Showing 1 - 10 of 92
We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term...
Persistent link: https://www.econbiz.de/10013236151
We test the interaction between COVID-19 governments' interventions, COVID-19- induced uncertainty, and the volatility of sovereign bonds. Using a panel-quantile approach and a comprehensive dataset of 31 countries worldwide, we document that containment and closure policies tend to amplify...
Persistent link: https://www.econbiz.de/10013233700
The perspective of behavioral finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine the implications of this for international government bond markets. Using data...
Persistent link: https://www.econbiz.de/10012893037
Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation...
Persistent link: https://www.econbiz.de/10013022746
The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...
Persistent link: https://www.econbiz.de/10013034458
This study aims to explore the performance persistence of frontier market equity anomalies. To this end, I replicate 140 anomalies in the cross-section of returns in a sample of 23 frontier markets. I demonstrate a robust and strong performance persistence in the anomaly returns. The return...
Persistent link: https://www.econbiz.de/10012900753
Fundamental indexations for common stocks refers to weighting portfolio constituents on the basis of fundamental variables. We examine the cost efficiency of this approach in the three largest European emerging markets: Poland, Russia, and Turkey. We form portfolios based net profits, sales,...
Persistent link: https://www.econbiz.de/10012992469
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
The present study provides a risk-based explanation for the country-level size and value effects. The research demonstrates that the small-country effect is fully explained by cross-sectional variation in the country risk. Furthermore, accounting for the country risk decreases the alphas on...
Persistent link: https://www.econbiz.de/10012992524
IPO anomalies in the corporate debt markets are to great extent unexplored field in the academic literature. The aim of this paper is to investigate the undepricing phenomenon of newly issued corporate bonds on the Catalyst market and its determinants. I use event study methodology to test for...
Persistent link: https://www.econbiz.de/10013062309