Showing 1 - 10 of 11
Recent theoretical models including the closed-form valuation model of Longstaff and Schwartz (1995) predict that credit spreads are driven by both an asset and interest rate factor. In empirical studies the credit spread may be expressed as either the difference between, or ratio of, the risky...
Persistent link: https://www.econbiz.de/10005491264
This study applies a multivariate EGARCH model, developed from the closed-form valuation model of Longstaff and Schwartz (1995), to explain the time-varying volatility of credit spreads on AAA and AA rated yen Eurobonds with different maturities. While the results support the theoretical...
Persistent link: https://www.econbiz.de/10005451906
The investor preference for home assets rather than a diversified portfolio of international assets termed 'home bias' remains a puzzle, given recent information and technology improvements, although presumed risk reduction benefits may have been reduced through improved financial market...
Persistent link: https://www.econbiz.de/10008498730
This study develops an equilibrium correction model (ECM) of the credit spreads on quality Japanese yen Eurobonds based on the Longstaff and Schwartz (1995) continuous time, closed form solution of the arbitrage-free value on risky debt. The solution predicts testable relationships between the...
Persistent link: https://www.econbiz.de/10005278543
The ability of investors to implement seasonal strategies implied by academic papers has been widely criticized, most recently by Hudson et al. (Applied Financial Economics, 12, 681-86, 2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers...
Persistent link: https://www.econbiz.de/10005485132
In this article we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity and interest rate market sectors. Tests of normality indicate that all daily returns and daily volumes are not...
Persistent link: https://www.econbiz.de/10005485246
The pre-holiday behaviour of equity price and return indices on the Irish Stock Exchange do not display consistent positive pre-holiday returns. This is contrary to the majority of studies in this area, and the result is found across a number of sectoral indices. The analysis also indicates that...
Persistent link: https://www.econbiz.de/10005637781
This paper examines the monthly and semi-annual behaviour of the Irish equity market in the long term. Little has previously been written about the Irish market, and such work as has been undertaken has confined examination to relatively short time spans. The paper finds, over the 1934-2000...
Persistent link: https://www.econbiz.de/10005637888
This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods. Using COMEX cash and futures data, we find that the evidence is weak for the mean but strong for the variance. There appears to be a negative...
Persistent link: https://www.econbiz.de/10005637945
iShares funds are products designed to mimic the movements of MSCI stock market indices. Being devoid of problems associated with trading restrictions, exchange-rate fluctuations and non-synchronous trading, iShares data are better suited for measuring equity-market co-movements and the...
Persistent link: https://www.econbiz.de/10005638024