Similar Search Results

Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis

Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 122-143

default swap (CDS) credit spreads should track each other closely. In addition, liquidity risk should be priced into both … autoregression framework to establish the credit and liquidity spread interactions over the 2009–2010 crisis period. We find …, for several countries, including Greece, Ireland and Portugal the liquidity of the sovereign CDS market has a substantial …

Persistent link: https://www.econbiz.de/10010608206

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

Persistent link: https://www.econbiz.de/10011084210

Price discovery of credit spreads in tranquil and crisis periods

Avino, Davide; Lazar, Emese; Varotto, Simone - In: International Review of Financial Analysis 30 (2013) C, pp. 242-253

In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...

Persistent link: https://www.econbiz.de/10010730274

On the determinants of pairs trading profitability

Jacobs, Heiko; Weber, Martin - In: Journal of Financial Markets 23 (2015) C, pp. 75-97

We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...

Persistent link: https://www.econbiz.de/10011263886

European business cycles and stock return predictability

Zhu, Yanjian; Zhu, Xiaoneng - In: Finance Research Letters 11 (2014) 4, pp. 446-453

This paper finds that the European leading economic indicator, a prime business cycle indicator for the European economies published by the OECD, can strongly predict European stock returns and generate utility gains. Importantly, the predictive power of the European indicator is above and...

Persistent link: https://www.econbiz.de/10011118184

Brand Capital and Firm Value

Belo, Frederico; Lin, Xiaoji; Vitorino, Maria Ana - In: Review of Economic Dynamics 17 (2014) 1, pp. 150-169

We study the role of brand capital -- a primary form of intangible capital -- for firm valuation and risk in the cross section of publicly traded firms. Using a empirical measure of brand capital stock constructed from advertising expenditures accounting data, we show that: (i) firms with low...

Persistent link: https://www.econbiz.de/10010729234

News-driven return reversals: Liquidity provision ahead of earnings announcements

So, Eric C.; Wang, Sean - In: Journal of Financial Economics 114 (2014) 1, pp. 20-35

liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest … liquidity and that these increases significantly affect the dynamics and information content of market prices. …

Persistent link: https://www.econbiz.de/10010906188

The second moment matters! Cross-sectional dispersion of firm valuations and expected returns

Jiang, Danling - In: Journal of Banking & Finance 37 (2013) 10, pp. 3974-3992

Behavioral theories predict that firm valuation dispersion in the cross-section (“dispersion”) measures aggregate overpricing caused by investor overconfidence and should be negatively related to expected aggregate returns. This paper develops and tests these hypotheses. Consistent with the...

Persistent link: https://www.econbiz.de/10011065613

Measuring investor sentiment with mutual fund flows

Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi - In: Journal of Financial Economics 104 (2012) 2, pp. 363-382

We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard...

Persistent link: https://www.econbiz.de/10011039240

Risk and return: Long-run relations, fractional cointegration, and return predictability

Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of Financial Economics 108 (2013) 2, pp. 409-424

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent...

Persistent link: https://www.econbiz.de/10011039272