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Stock-Oil Comovement : Fundamentals or Financialization?

Melone, Alessandro; Randl, Otto; Sögner, Leopold; … - 2022

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a …. We find that about 79% of the time-varying correlation is related to the comovement of cash flow news between the two …

Persistent link: https://www.econbiz.de/10013492254

A new empirical approach to explain the stock market yield : a combination of dynamic panel estimation and factor analysis

Will, Matthias Georg - 2011

This paper presents an empirical approach that combines competing paradigms of mod-eling in empirical capital market research. The approach simultaneously estimates the explanatory power of fundamentals, expectations, and historic yield patterns, making it possible to test the extent to which...

Persistent link: https://www.econbiz.de/10011785220

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …

Persistent link: https://www.econbiz.de/10011745369

Co-Trading Networks for Modeling Dynamic Interdependency Structures and Estimating High-Dimensional Covariances in US Equity Markets

Lu, Yutong; Reinert, Gesine; Cucuringu, Mihai - 2023

The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as co-trading, shape the market structures and affect stock price...

Persistent link: https://www.econbiz.de/10014254470

Asset Allocation in Markets with Contagion : The Interplay between Volatilities, Jump Intensities, and Correlations

Konermann, Patrick - 2013

, a state-dependent diffusion correlation combined with heterogeneity in jump intensities and volatilities can, e …

Persistent link: https://www.econbiz.de/10013092095

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard

Piatti, Ilaria - 2017

This paper investigates the asset pricing implications of investor disagreement about the likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to understand how risk-sharing mechanisms affect equity and...

Persistent link: https://www.econbiz.de/10012973305

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Test of the Chen-Roll-Ross macroeconomic factor model : evidence from Croatian stock market

Dolinar, Dolinar; Orsag, Silvije; Suman, Paola - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 185-196

This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market...

Persistent link: https://www.econbiz.de/10011456296

Relationship between inflation and stock market returns : evidence from Nigeria

Omotor, Douglason Godwin - In: CBN journal of applied statistics 1 (2010) 1, pp. 1-15

The linkage between stock prices and inflation has been subjected to extensive research in the past decades and has arouse the interests of academics, researchers, practitioners and policy makers globally, particularly since the 1990s. The issue has been the apparent anomaly of the negative...

Persistent link: https://www.econbiz.de/10011477682