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Financial frictions and the reaction of stock prices to monetary policy shocks
Ozdagli, Ali - 2014 - This version: July 29, 2014
This paper reveals and tests a new theoretical implication of the credit channel of monetary policy: as financial frictions (monitoring or auditing costs) increase, the reaction of stock prices to monetary policy shocks decreases. Correspondingly, towards the end of the Enron accounting scandal,...
Persistent link: https://www.econbiz.de/10010395119
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Dynamic Response of Equity Market Returns to Corporate Profit Growth Shock
Sum, Vichet - 2013
This study investigates how returns on the S&P 500 (SP) dynamically respond to the aggregate corporate profit growth … (CP) shock. The results from running the VAR model using quarterly data from 1951Q4 to 2012Q4 shows that returns on the SP … significantly and positively respond to the CP shock instantly in the first quarter and retreat back to the zero territory …
Persistent link: https://www.econbiz.de/10013078332
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Sentiment regimes and reaction of stock markets to conventional and unconventional monetary policies : evidence from OECD countries
Cepni, Oguzhan; Gupta, Rangan; Ji, Qiang - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 365-381
Persistent link: https://www.econbiz.de/10014330982
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...
Persistent link: https://www.econbiz.de/10012131511
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Credit Risk and Anomalies in Pakistan’s Stock Market
Qayyum, Abdul - 2019
This paper investigates the relation between credit risk and stock return for publicly traded firms in the Pakistan Stock Exchange (PSX) over the period 2000-2017. Using credit ratings as a proxy for credit risk, we find that this relation is negative in Pakistan, as low-rated stocks (i.e.,...
Persistent link: https://www.econbiz.de/10012869009
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The impact of FX exposure on the firm's stock market return
Bondarenko, Mariia; Brůna, Karel - In: European financial and accounting journal : EFAJ 16 (2021) 1, pp. 45-70
It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...
Persistent link: https://www.econbiz.de/10012642502
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Testing the Maturity of the Polish Stock Market
Cwynar, Wiktor - 2013
The Warsaw Stock Exchange is still an immature market. According to many articles dealing with the problem of applying risk assessment models to the Polish stock market, techniques like the CAPM are still inadequate for young, developing, illiquid markets like the Polish one. In this paper, we...
Persistent link: https://www.econbiz.de/10013094924
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Is D-CAPM Superior to CAPM When Assessing Investment Risk on the Polish Stock Market?
Cwynar, Wiktor - 2013
The application of the Capital Asset Pricing Model, which is a mean-variance technique, requires the distribution of stock returns to be symmetric. Securities traded on many emerging capital markets, including the Warsaw Stock Exchange (WSE), usually do not have such a feature. In these cases,...
Persistent link: https://www.econbiz.de/10013095124
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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …
Persistent link: https://www.econbiz.de/10013026088
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …
Persistent link: https://www.econbiz.de/10010395968