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uncertainty and risk, as they indicate that uncertainty-averse investors demand a premium for owning stocks with negative βEPU … EPU being an economically priced and distinct risk factor for equities on an international scale …
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respective industry. Expected Return, Expected Risk, Co-efficient of Variation (CV) and Beta of stock have been calculated and … of 35 companies across seven sectors. This would help investors to identify the expected return and risk associated with … it is found that a risk averse investor can consider investing in Godrej Properties and HDFC Bank because both these …
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Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
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Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
This paper investigates the effects of dynamic capital market conditions in a general equilibrium model, employing a process of switching steady-state levels of the volatility of market conditions (SS-uncertainty). Decision-makers predict SS-uncertainty regimes using past fundamental shocks, but...
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