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Rodriguez, Harold; Colombo, Jefferson - 2024

Spot bitcoin ETFs have been recently approved in the U.S., increasing retail and institutional investors' attention to the crypto space. Still, empirical evidence on whether Bitcoin is an asset that protects investors against inflation is still inconclusive. To contribute to this debate, we...

Persistent link: https://www.econbiz.de/10015213262

Asset Pricing in the Resource-Constrained Brain

Siddiqi, Hammad - 2022

empirically observed phenomena (value, momentum, size, high-alpha-of-low-beta, profitability, investment, and time …

Persistent link: https://www.econbiz.de/10015213288

Asset Pricing in the Resource-Constrained Brain

Siddiqi, Hammad - 2022

observed phenomena (value, momentum, size, high-alpha-of-low-beta, profitability, investment, overnight bias, and time …

Persistent link: https://www.econbiz.de/10015213373

To VaR, or Not to VaR, That is the Question

Olkhov, Victor - 2021

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage … case of constant trade volumes. We derive the dependence of market-based price volatility on the volatilities and … Gaussian approximations, and even the forecasts of market-based price volatility will be inaccurate and highly uncertain. …

Persistent link: https://www.econbiz.de/10015213403

Unintended Consequences of Foreign Exchange Reserve Movements? Financial Dollarization in Emerging Market Economies

Zhang, Zhongxia; Svirydzenka, Katsiaryna - 2020

movement and the private sector’s risk-taking behavior in financial dollarization. We find that a rise in foreign exchange …

Persistent link: https://www.econbiz.de/10015213405

Role of Crude Oil, Natural Gas and Wheat Prices and the Impact of the ‎Russian-Ukrainian War on the Investor Social Network Sentiment; Evidence ‎from the US Stock Market

NEIFAR, MALIKA; HDIDER, ANIS - 2024

(wheat) have caused the volatility of the S&P ‎‎500 index return, while market volatility (VIX) affect negatively the stock …

Persistent link: https://www.econbiz.de/10015213458

Volatility Depends on Market Trades and Macro Theory

Olkhov, Victor - 2024

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

Persistent link: https://www.econbiz.de/10015213603

Capital Structure with Information about the Upside and the Downside

Chaigneau, Pierre - 2023

We introduce two dimensions of uncertainty, about the upside and the downside of an asset, in a model of asset valuation under asymmetric information. This justifies capital structures with equity and risky debt for information revelation purposes. However, a capital structure with only one...

Persistent link: https://www.econbiz.de/10015213708

Building Trust, Fueling Growth: The Cornerstone Role of Capital Market Governance in Bangladesh

Khanam, Rifat Binte; Rabeya, Jannatul Ferdous; Hasan, Amena - 2024

This paper argues that strong capital market governance is essential for Bangladesh's economic growth by fostering trust, transparency, and investor confidence. It outlines key elements like clear disclosure, fair market conduct, and investor protection. While Bangladesh has made progress with...

Persistent link: https://www.econbiz.de/10015213731

Banking Stability in the ESG Framework Across Italian Regions

Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024

business models has led to an expansion of the risk taxonomy affecting corporate management. In addition to traditional … financial risks, new risks have emerged, primarily climate risk, environmental, and energy risks, which can significantly impact …

Persistent link: https://www.econbiz.de/10015213734