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Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods : Evidence from the US Stock Market
Grobys, Klaus - 2016
This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly …. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread … option on the market, an inverted credit risk portfolio appears to be a long call option on the market. A strategy that …
Persistent link: https://www.econbiz.de/10012996318
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Credit Fluctuations and 'Neglected Crash Risk' in U.S. Bank Returns
Mihai, Marius - 2019
fluctuations on a set of economic dimensions. First, I investigate the source of "Neglected Crash Risk" in U.S. bank returns using … quantify the size of "Neglected Crash Risk" and find it is economically and statistically significant at different forecast … disaster probabilities by investors across credit regimes. Lastly, changes in monetary policy activate crash risk in the …
Persistent link: https://www.econbiz.de/10012861958
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Global Economic Uncertainty and the U.S. Equity Returns
Jahan-Parvar, Mohammad R.; Kitsul, Yuriy; Rahman, Jamil A. - 2021
We document the predictive ability and economic significance of global economic policy uncertainty for U.S. equity returns. After orthogonalizing global economic policy uncertainty (global EPU) with respect to the U.S. EPU, we find that it has significant predictive power for aggregate stock...
Persistent link: https://www.econbiz.de/10013242535
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2018
power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …
Persistent link: https://www.econbiz.de/10012913073
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Dynamic Relationship between Stock Return, Trading Volume, and Volatility in the Stock Exchange of Thailand : Does the US Subprime Crisis Matter?
Jiranyakul, Komain - 2016
Using daily data from 2004 to 2015, this paper attempts to examine the relationship between return, volume and volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships. Specifically, trading volume causes both return and...
Persistent link: https://www.econbiz.de/10012979314
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011490485
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Corporate Debt and Stock Returns : Evidence from U.S. Firms During the 2020 Oil Crash
Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022
This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...
Persistent link: https://www.econbiz.de/10014083040
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Are climate change risks priced in the U.S. Stock market?
Faccini, Renato; Matin, Rastin; Skiadopoulos, George - 2021
We construct novel proxies of physical and transition climate risks by conducting textual analysis of climate-change news over the period 2000-2018. This analysis uncovers four textual variables related to the topics of U.S. climate policy, international summits, natural disasters, and global...
Persistent link: https://www.econbiz.de/10012432328
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What Does the Prevalence of Zero Returns Tell Us? Evidence from U.S. Treasury Securities
Han, SeungOh - 2019
We first document that each trading day the U.S. Treasury notes have a large proportion of zero returns. This is because almost all trades are executed at the best ask or bid quote and quoted spreads are mostly set close to the minimum tick. The proportion of zero returns is negatively...
Persistent link: https://www.econbiz.de/10012897584
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The effect of uncertainty on the information content of term spread and its components
Kim, Jun Sik - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 2-28
excess return and growth of economic activity are positively related to the risk-neutral expectation, one of the term spread …
Persistent link: https://www.econbiz.de/10012592743