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We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic … risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust … across 21 developed markets and that the global market volatility risk factor prices 21 developed market portfolios after …
Persistent link: https://www.econbiz.de/10012857113
We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and … the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors … thus supporting the hypothesis that exchange rate volatility affects stock returns through the channel of international …
Persistent link: https://www.econbiz.de/10013049029
-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …
Persistent link: https://www.econbiz.de/10013026463
We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new dataset of hand-collected delisting returns for all Australian stocks and provide the first study outside the U.S. to jointly examine the effects of delisting and missing returns...
Persistent link: https://www.econbiz.de/10013043095
market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …
Persistent link: https://www.econbiz.de/10013047165
We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …
Persistent link: https://www.econbiz.de/10012932170
We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...
Persistent link: https://www.econbiz.de/10012587977
country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …
Persistent link: https://www.econbiz.de/10013079478
Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …
Persistent link: https://www.econbiz.de/10013060597
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