We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock of the voluminous academic literature on the size...

We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the frequency decomposition of covariance between indicator functions, we define the quantile cross-spectral beta of an asset capturing tail-specific as well as horizon-, or...

This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

This paper analyzes the impact of monetary policy during periods of low and high financial stress in the US economy using a Threshold Vector Autoregression model. There is evidence that expansionary monetary policy is effective during periods of high financial stress with larger responses having...

While population has been aging globally, regions and countries are significantly asymmetric in the timing and speed of the demographic transitions, especially between developed and developing regions. This paper explores the impacts of asymmetric demographic change on international capital...

We contribute to research on mixed-frequency regressions by introducing an innovative Bayesian approach. Based on a new “high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US economy. As main findings, we document a “temporal...

There is a substantial body of theoretical and empirical research on asset price comovement and determinants. The empirical analysis in this paper differs in that it incorporates a channel for cross-country comovement in asset prices as well in a set of proposed asset price determinants, across...

Shocks to net migration matter for the business cycles of some countries. Using an estimated dynamic stochastic general equilibrium (DSGE) model of a small open economy and a structural vector autoregression, we find that migration shocks account for a considerable proportion of the variability...