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The US Dollar Funding Premium of Global Banks

Sarkar, Asani - 2012

the foreign exchange (FX) market, while fully hedging the FX risk, relative to the interbank rate for borrowing USD. We …

Persistent link: https://www.econbiz.de/10013103265

Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38

diversification and risk management. The study calculates the effectiveness of hedging equities portfolios between markets, using the … US market does not provide a superior hedging ratio for Asia-Pacific nations. For other stock markets, India, Hong Kong …, and New Zealand have the best hedge ratios, portfolio weights, and hedging efficacy. Finally, this research raised the …

Persistent link: https://www.econbiz.de/10014500629

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets …

Persistent link: https://www.econbiz.de/10012309325

Investor protection and the demand for equity

Giannetti, Mariassunta; Koskinen, Yrjö - 2004 - Rev. February 23, 2004

Anecdotal evidence suggests that investor protection affects the demand for equity, but existing theories emphasize only the effect of investor protection on the supply of equity. We build a model showing that the demand for equity is important in explaining financial development. If the level...

Persistent link: https://www.econbiz.de/10009502217

How Excess Global Saving and Investor Exuberance Brought a Secular Rise in U.S. Stocks

Scott, William - 2020

This short paper shows how excess global saving led to asset price inflation in U.S. stocks during 1981 to 2019. It compares stock PE ratios to corporate bond values to explain that investor exuberance for stocks enabled and enhanced the extent of the secular stock rise

Persistent link: https://www.econbiz.de/10012840941

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

Emotions and Subjective Crash Beliefs

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024

Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...

Persistent link: https://www.econbiz.de/10014576618

Fixed-income portfolio management in crisis period : expected tail loss (ETL) approach

Mili, Mehdi - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10009564251

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

Persistent link: https://www.econbiz.de/10012388066

Private information, human capital, and optimal “home bias” in financial markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

Persistent link: https://www.econbiz.de/10009516904

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