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Corporate Credit : An Opportunity on a Global Scale

Institute, Brandes - 2011

The meltdown in liquidity in the corporate debt market in the second half of 2008, the related widening in spreads, and concerns over use (and misuse) of credit default swaps may have created both cyclical and secular opportunities for fixed income investors

Persistent link: https://www.econbiz.de/10013121782

Value vs. Glamour : A Global Phenomenon

Institute, Brandes - 2011

In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide...

Persistent link: https://www.econbiz.de/10013121790

Covering the World : Global Evidence on Covered Calls

Israelov, Roni - 2017

Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to covered calls on eleven global indexes. We find that,...

Persistent link: https://www.econbiz.de/10012953741

Frontier Stock Markets : Local vs Global Factors

Blackburn, Douglas W. - 2017

We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...

Persistent link: https://www.econbiz.de/10012961374

Global Downside Risk and Equity Returns

Atilgan, Yigit - 2019

This paper reexamines the relation between various downside risk measures and future equity returns in a global context that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk and the cross-section of equity returns, and in fact,...

Persistent link: https://www.econbiz.de/10012866319

On Cryptocurrencies as an Independent Asset Class : Long-Horizon and COVID-19 Pandemic Era Decoupling from Global Sentiments

Sifat, Imtiaz - 2021

We report new evidence that the cryptocurrency market behaves as an independent asset class based on high-dimensional stochastic-volatility commonality tests against a basket of global investor sentiment proxies. Our approach’s novelty resides in employment of appropriate sources of risk and...

Persistent link: https://www.econbiz.de/10013240782

China Markets and Global Stock Return Predictability

Sun, Yulong - 2020

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …

Persistent link: https://www.econbiz.de/10012824300

Market Integration and Asset Prices : Evidence from the Inclusion of China A-Shares in MSCI Global Indices

Li, Bo; Sun, Qian - 2022

We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital …

Persistent link: https://www.econbiz.de/10013292527

Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches

Kartal, Mustafa Tevfik; Kevser, Mustafa; Ayhan, Fatih - In: Economic change & restructuring 56 (2023) 3, pp. 1515-1535

Persistent link: https://www.econbiz.de/10014327667

Nexus between cryptocurrencies and global uncertainty : a quantile regression approach

Woode, John Kingsley; Owusu Junior, Peterson; Adam, … - In: Cogent economics & finance 11 (2023) 2, pp. 1-33

comprehensive world uncertainty in measuring the crypto-uncertainty nexus over the period (2015-2022) and further employing the …

Persistent link: https://www.econbiz.de/10014501018

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