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International capital flows, returns and world financial integration
Evans, Martin D. D.; Hnatkovska, Viktoria - In: Journal of international economics 92 (2014) 1, pp. 14-33
Persistent link: https://www.econbiz.de/10010438457
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Carry momentum
Davis, Joshua M.; Dorsten, Matt; Gillmann, Normane; … - In: Financial analysts journal : FAJ 78 (2022) 1, pp. 5-38
Persistent link: https://www.econbiz.de/10013167451
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …
Persistent link: https://www.econbiz.de/10012486245
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Finanse - nowe wyzwania teorii i praktyki rynek finansowy
Jajuga, Krzysztof (contributor) - 2011
Persistent link: https://www.econbiz.de/10009408909
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Asset price bubbles : the implications for monetary, regulatory, and international policies
Hunter, William Curt (ed.); Kaufman, George G. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001692173
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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018
We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...
Persistent link: https://www.econbiz.de/10011931329
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Measuring Risk Appetite from Financial Assets' Excess Returns
Gatumel, Mathieu - 2015
We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the cross-sectional average of the individual probabilities...
Persistent link: https://www.econbiz.de/10013034992
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Disasters and the Lucas orchard : essays in finance and macroeconomics
Martin, Ian - 2008
Persistent link: https://www.econbiz.de/10011573339
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International financial market’s integration and modelling returns of risky assets
Hassene, Ben Mbarek - 2011
The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …
Persistent link: https://www.econbiz.de/10009711626
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A dynamic equilibrium model of imperfectly integrated financial markets
Bhamra, Harjoat Singh; Coeurdacier, Nicolas; Guibaud, … - In: Journal of economic theory 154 (2014), pp. 490-542
Persistent link: https://www.econbiz.de/10010481321