This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger...

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...

We investigate the co-movement between oil-specific emotions sentiments and the crude oil returns over time-scales and frequencies. Using wavelet coherence analysis, we find that sentiment is statistically significant coherence with oil returns both over time and frequencies. The pleasant...

This paper examines how the relationship between stock returns of U.S. firms and WTI oil prices is affected by leverage (debt to total assets) from 1990 to 2020. Results from our fixed-effect regression models suggest that leverage effects on stock returns are pervasive both in aggregate and...

In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for symmetry with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier...

The scope of this paper is to highlight the main regulatory aspects embodied within the CERs (Certificate of Emission Reduction) and its impact on the Brazilian utility companies listed in the stock exchange. It is argued that missing points/holes in the regulation of these financial instruments...

In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...