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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns
Boons, Martijn - 2017
We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of...
Persistent link: https://www.econbiz.de/10012972571
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The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia : an international perspective
Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-29
Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the...
Persistent link: https://www.econbiz.de/10012813368
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
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Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
De Graeve, Ferre - 2010
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in terms of risk aversion. Aggregate productivity and distribution risk are shared among these...
Persistent link: https://www.econbiz.de/10013137646
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Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
De Graeve, Ferre; Dossche, Maarten; Emiris, Marina; … - 2010
We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal substitution. Aggregate productivity and...
Persistent link: https://www.econbiz.de/10014195406
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The short-term impact of COVID-19 on global stock market indices
Singh, Gurmeet; Shaik, Muneer - In: Contemporary economics 15 (2021) 1, pp. 1-18
The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and … financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …
Persistent link: https://www.econbiz.de/10012485328
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Resilience and Asset Pricing in COVID-19 Disaster
Daadmehr, Elham - 2022
This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of disaster to shed light on the frequency and size of...
Persistent link: https://www.econbiz.de/10014235623
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The Levered Equity Risk Premium and Credit Spreads : A Unified Framework
Bhamra, Harjoat Singh - 2010
We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...
Persistent link: https://www.econbiz.de/10013148422
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How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone
Li, Junye - 2015
We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign-specific defaults (country risk). Then, we quantify individual...
Persistent link: https://www.econbiz.de/10013027364