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Output Growth, Inflation and Interest Rate on Stock Return and Volatility : The Predictive Power

Poon, Wai-Ching - 2010

Using monthly data from seven mature and emerging markets and GARCH and EGARCH models, the study of Davis and Kutan (Applied Financial Economics, 13, 693-700, 2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three...

Persistent link: https://www.econbiz.de/10013143522

Long-Run Relation and Speed of Adjustment of Economic Policy Uncertainty and Excess Return Volatility

Sum, Vichet - 2012

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using monthly data for the period 1985-2011. The result reveals the existence of a long-run positive relationship between excess return volatility and economic policy uncertainty. The...

Persistent link: https://www.econbiz.de/10013104851

Economic Policy Uncertainty and Stock Market Returns

Sum, Vichet - 2013

This paper investigates how stock market returns respond to economic policy uncertainty shocks. Based on the vector autoregression (VAR) analysis of the monthly changes in economic policy uncertainty index in the United States and CRSP value-weighted index from 1985:M2 to 2012:M6, the results...

Persistent link: https://www.econbiz.de/10013090887

Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty

Antonakakis, Nikolaos - 2014

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions

Persistent link: https://www.econbiz.de/10013058577

The dynamic impacts of skewness on the risk-return relationship in the dry bulk spot freight rates and FFAs

Sun, Xiaolin; Ma, Jun; Guo, Haifeng; Liu, Hailong - In: Applied economics 55 (2023) 18, pp. 1991-2004

Persistent link: https://www.econbiz.de/10014294827

Firm Level Productivity, Risk, and Return

Imrohoroglu, Ayse - 2013

This paper provides new evidence about the link between firm level total factor productivity (TFP) and stock returns. We estimate firm level TFP and show that it is strongly related to several firm characteristics such as size, the book to market ratio, investment, and hiring rate. Low...

Persistent link: https://www.econbiz.de/10013093807

The Multi-Horizon Dynamics of Risk and Returns

Tamoni, Andrea - 2017

I study the effects of changes in risk on asset prices across different time horizons (or time-scales) and provide a … Consumption-CAPM, risk premia are weakly related to consumption volatility at short horizons whereas long-run past volatility … time-scale may not necessarily lead to obtain a significant long-term risk-returns relation upon aggregation of the one …

Persistent link: https://www.econbiz.de/10012959125

Yield Curve and Financial Uncertainty : Evidence Based on Us Data

Castelnuovo, Efrem - 2019

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...

Persistent link: https://www.econbiz.de/10012867014

Yield Curve and Financial Uncertainty : Evidence Based on US Data

Castelnuovo, Efrem - 2019

How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found to predict...

Persistent link: https://www.econbiz.de/10012868491

On Thin Ice : Risk, Return and Crash

Rötheli, Tobias F. - 2017

This paper describes results from a new experiment studying determinants and effects of economic risk-taking. In each … higher are the returns but also the higher is the risk of a crash and a loss. This setup permits us to investigate how … transparency and incentive structures – two issues intensively debated in policy circles – affect risk taking and vulnerability to …

Persistent link: https://www.econbiz.de/10012968931

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