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This study shows that firms regard stock price fragility - exposure to non-fundamental demand shocks stemming from the composition of equity ownership - as a salient corporate risk. We model ex-ante corporate responses to higher potential for future stock market misvaluation and then empirically...
Persistent link: https://www.econbiz.de/10013291761
hedging tool for risk in China's stock market. This paper analyzes return spillovers between crude oil, gold, and Chinese …
Persistent link: https://www.econbiz.de/10015192507
The intention of this paper is to examine the relationship between the dividend policy and share prices of companies on the Macedonian Stock Exchange in order to define whether the dividend policy is a factor determining the share price volatility, and if so, how to use this possibility to...
Persistent link: https://www.econbiz.de/10011862135
Persistent link: https://www.econbiz.de/10012162539
This article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps in three Chinese stocks, and find that relative to...
Persistent link: https://www.econbiz.de/10013131542
This study attempts to investigate the interdependence and risk spillover effects between China and ASEAN-6 stock … pair of China and Singapore exhibited the highest dependence structure, whereas Vietnam was least likely to have dependence … structures with China stock market. Upside and downside CoVaRs are symmetric and display similar temporal dynamics throughout the …
Persistent link: https://www.econbiz.de/10014254518
We develop a model of investment, payout, and financing policies in which firms face uncertainty regarding their ability to raise funds and have to search for investors when in need of capital. We show that capital supply uncertainty leads firms to value financial slack and to adjust their...
Persistent link: https://www.econbiz.de/10009375158
BRICS (Brazil, Russia, India, China and South Africa) are viewed currently as pillars of relative political, economic … China hold strong sensitivity to political risk and India demonstrates special sensitivity to higher oil prices. Among the …
Persistent link: https://www.econbiz.de/10014043055
In this paper we investigate how privatization affects stock return volatility. We show that privatization is related … to volatility via political risk. In particular, a privatization program that is maintained over time signals credibility …, which reduces political risk and in turn volatility. We further show that privatization is associated with lower …
Persistent link: https://www.econbiz.de/10012971570
Persistent link: https://www.econbiz.de/10011635499