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Risk factors of European non-listed real estate fund returns
Delfim, Jean-Christophe; Hoesli, Martin - 2016
This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both macroeconomic and fund-specific factors are considered, additionally taking into account the phase of the real estate cycle. Using a rich database of fund-level data for Europe,...
Persistent link: https://www.econbiz.de/10011514250
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into … account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model … Professional Forecasters. The results show that forecasters overreact for low levels of uncertainty and underreact for increasing …
Persistent link: https://www.econbiz.de/10010480543
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Risk-return portfolio level trade-off for Czech banks
Jankulár, Pavel - In: Prague economic papers : a bimonthly journal of … 33 (2024) 2, pp. 187-219
This paper examines the validity of the risk-return trade-off for a sample of Czech banks over the period 2002-2022 by analysing the relationship between the bank risk and risk-adjusted returns. I find evidence of a significant negative association between the regulatory risk measure and...
Persistent link: https://www.econbiz.de/10014555768
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Climate physical risk and Asian stock market returns
Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024
This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...
Persistent link: https://www.econbiz.de/10014583812
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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes
Velinov, Anton - 2013
Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...
Persistent link: https://www.econbiz.de/10010229662
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Modeling International Financial Returns with a Multivariate Regime-Switching Copula
Chollete, Lorán - 2010
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...
Persistent link: https://www.econbiz.de/10013150667
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Momentum and Reversal Dynamics
Kolari, James W. - 2019
face uncertainty about whether past patterns of price movements will continue (momentum) or reverse, thereby increasing …
Persistent link: https://www.econbiz.de/10012896774
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Distressed Acquisitions : Evidence from European Emerging Markets
Iwasaki, Ichiro; Kočenda, Evžen; Shida, Yoshisada - 2021
We analyze factors behind 23,213 distressed acquisitions in European emerging markets from 2007–2019. Besides the impact of financial ratios, legal form, ownership structure, firm size, and age, we emphasize the role of institutions and channels of their propagation. We show that the quality...
Persistent link: https://www.econbiz.de/10013231968
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Distressed acquisitions : evidence from European emerging markets
Iwasaki, Ichirō; Kočenda, Evžen; Shida, Yoshisada - 2021
We analyze factors behind 23,213 distressed acquisitions in European emerging markets from 2007–2019. Besides the impact of financial ratios, legal form, ownership structure, firm size, and age, we emphasize the role of institutions and channels of their propagation. We show that the quality...
Persistent link: https://www.econbiz.de/10012508593
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Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms
Ziegler, Andreas - 2009
This paper empirically examines the effect of the inclusion in one of the most prominent sustainability stock indexes, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data for European firms that were included in the Dow...
Persistent link: https://www.econbiz.de/10011753185