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The Fama and French three-factor model in developing markets : evidence from the Chinese markets

Li, Man; Dempsey, Michael - In: Investment management and financial innovations 15 (2018) 1, pp. 46-57

Persistent link: https://www.econbiz.de/10012001318

The behaviour of the equity yield and its relation with the bond yield : the role of inflation

McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18

this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative … that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more …

Persistent link: https://www.econbiz.de/10011963922

Modeling asymmetric volatility in the Chicago Board Options Exchange Volatility Index

Ural, Mert; Demireli, Erhan - In: Financial studies 22 (2018) 1, pp. 20-31

often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCH …-type models (TGARCH, EGARCH, APGARCH) to capture the stylized features of volatility in the Chicago Board Options Exchange … Volatility Index (VIX). We analyzed daily VIX returns for the period September 26th, 2012 - September 27th, 2017. The results of …

Persistent link: https://www.econbiz.de/10011964934

Event study of the crude oil futures market : a mixed event response model

Karali, Berna; Ye, Shiyu; Ramírez, Octavio A. - In: American journal of agricultural economics 101 (2019) 3, pp. 960-985

Persistent link: https://www.econbiz.de/10012114862

Dynamic volatility behaviour of stock markets in southern Africa

Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10012019002

The impact of financial leverage on the variance of stock returns

Aharon, David Yechiam; Yagil, Yossi - In: International Journal of Financial Studies : open … 7 (2019) 1/14, pp. 1-18

This paper investigates the direct theoretical relationship between the variance of stock returns (σ2E) and financial leverage (L) considering both corporate and personal taxes. Using a dataset of U.S. industrial firms, we examine the variance of stock returns as a function of the firm’s...

Persistent link: https://www.econbiz.de/10012038522

Extreme risk and small investor behavior in developed markets

Switzer, Lorne N.; Wang, Jun; Lee, Seungho - In: The journal of asset management 18 (2017) 6, pp. 457-475

Persistent link: https://www.econbiz.de/10011844394

Volatility modeling with leverage effect under laplace errors

Jiang, Zhengjun; Xia, Weixuan - In: Journal of time series econometrics 10 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011817685

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011903723

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234