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Chapter 16 Are financial assets priced locally or globally?
Karolyi, G. Andrew; Stulz, René M. - 2003
asset demands and prices. International asset-pricing models with mean-variance investors predict that an asset's risk … empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there … is some evidence that exchange rate risk affects expected returns. However, the theoretical asset-pricing literature …
Persistent link: https://www.econbiz.de/10014023855
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Liquidity Shocks and Hedge Fund Contagion
Boyson, Nicole M. - 2012
In Boyson, Stahel, and Stulz (2010), we investigate whether hedge funds experience worst return contagion – that is, correlations in extremely poor returns that are over and above those expected from economic fundamentals. We find strong evidence of contagion among hedge funds using eight...
Persistent link: https://www.econbiz.de/10013114577
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Does joining the S&P 500 index hurt firms?
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020
We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...
Persistent link: https://www.econbiz.de/10012263191
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Who benefits from analyst "top picks"?
Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2020
Following the Global Settlement, analysts extensively use a top pick designation to highlight their highest conviction best ideas. Such a designation enables analysts to provide greater granularity of information, but it can potentially be influenced by conflicts of interest. Examining a...
Persistent link: https://www.econbiz.de/10012301460
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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 has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …
Persistent link: https://www.econbiz.de/10011520321
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Why Does Idiosyncratic Risk Increase with Market Risk?
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …
Persistent link: https://www.econbiz.de/10012968364
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Why Does Idiosyncratic Risk Increase with Market Risk?
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …
Persistent link: https://www.econbiz.de/10012968929
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …
Persistent link: https://www.econbiz.de/10011674278
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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 has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …
Persistent link: https://www.econbiz.de/10011962224
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Why has idiosyncratic risk been historically low in recent years?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2018
Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in … idiosyncratic risk. Models that use firm characteristics to predict firm-level idiosyncratic risk estimated over 1963-2012 can …
Persistent link: https://www.econbiz.de/10011969105