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Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations
R.T. Ferreira, Thiago - 2020
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...
Persistent link: https://www.econbiz.de/10014115594
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Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks
Xyngis, Georgios - 2017
A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...
Persistent link: https://www.econbiz.de/10014133052
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Business-cycle consumption risk and asset prices
Bandi, Federico M. - 2020
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...
Persistent link: https://www.econbiz.de/10012856904
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The decline in asset return predictability and macroeconomic volatility
Hsu, Alex; Palomino, Francisco; Qian, Charles - 2017
We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …
Persistent link: https://www.econbiz.de/10011709322
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Tail Risk Dynamics in Stock Returns : Links to the Macroeconomy and Global Markets Connectedness
Massacci, Daniele - 2017
We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of motion for the parameters are defined through the score-based approach. We apply the model to daily returns from U.S. size-sorted decile stock portfolios and show that large firm...
Persistent link: https://www.econbiz.de/10012972558
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Boundaries of Time Series Momentum - Equity Returns Over the Business Cycle
Suominen, Matti - 2021
I first show that taking moving averages of the term spread, the dividend yield, and the Shiller’s CAPE, significantly increases their ability to predict one month and 12-month forward equity market excess returns, and the state of the business cycle. Dividend yield, CAPE and term spread are...
Persistent link: https://www.econbiz.de/10013245419
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Return and volatility spillover between India and leading Asian and global equity markets : an empirical analysis
Mishra, Aswini Kumar; Agrawal, Saksham; Patwa, Jash Ashish - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 294-312
further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other … developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis …
Persistent link: https://www.econbiz.de/10014339125
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Macroeconomic determinants of stock market returns, volatility and volatility risk-premia
Corradi, Valentina (contributor);  … - 2008
require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …
Persistent link: https://www.econbiz.de/10003848514
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …
Persistent link: https://www.econbiz.de/10003952800