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Time-Varying Market, Interest Rate, and Exchange Rate Risk Premia in the U.S. Commercial Bank Stock Returns
Tai, Chu-Sheng - 2021
Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three … evidence of exchange rate risk is found in both large bank and regional bank stocks in the conditional three-factor model with … conditional first and second moments of bank portfolio returns and risk factors are estimated simultaneously show strong evidence …
Persistent link: https://www.econbiz.de/10013244924
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High Frequency Trading in the Equity Markets During US Treasury POMO
Gao, Cheng - 2018
We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...
Persistent link: https://www.econbiz.de/10012938427
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Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms
Akhtaruzzaman, Md.; Shamsuddin, Abul; Easton, Steve - In: Journal of international financial markets, … 31 (2014), pp. 378-396
Persistent link: https://www.econbiz.de/10011299306
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Interest Rate Risk in the U.S. Banking Sector
Abdymomunov, Azamat; Gerlach, Jeff; Sakurai, Yuji - 2023
We study interest rate risk at U.S. banks by measuring the impact of interest rate changes on banks' earnings and net worth. Changes in interest rates affect (i) future earnings by altering income and expenses from rate-sensitive assets and liabilities and (ii) current net worth by altering the...
Persistent link: https://www.econbiz.de/10014355947
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The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility
Lubochinsky, Catherine - 2012
"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …
Persistent link: https://www.econbiz.de/10013108222
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …
Persistent link: https://www.econbiz.de/10011490485
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On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062
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On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011 - This version: 4.1.2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This...
Persistent link: https://www.econbiz.de/10009236964
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063