Similar Search Results

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10011412487

Systematic consumption risk in currency returns

Hoffmann, Mathias; Suter, Rahel - 2013

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

Persistent link: https://www.econbiz.de/10009752999

Betting against beta (and gamma) using government bonds

Durham, J. Benson - 2015

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

Persistent link: https://www.econbiz.de/10010467093

Firm size and stock returns : a meta-analysis

Astakhov, Anton; Havránek, Tomáš; Novák, Jiri - 2017

A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the … magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock … of the voluminous academic literature on the size premium, we collect 1,746 estimates of the effect of size on returns …

Persistent link: https://www.econbiz.de/10011716607

The pricing of unexpected volatility in the currency market

Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...

Persistent link: https://www.econbiz.de/10012591966

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Credit rating downgrade risk on equity returns

Brakatsoulas, Periklis; Kukacka, Jiri - 2020

We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns …

Persistent link: https://www.econbiz.de/10012242861

Asset prices and wealth dynamics in a financial market with endogenous liquidation risk

Dindo, Pietro; Staccioli, Jacopo - 2017

aggressive traders dominate, as well as conditions under which the size of the liquidation risk is endogenously determined …

Persistent link: https://www.econbiz.de/10011775376

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

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