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Financial market discipline on bank risk : implications of state ownership

Kazdal, Abdullah; Kılıç, Yavuz; Yılmaz, Muhammed Hasan - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 2, pp. 1-15

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis … on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state … bank presence, our baseline regression results indicate that banks' stock price volatility elevates in response to the …

Persistent link: https://www.econbiz.de/10014574457

Strong vs. Stable : The Impact of ESG Ratings Momentum and Their Volatility on the Cost of Equity Capital

Berk, Ian; Guidolin, Massimo; Magnani, Monia - 2023

We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum...

Persistent link: https://www.econbiz.de/10014350000

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …

Persistent link: https://www.econbiz.de/10013128856

Asymmetric News and Asset Pricing

Suijs, Jeroen - 2011

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Persistent link: https://www.econbiz.de/10013119323

Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion

Huang, Alan Guoming - 2011

Variation in idiosyncratic return volatility from 1978 to 2009 is attributable to discretionary accrual volatility and the correlation between pre-managed earnings and discretionary accruals reflective of information quality across firms. These results are robust to controls for firm operating...

Persistent link: https://www.econbiz.de/10013121964

Market Return Around the Clock : A Puzzle

Bondarenko, Oleg - 2020

We study how the excess market return depends on the time of the day using E-mini S&P 500 futures that are actively traded for almost 24 hours. Strikingly, four hours around European open account for the entire average market return. This period's returns are consistently positive in every year,...

Persistent link: https://www.econbiz.de/10012834630

Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns

Ahmed, Anwer S. - 2019

Financial crises are typically marked by substantial increases in ambiguity where prices appear to decouple from fundamentals. Consistent with ambiguity-based asset pricing theories, we find that ambiguity concerns are more severe for firms with higher pre-crisis earnings volatility, causing...

Persistent link: https://www.econbiz.de/10012890190

Are Sticky Prices Costly? Evidence from the Stock Market

Gorodnichenko, Yuriy - 2017

We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...

Persistent link: https://www.econbiz.de/10012974569

Why Do Price and Volatility Information from the Options Market Predict Stock Returns?

Muravyev, Dmitriy - 2020

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of borrowing stock to sell short. The stock borrowing fee implied from options prices predicts changes in quoted borrowing fees and stock returns; however, the volatility spread...

Persistent link: https://www.econbiz.de/10012855076

Effect of Price Inefficiency on Idiosyncratic Risk and Stock Returns

Qin, Nan - 2013

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation...

Persistent link: https://www.econbiz.de/10013076721

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