Narrow search
Showing 1 - 10 of 4,610
Cover Image
Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...
Persistent link: https://www.econbiz.de/10010225468
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
Cover Image
Are Regime Shift Risks Priced in Asset Markets?
Chourdakis, Kyriakos - 2011
In this paper we introduce a discrete time pricing model for a European call option when the log-return of the underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be priced in the market. The paper shows how to estimate this...
Persistent link: https://www.econbiz.de/10013130931
Cover Image
The Evolution of Financial Market Efficiency : Evidence from Earnings Announcements
Martineau, Charles - 2020
Stock prices following earnings announcements have become more efficient. Prices on announcement dates incorporate more … presence of sophisticated liquidity providers at processing news. Prices on announcement date further reflect more accurately … future prices. The dynamics of market efficiency over time implies that studies about price efficiency be conducted …
Persistent link: https://www.econbiz.de/10012853003
Cover Image
The impact of political risks on financial markets : evidence from a stock price crash perspective
Ma, Yanping; Wei, Qian; Gao, Xiang - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-16
Political risk, one of the most significant uncertainty shocks, affects firms' future attitudes toward risks and plays a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore, this paper probes the relationship between firm-level...
Persistent link: https://www.econbiz.de/10014636314
Cover Image
Size, value and liquidity: Do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - 2010
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...
Persistent link: https://www.econbiz.de/10010302590
Cover Image
Expected inflation, expected stock returns, and money illusion: what can we learn from survey expectations?
Schmeling, Maik; Schrimpf, Andreas - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10010263733
Cover Image
Hidden liquidity: Determinants and impact
Cebiroğlu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10010281537
Cover Image
Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?
Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10003727414
Cover Image
Size, value and liquidity : do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - 2010
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...
Persistent link: https://www.econbiz.de/10008660508