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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

Macroeconomic and Political Uncertainty and Cross Sectional Return Dispersion Around the World

Chang, Yuk Ying (Candie) - 2017

) recessions, international political crises, country risk, and uncertainty related to government policies. While we find that …

Persistent link: https://www.econbiz.de/10012948384

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

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

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

Return and volatility interdependences in up and down markets across developed and emerging countries

Kundu, Srikanta; Sarkar, Nityananda - In: Research in international business and finance 36 (2016), pp. 297-311

Persistent link: https://www.econbiz.de/10011594440

Business-cycle consumption risk and asset prices

Bandi, Federico M. - 2020

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

Persistent link: https://www.econbiz.de/10012856904

Expectations and aggregate risk

Bretscher, Lorenzo; Malkhozov, Aytek; Tamoni, Andrea - 2021

augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk … aggregate risk …

Persistent link: https://www.econbiz.de/10012643121

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 … that long-term growth and volatility capture largely common risk. We then propose a single, long-term, macroeconomic risk … factor which drives out standard long-run risk measures and performs similar to the Fama-French three-factor model in cross …

Persistent link: https://www.econbiz.de/10012972571