One of the largest financial markets in the world is the “global foreign exchange market” with average daily trades in trillions of dollars. The forex market is the backbone of international trade, global investing and is critical to support imports and exports. The exchange rate is one of...

Empirical studies have found that during bad times return predictability is higher. Thus, variation in discount rate news should be relatively higher as economic conditions worsen. We propose a parsimonious model for expected returns that captures the countercyclical dynamics of stock return...

We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results confirm that dividend yield shocks play an important...

We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

This paper studies the question of the economic scale of financial institutions. We show that banks actively smooth book equity by adjusting payouts to achieve a desired trajectory of book equity. The countercyclical nature of net payouts of financial institutions leads to procyclical book...

This study explores the relations between the development level of capital market sub-components, involving mutual/pension funds, corporate bond, stock and government bond markets, and economic growth over the period of 2006:M1 and 2016:M6 in Turkey. We find that there is a long-run...

This paper examines whether monetary policy reaction function matters for financial stability. We measure how responsive the Federal Reserve's policy appears to be to imbalances in the equity, housing and credit markets. We find that changes in these policy sensitivities predict the later...

In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price is large then the trading volume is also large. We also...

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...