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International herding: Does it differ across sectors?
Gębka, Bartosz; Wohar, Mark E. - In: Journal of International Financial Markets, … 23 (2013) C, pp. 55-84
This paper investigates the existence of herding in the global equity market. We apply a methodology which utilises …
Persistent link: https://www.econbiz.de/10011041493
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¿Influyen los tigres asiáticos en el comportamiento gregario español?
Blasco, Natividad; Corredor, Pilar; Ferreruela, Sandra - In: El Trimestre Económico LXXVII (2) (2010) 306, pp. 423-444
The purpose of this research is to explore the herding phenomenon during the Asian crisis of 1997 using intraday data … and a herding intensity measure that is free of the bias inherent in other measures. The findings suggest that the crisis … did not affect herding intensity to the same extent across all stocks, the largest and most persistent impact of the …
Persistent link: https://www.econbiz.de/10008559995
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Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
Jung, R.C.; Maderitsch, R. - In: Journal of Banking & Finance 47 (2014) C, pp. 331-342
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intra-daily data we compute realized volatility time series for the three markets and employ a Heterogeneous...
Persistent link: https://www.econbiz.de/10010931661
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A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - Volkswirtschaftliche Fakultät, … - 2013
The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Eurozone’s weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...
Persistent link: https://www.econbiz.de/10011259850
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The impact of credit rating announcements on corporate CDS markets—Are intra-industry effects observable?
Wengner, Andreas; Burghof, Hans-Peter; Schneider, Johannes - In: Journal of Economics and Business 78 (2015) C, pp. 79-91
This study examines the impact of S&P rating events on the credit default swap (CDS) spread of firms and the spillover effect on competitors for the period 2004–2011. We find that both credit downgrades and upgrades have an impact on the CDS spread of event and non-event firms on the event...
Persistent link: https://www.econbiz.de/10011209905
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Cross-sectoral interactions in Islamic equity markets
Yilmaz, Mustafa K.; Sensoy, Ahmet; Ozturk, Kevser; … - In: Pacific-Basin Finance Journal 32 (2015) C, pp. 1-20
Although it is essential for investors who want to comply with their religious obligations, cross-sectoral interaction in Islamic equity markets is an untouched subject in finance literature. Accordingly, this paper aims to investigate the interactions between the ten major sectors of Islamic...
Persistent link: https://www.econbiz.de/10011263631
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Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
Caporin, Massimiliano; Jimenez-Martin, Juan-Angel; … - In: Journal of International Financial Markets, … 31 (2014) C, pp. 159-177
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10011041518
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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...
Persistent link: https://www.econbiz.de/10011107583
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Betting against beta
Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically...
Persistent link: https://www.econbiz.de/10010718732
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Momentum Trading, Return Chasing, and Predictable Crashes
Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...
Persistent link: https://www.econbiz.de/10011096567