Narrow search
Showing 1 - 10 of 12,236
Cover Image
Brexit and CDS spillovers across UK and Europe
Bouoiyour, Jamal; Selmi, Refk - In: European journal of comparative economics 16 (2019) 1, pp. 105-124
dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …
Persistent link: https://www.econbiz.de/10012259768
Cover Image
On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062
Cover Image
On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011 - This version: 4.1.2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This...
Persistent link: https://www.econbiz.de/10009236964
Cover Image
Shocks Implication on the Fundamental Drivers of Pan-European Equity Reits : Volatility Connectedness
Nassili, Naoufal - 2019
is to unravel the mystery around the existing volatility spillovers among equity REITs. The econometric modelisation is … Barunik & Krehlik. Exchange-listed equity REITs have complex patterns of volatility since they are the nexus of two markets …
Persistent link: https://www.econbiz.de/10012864336
Cover Image
Has the Euro changed the business cycle?
Enders, Zeno; Jung, Philip; Müller, Gernot J. - 2010
Persistent link: https://www.econbiz.de/10008650721
Cover Image
Price and volatility spillovers across North American, European and Asian stock markets
Singh, Priyanka D.; Kumar, Brajesh; Pandey, Ajay - In: International review of financial analysis 19 (2010) 1, pp. 55-64
Persistent link: https://www.econbiz.de/10008668720
Cover Image
Price and volatility spillovers across North American, European and Asian stock markets : with special focus on Indian stock market
Singh, Priyanka D. (contributor); Kumar, Brajesh (contributor) - 2008
Persistent link: https://www.econbiz.de/10003791262
Cover Image
A note on the impact of portfolio overlapping in tests of the Fama and French three-factor model
Wallmeier, Martin; Tauscher, Kathrin - 2012 - First draft, Oct. 2012
In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...
Persistent link: https://www.econbiz.de/10009664476
Cover Image
The Performance of European Index Funds and Exchange-Traded Funds
Blitz, David - 2013
European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...
Persistent link: https://www.econbiz.de/10013093863
Cover Image
The Performance of European Index Funds and Exchange-Traded Funds
Blitz, David - 2010
European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...
Persistent link: https://www.econbiz.de/10013152102