Similar Search Results

When the Blockchain Does Not Block : On Hackings and Uncertainty in the Cryptocurrency Market

Grobys, Klaus - 2020

A total of 1.1 million bitcoin were stolen in the 2013–2017 period. Noting that the average price for Bitcoin in 2018 … of this criminal activity. Investigating the response of the uncertainty of Bitcoin when hacking incidents occur, the …. Incidents of hacking that occur in the Bitcoin market affect uncertainty for another cryptocurrency Ethereum too. Again, the …

Persistent link: https://www.econbiz.de/10012839322

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Research in international business and finance 58 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013286262

Measuring the degree of persistence in the U.S. economic policy uncertainty index

Gil-Alaña, Luis A.; Payne, James E. - In: Applied economics letters 27 (2020) 10, pp. 831-835

Persistent link: https://www.econbiz.de/10012266923

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020

of persistence, and also carries out appropriate break tests. Further, the possible co-movement of this index between …

Persistent link: https://www.econbiz.de/10012219127

The Intertemporal Relation between Expected Return and Risk on Currency

Bali, Turan G. - 2012

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper examines the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides new evidence on...

Persistent link: https://www.econbiz.de/10012712397

Uncertainty trends

Bandi, Federico M. - 2020

Even after being orthogonalized with respect to the dividend-price ratio, the volatility of total factor productivity (TFP volatility) is shown to have similar long-run predictive ability for excess market returns as the dividend-price ratio itself. When seen through an asset pricing lens, this...

Persistent link: https://www.econbiz.de/10012851297

The Sum of All Fears : Forecasting International Returns using Option-implied Risk Measures

Gagnon, Marie-Hélène - 2020

This paper investigates international index return predictability using daily-updated option-implied information in predictive regressions and out-of-sample forecasts. We document the significant predictive power of the variance risk premium (VRP), Generalized Riskiness (GR), and higher-order...

Persistent link: https://www.econbiz.de/10012853217

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

Disaster Risk Matters Everywhere

Chen, Jian - 2019

This paper examines whether rare disaster can predict stock returns. We construct an aggregate rare disaster index by imposing the partial least square (PLS) approach on six news-implied rare disaster proxies of Manela and Moreira (2017). Our disaster measure strongly predicts monthly excess...

Persistent link: https://www.econbiz.de/10012900931