Showing 211 - 220 of 63,043
This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey's financial markets for the period of 2001 M1 - 2017 M4. Cointegration analysis is investigated using the autoregressive-distributed lag bounds (ARDL Bounds) test and...
Persistent link: https://www.econbiz.de/10012602804
Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the...
Persistent link: https://www.econbiz.de/10012602874
We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations between macroeconomic factors and Fama-French...
Persistent link: https://www.econbiz.de/10012606028
This paper intends to contribute to the theoretical literature on the determinants of exchange rate fluctuations. We build an agent-based model, based on behavioral assumptions inspired by the literature on behavioral finance and by empirical surveys about the behavior of foreign exchange...
Persistent link: https://www.econbiz.de/10012609086
The yield to maturity (YTM) or internal rate of return (IRR) is a metric used in financial analysis to estimate the profitability of potential investments. Almost all finance textbooks state the following conditioning assumptions: (i) that the coupon payments can be reinvested at a rate equal to...
Persistent link: https://www.econbiz.de/10012609567
Recently, the concept of "blue finance" was introduced to the world. Blue finance envisages that ocean firms issue financial instruments to obtain funds and take necessary measures to make the ocean environment blue. To measure the blueness of a firm, we estimate the blueness index using GHG...
Persistent link: https://www.econbiz.de/10012610125
We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous...
Persistent link: https://www.econbiz.de/10012611088
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/10012611108
This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have an economic and statistical...
Persistent link: https://www.econbiz.de/10012611113
This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range (R/S) and Detrended Fluctuation Analysis (DFA) as well...
Persistent link: https://www.econbiz.de/10012611131