This paper studies the relationship between stock prices and three types of uncertainty: economic policy uncertainty, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty play the same role in developed and developing...

Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...

The COVID-19 pandemic has challenged the notion that cryptocurrencies are uncorrelated with traditional asset markets. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European stock market indices from January 4, 2016, to February...

The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM...

In this paper, we examine in a systematic manner how investors react to the sentiment of instant ESG news. Instead of acquiring proprietary ESG news or events datasets directly from specific ESG data providers, we extract fresh ESG news directly from a plethora of raw news articles. We showcase...

This paper assesses how and in what circumstances, fiscal consolidations are affected by monetary conditions, using data covering 24 OECD countries over the past 25 years, Focusing on fiscal consolidation “episodes”, it is found that these tend to occur when large budget deficits threaten...

Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that may lead to the bursting of asset price bubbles in OECD economies. A large set of variables put forward in the literature is assessed, as well as interactions of these variables with...

This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified...

In a world full of studies dealing with the relationship of price-to-earnings ratio and the dividend payout ratio, rarely noticeable are those examining the possibility that this relationship may be non-linear. Although rare, studies that aim to fill this gap focus solely on the US capital...