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Short Selling and Economic Policy Uncertainty
Cao, Xiaping - 2017
sensitivity, higher illiquidity, greater volatility or analyst dispersion. Short sellers earn abnormal profits by trading on …
Persistent link: https://www.econbiz.de/10012959158
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Stock prices, uncertainty and risks : evidence from developing and advanced economies
Sánchez-Gabarre, Mary Elena - In: European journal of government and economics : EJGE 9 (2020) 3, pp. 265-279
, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …
Persistent link: https://www.econbiz.de/10012489744
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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
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How Does Economic Policy Uncertainty in Europe Affect the U.S. Stock Market?
Sum, Vichet - 2012
economic policy conditions in Europe. This study provides an important implication for investment and risk management in the …
Persistent link: https://www.econbiz.de/10013104516
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Long-Run Relation and Speed of Adjustment of Economic Policy Uncertainty and Excess Return Volatility
Sum, Vichet - 2012
This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …
Persistent link: https://www.econbiz.de/10013104851
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The Impact of Foreign and Country-Specific Economic Policy Uncertainty on the Local Momentum Effect
Xavier, Gustavo - 2019
This paper analyzes whether country-specific or foreign Economic Policy Uncertainty (EPU) can explain time-series variation in momentum returns in some international stock markets. First, we empirically tested three EPU index series on the return of Long-Short portfolios of momentum-based...
Persistent link: https://www.econbiz.de/10012899184
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Economic Policy Uncertainty in China and Stock Market Expected Returns
Chen, Jian - 2017
We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...
Persistent link: https://www.econbiz.de/10012968808
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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Mean-variance relationship and uncertainty
Kim, Jun Sik - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 23-45
empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …
Persistent link: https://www.econbiz.de/10012887264
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Can We Avoid Another Financial Crisis - Book Review
Gambles, Paul - 2022
Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...
Persistent link: https://www.econbiz.de/10014235935