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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

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

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

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

Risk spillovers among crude oil, gold, and China equity sub-sectors

Zou, Zong-feng; Zhang, Chao; Sun, Xi-yun - In: Cogent economics & finance 12 (2024) 1, pp. 1-20

hedging tool for risk in China's stock market. This paper analyzes return spillovers between crude oil, gold, and Chinese …

Persistent link: https://www.econbiz.de/10015192507

From Man vs. Machine to Man + Machine : The Art and AI of Stock Analyses

Cao, Sean Shun; Jiang, Wei; Wang, Junbo; 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

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

Hedging permanent income shocks

Bagliano, Fabio C.; Corvino, Raffaele; Fugazza, Carolina; … - 2023

Persistent link: https://www.econbiz.de/10014312833

Should South Asian stock market investors think globally? : investigating safe haven properties and hedging effectiveness

Gazi, Md. Abu Issa; Nahiduzzaman, Md.; Sarker, Sanjoy Kumar - In: Economies : open access journal 12 (2024) 11, pp. 1-32

-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh …-varying connectedness approach, and cost-effectiveness tools for hedging, we analyze data spanning from 2014 to 2022 to assess these … Pakistani stock markets during the crisis period. Meanwhile, the Sri Lankan stock market neither receives hedging usefulness nor …

Persistent link: https://www.econbiz.de/10015197820

Does gold act as a hedge and a safe haven for China's stock market?

Chen, Ke; Wang, Meng - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-18

to the increasing investment demand of gold, the hedging effect of gold on China’s stock market has strengthened … 22 December 2015–29 February 2016); and (3) for non-bear markets, gold does not offer good risk hedging. …

Persistent link: https://www.econbiz.de/10011759995