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International characteristic-based asset pricing

Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019

, growth of total assets, and operating profitability, each separately created for a given geographical region of the world. As …

Persistent link: https://www.econbiz.de/10012387428

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

Persistent link: https://www.econbiz.de/10012486245

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Carbon Dioxide and Asset Pricing : Evidence from International Stock Markets

Chen, Zhuo - 2020

the full history of stock market data in the United States, Europe, the world, and fifteen international markets. For the … United States (Europe/the world), we are able to explain the observed equity market premium with a relative risk aversion …

Persistent link: https://www.econbiz.de/10012845696

An empirical analysis of the relationship between US monetary policy and international asset prices

Herwartz, Helmut; Morales-Arias, Leonardo - 2010

This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically...

Persistent link: https://www.econbiz.de/10003931423

Financial marketś appetite for risk : and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - 2009

Assessments of investors’ risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10003857724

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Persistent link: https://www.econbiz.de/10013169023

International Stock Market Co-Movements and Politics-Related Risks

Pagliardi, Giovanni - 2019

We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic...

Persistent link: https://www.econbiz.de/10012890799

The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment

Papakyriakou, Panayiotis - 2019

We consider terrorism acts in G7 countries over the period 1998-2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further...

Persistent link: https://www.econbiz.de/10012891288

Strategies Can Be Expensive Too! The Value Spread and Asset Allocation in Global Equity Markets

Zaremba, Adam - 2019

Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996–2017. The value spread is a powerful and robust predictor...

Persistent link: https://www.econbiz.de/10012893034

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