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China Markets and Global Stock Return Predictability
Sun, Yulong - 2020
We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …
Persistent link: https://www.econbiz.de/10012824300
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Direct real estate, securitized real estate, and equity market dynamic connectedness
Nguyen Thi Thu Ha; Balli, Faruk; Balli, Hatice Ozer; … - In: Applied economics 54 (2022) 23, pp. 2658-2677
Persistent link: https://www.econbiz.de/10013171112
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World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets
Bali, Turan G. - 2012
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....
Persistent link: https://www.econbiz.de/10013116715
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Commodity and Equity Markets : Some Stylized Facts from a Copula Approach
Delatte, Anne Laure - 2012
In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...
Persistent link: https://www.econbiz.de/10013104023
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Commodity and Equity Markets : Some Stylized Facts from a Copula
Delatte, Anne Laure - 2013
In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...
Persistent link: https://www.econbiz.de/10013087173
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2019
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012901804
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Global Political Risk and International Stock Returns
Gala, Vito - 2020
Using novel measures of politics-policy uncertainty we document predictable variation in stock market returns across countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to large abnormal returns, up to 15% per annum. We...
Persistent link: https://www.econbiz.de/10012851461
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...
Persistent link: https://www.econbiz.de/10012853413
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The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Buncic, Daniel - 2016
We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross-section of 18 international equity markets, using daily realized measures data from the Oxford-Man Realized Library, and two widely employed empirical models for realized volatility...
Persistent link: https://www.econbiz.de/10012983715