.de/10012919223
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Is there a risk and return relation?
Fifield, S. G. M.; McMillan, David G.; McMillan, Fiona J. - In: The European journal of finance 26 (2020) 11, pp. 1075-1101
Persistent link: https://www.econbiz.de/10012264949
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Is There a Risk and Return Relation?
Fifield, Suzanne G.M. - 2017
Traditional finance theory posits that the relationship between the risk and return of stocks is positive. Furthermore … stocks earn higher (lower) returns. However, this fundamental return and risk relationship is questioned by a several … of the stock return-risk relationship using both market- and firm-level data. The results of this research are mixed. The …
Persistent link: https://www.econbiz.de/10012946143
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Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos S - 2021
We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for the fundamental–based news while...
Persistent link: https://www.econbiz.de/10013322478
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The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies
McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113
Persistent link: https://www.econbiz.de/10011892256
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Multiscale relationship between economic policy uncertainty and sectoral returns : implications for portfolio management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; Ur … - In: Research in international business and finance 61 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10014246854
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Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...
Persistent link: https://www.econbiz.de/10003732461
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
Persistent link: https://www.econbiz.de/10003741408
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Nonlinear predictability of short-run deviations in UK stock market return
McMillan, David G. - In: Economics letters 84 (2004) 2, pp. 149-154
Persistent link: https://www.econbiz.de/10002116187