Similar Search Results

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain,...

Persistent link: https://www.econbiz.de/10013277308

Geopolitical risks, uncertainty, and stock market performance

Agoraki, Maria-Eleni K.; Kouretas, Georgios P.; … - In: Economic and political studies : EPS 10 (2022) 3, pp. 253-265

Persistent link: https://www.econbiz.de/10013357048

International tail risk and world fear

Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of international money and finance 93 (2019), pp. 244-259

Persistent link: https://www.econbiz.de/10012138644

The world predictive power of U.S. equity market skewness risk

Chen, Jian; Jiang, Fuwei; Xue, Shuyu; Yao, Jiaquan - In: Journal of international money and finance 96 (2019), pp. 210-227

Persistent link: https://www.econbiz.de/10012139649

Can economic policy uncertainty predict stock returns? : global evidence

Dinh Hoang Bach Phan; Sharma, Susan Sunila; Vuong Thao Tran - In: Journal of international financial markets, … 55 (2018), pp. 134-150

Persistent link: https://www.econbiz.de/10011984121

Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test

Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250

Persistent link: https://www.econbiz.de/10011591762

Climate risks and market efficiency

Hong, Harrison G.; Li, Frank Weikai; Xu, Jiangmin - In: Journal of econometrics 208 (2019) 1, pp. 265-281

Persistent link: https://www.econbiz.de/10012144990

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

1
2
3
4
5
6
7
8
9
10
Next
Last