Narrow search
Showing 1 - 10 of 21,448
Cover Image
Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis
Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 122-143
default swap (CDS) credit spreads should track each other closely. In addition, liquidity risk should be priced into both … autoregression framework to establish the credit and liquidity spread interactions over the 2009–2010 crisis period. We find …, for several countries, including Greece, Ireland and Portugal the liquidity of the sovereign CDS market has a substantial …
Persistent link: https://www.econbiz.de/10010608206
Cover Image
Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …
Persistent link: https://www.econbiz.de/10012592791
Cover Image
Price discovery of credit spreads in tranquil and crisis periods
Avino, Davide; Lazar, Emese; Varotto, Simone - In: International Review of Financial Analysis 30 (2013) C, pp. 242-253
In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...
Persistent link: https://www.econbiz.de/10010730274
Cover Image
Return predictability and valuation ratios: Sector-level evidence on the Johannesburg Stock Exchange
Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-27
The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...
Persistent link: https://www.econbiz.de/10014001391
Cover Image
Modifications on book-valued ratios
Georgiou, Catherine - In: International Journal of Business and Economic Sciences … 15 (2023) 3, pp. 24-37
Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...
Persistent link: https://www.econbiz.de/10014434600
Cover Image
Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011708985
Cover Image
Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011312208
Cover Image
Option volume and stock returns : evidence from single stock options on the Korea Exchange
Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 280-300
Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine...
Persistent link: https://www.econbiz.de/10012658766
Cover Image
Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange
Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27
The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...
Persistent link: https://www.econbiz.de/10013179575
Cover Image
News-driven return reversals: Liquidity provision ahead of earnings announcements
So, Eric C.; Wang, Sean - In: Journal of Financial Economics 114 (2014) 1, pp. 20-35
liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest … liquidity and that these increases significantly affect the dynamics and information content of market prices. …
Persistent link: https://www.econbiz.de/10010906188