Narrow search
Showing 1 - 10 of 279,702
Cover Image
International characteristic-based asset pricing
Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019
, growth of total assets, and operating profitability, each separately created for a given geographical region of the world. As …
Persistent link: https://www.econbiz.de/10012387428
Cover Image
Who Is Afraid of BlackRock?
Massa, Massimo - 2020
We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and a large exposure to commonly-held...
Persistent link: https://www.econbiz.de/10012856106
Cover Image
Equity Anomalies and Idiosyncratic Risk Around the World
Fan, Steven - 2015
In this study, we examine how idiosyncratic risk is correlated with a wide array of anomalies, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals, in international equity markets. We use zero-cost trading strategy and multifactor...
Persistent link: https://www.econbiz.de/10013022117
Cover Image
Size, Value, and Momentum in Emerging Market Stock Returns : Integrated or Segmented Pricing?
Hanauer, Matthias X. - 2015
In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...
Persistent link: https://www.econbiz.de/10013034756
Cover Image
Measuring Time-Varying Disaster Risk : An Empirical Analysis of 'Dark Matter' in Asset Prices
Baron, Matthew; Xiong, Wei; Ye, Zhijiang - 2022
To confront the challenge that disaster risk is “dark matter” in finance, we construct an objective measure of disaster risk, which is able to predict half of GDP crashes in a sample of 20 advanced economies between 1870 and 2021. Despite this significant predictability, we find no...
Persistent link: https://www.econbiz.de/10013492349
Cover Image
Long-run Consumption Risk and International Stock Returns : A Century of Evidence
Rangvid, Jesper - 2011
CAPM that prices international stock returns via their exposures to multi-period consumption growth in world consumption … performs considerably better in explaining the international cross-section of returns than the canonical consumption CAPM. By … virtue of the long-run data set, we are also able to relate the importance of world consumption risk for the cross-section of …
Persistent link: https://www.econbiz.de/10013134128
Cover Image
Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas) : Evidence from Country Level Stock Returns
Jayasinghe, Prabhath - 2014
This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...
Persistent link: https://www.econbiz.de/10013051472
Cover Image
Media Sentiment and International Asset Prices
Fraiberger, Samuel P. - 2019
, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short …
Persistent link: https://www.econbiz.de/10012895104
Cover Image
Recency Bias and the Cross-Section of International Stock Returns
Cakici, Nusret; Zaremba, Adam - 2021
Investors often focus their attention on recent information only, underestimating the rele-vance of information from the distant past. In consequence, the ordering of historical re-turns robustly predicts future stock performance in the cross-section. Using data from 49 countries, we...
Persistent link: https://www.econbiz.de/10013230299
Cover Image
The Risk and Return Conundrum Explained : International Evidence
Savva, Christos S. - 2018
The relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the...
Persistent link: https://www.econbiz.de/10012921313