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Would Ambiguity Averse Investors Hedge Risk in Equity Markets?
Gertsman, Gleb - 2020
This paper studies the conjecture that investors prefer derivative markets over the equity market when hedging risks …
Persistent link: https://www.econbiz.de/10012846419
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Firm-Specific Information and the Efficiency of Investment
Henry, Peter Blair; Chari, Anusha - 2007
In the three-year period following stock market liberalizations, the growth rate of the typical firm's capital stock exceeds its pre-liberalization mean by an average of 4.1 percentage points. Cross-sectional changes in investment are significantly correlated with the signals about fundamentals...
Persistent link: https://www.econbiz.de/10014048364
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Stochastic Discount Factor in the Brazilian Equity Market (Fator de Desconto Estocástico no Mercado Acionário Brasileiro) (Portuguese)
Catalão, André Borges - 2010
This article implements the minimum variance frontier for the stochastic discount factor, according to both Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the...
Persistent link: https://www.econbiz.de/10013138283
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Sustainability Check of Global Stock Market Levels with Fundamental and Economic Analysis
Yeole, Tejas; Kothawade, Shubham - 2021
The COVID-19 pandemic has impacted the social as well as professional lives of individuals. The COVID-19 pandemic pushed economies into a Lockdown. However, it generated the worst recession since the Great Depression. This paper concentrates primarily on the most contributing factors to the...
Persistent link: https://www.econbiz.de/10013241733
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On the Economic Consequences of Index-Linked Investing
Wurgler, Jeffrey - 2010
Trillions of dollars are invested through index funds, exchange-traded funds, and other index derivatives. The benefits of index-linked investing are well-known, but the possible broader economic consequences are unstudied. I review research which suggests that index-linked investing is...
Persistent link: https://www.econbiz.de/10013138775
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From Man vs. Machine to Man + Machine : The Art and AI of Stock Analyses
Cao, Sean; Jiang, Wei; Wang, Junbo L.; Yang, Baozhong - 2021
An AI analyst we build to digest corporate financial information, qualitative disclosure, and macroeconomic indicators are able to beat the majority of human analysts in stock price forecasts and generate excess returns compared to following human analysts. In the contest of “man vs...
Persistent link: https://www.econbiz.de/10013229458
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Extreme returns and idiosyncratic risks : evidence from an emerging market
Cho, Eunyoung - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 29-48
In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...
Persistent link: https://www.econbiz.de/10012592789
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Capital market returns and inflation nexus in Croatia : wavelet coherence analysis
Bošnjak, Mile; Novak, Ivan; Bašić, Maja - In: Business systems research : a system view accross … 12 (2021) 2, pp. 253-267
Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real … possibilities for hedging against inflation in Croatia offered by the Zagreb Stock Exchange indices. Methods/Approach: Based on … that hedging against inflation is rather problematic under current Croatian capital markets conditions. Zagreb Stock …
Persistent link: https://www.econbiz.de/10013325399
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Is macroeconomic tail risk contagious to stock idiosyncratic risk?
Yao, Shouyu; Liu, Zezhong; Wang, Chunfeng; Palma, Alessia; … - In: Finance research letters 63 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10014531317
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Growth Options and Related Stock Market Anomalies : Profitability, Distress, Lotteryness, and Volatility
Bali, Turan G. - 2019
Growth options increase idiosyncratic skewness and reduce risk exposure, and thereby create the appearance of profitability, distress, lotteryness, and volatility anomalies, influencing their returns via the channel of idiosyncratic skewness. To capture these effects, we estimate expected...
Persistent link: https://www.econbiz.de/10012901824