Showing 1 - 9 of 9
The paper examines the asymmetries in size, value and momentum premium over the economic cycles in the UK and their macroeconomic determinants. Using Markov switching approach we find clear evidence of cyclical variations of the three premiums, most noticeably variations in size premium. We...
Persistent link: https://www.econbiz.de/10013051458
The paper examines the asymmetries in size, value and momentum premiums over the economic cycles in the UK and their macroeconomic determinants. Using Markov switching approach we find clear evidence of cyclical variations of the three premiums, most noticeably variations in size premium. We...
Persistent link: https://www.econbiz.de/10013025874
This paper performs comparative analysis of the asymmetries in size, value and momentum premium and their macroeconomic determinants over the UK economic cycles, using Markov switching approach. We associate Markov switching regime 1 with economic upturn and regime 2 with economic downturn. We...
Persistent link: https://www.econbiz.de/10012987962
Persistent link: https://www.econbiz.de/10011810682
Persistent link: https://www.econbiz.de/10011312407
This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...
Persistent link: https://www.econbiz.de/10012999962
This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010 we examine the relation between different...
Persistent link: https://www.econbiz.de/10013046782
Persistent link: https://www.econbiz.de/10011797740
This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing daily data between January 2007 and September 2014. To the best of our knowledge this is the first study that analyses the incorporation of new information for CDSs and bonds...
Persistent link: https://www.econbiz.de/10012949170