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Contagion Effects of the U.S. Subprime Crisis on International Stock Markets
Hwang, Inchang - 2010
This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...
Persistent link: https://www.econbiz.de/10013149007
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Can Analysts Predict Rallies Better than Crashes?
Medovikov, Ivan - 2015
We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...
Persistent link: https://www.econbiz.de/10013026393
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The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93
empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock …
Persistent link: https://www.econbiz.de/10011556115
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Financial Analyst Confirmation of Management Forecast Credibility During a Global Crisis : Evidence from Europe
Hursti, Kristian - 2021
This paper examines whether textual management forecast commonalities that arise in a global crisis setting relate to … ex post forecast accuracy, and whether subsequent analyst revisions confirm the credibility relevance of these … those periods serve as catalysts for creating measures to assess management forecast credibility. After arguing that sales …
Persistent link: https://www.econbiz.de/10013230102
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Systemic bias of IMF reserve and debt forecasts for program countries
Eicher, Theo S.; Kawai, Reina - In: International journal of forecasting 40 (2024) 3, pp. 985-1001
Persistent link: https://www.econbiz.de/10014547232
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Systematic risk of CDOs and CDO arbitrage
Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009
"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...
Persistent link: https://www.econbiz.de/10003891104
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Analyst Research and Investor Reactions : Evidence from the 2008 Financial Crisis
Arand, Daniel - 2012
earnings forecast revisions were significantly stronger and more persistent during than outside the crisis. We conclude that …
Persistent link: https://www.econbiz.de/10013102335
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Analyst Corporate Site Visits and Stock Price Crash Risk
Wang, Jun - 2021
Heckman self-selection model to control for selection bias. Finally, we find that analyst silence, which happens after visits …
Persistent link: https://www.econbiz.de/10013219236
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Inferring fundamental value and crash nonlinearity from bubble calibration
Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in general, not directly observable and it is poorly constrained...
Persistent link: https://www.econbiz.de/10008797688
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the …
Persistent link: https://www.econbiz.de/10011313235