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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
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The Influence of Financial Distress Using Altman Z-Score, the Beta of Stocks and Inflation to the Stock Return
Tandiontong, Mathius - 2017
Objective - Stock is one securities among other securities, as a high risk instrument. Stock classified as high risk due to reflection in the uncertainty of the rate of return to be received by investors in the future. The purpose of this research is to examine of financial distress as measured...
Persistent link: https://www.econbiz.de/10012952296
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Does the Law of Diminishing Return Drive Down Return on Equity Investments?
Saidiev, Ulugbek - 2012
This paper examines whether the aggregate investments in corporate equity in the U.S. yield lowering per-unit return for the period 1950-2009. We measure the per-unit return on aggregate equity investment as the ratio of the annual aggregate value of after-tax corporate profit of nonfinancial...
Persistent link: https://www.econbiz.de/10013097713
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Virtual Currency, Tangible Return : Portfolio Diversification with Bitcoin
Briere, Marie - 2017
Bitcoin is a major virtual currency. Using weekly data over the 2010-2013 period, we analyze a Bitcoin investment from the standpoint of a U.S. investor with a diversified portfolio including both traditional assets (worldwide stocks, bonds, hard currencies) and alternative investments...
Persistent link: https://www.econbiz.de/10012974003
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …
Persistent link: https://www.econbiz.de/10014025359
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The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
Shehadeh, Ali - 2016
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors …
Persistent link: https://www.econbiz.de/10012989965
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371
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The paradox of monetary profits : an obstacle to understanding financial and economic Crisis?
Bruun, Charlotte; Heyn-Johnsen, Carsten - 2009
The paradox of monetary profits has been a recurrent theme in macroeconomics since the problem was first formulated by Marx. Capitalists as a whole can at most get from workers, what they already paid out in wages. Marx did not solve this problem, and neither did Keynes, who had to face the...
Persistent link: https://www.econbiz.de/10003905099