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The stabilizing role of net foreign asset returns

Adler, Gustavo; Garcia-Macia, Daniel - 2018

With the rapid growth of countries' foreign asset and liability positions over the last two decades, financial returns on those positions ('NFA returns') have become material drivers of current accounts and net stock positions. This paper documents the relative importance of NFA return versus...

Persistent link: https://www.econbiz.de/10011848254

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

Persistent link: https://www.econbiz.de/10014400143

Portfolio Diversification, Leverage, and Financial Contagion

Smith, T. Todd - 1999

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

Persistent link: https://www.econbiz.de/10014400415

The present value of corporate profits : a forecasters’ survey perspective

Andrle, Michal - 2019

This paper presents and discusses the estimates of the present value of corporate profits in the United States from 1984 to 2018. To value the expected income stream, it uses the long-range forecasts of professional forecasters for pre-tax corporate earnings and long-term Treasury note yields,...

Persistent link: https://www.econbiz.de/10012001557

Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Richards, Anthony J. - 1996

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

Persistent link: https://www.econbiz.de/10014398639

Statistical Treatment of 'Build-Own-Operate-Transfer Schemes

Donaghue, Brian - 2002

The paper argues that assets produced under build-own-operate-transfer (BOOT) schemes-under which public infrastructure assets are legally owned and operated for a defined period by the private corporation that constructs them, before being transferred to the government- should be treated in...

Persistent link: https://www.econbiz.de/10014399640

The Brady-Euro Yield Differential Debate : Why Arbitrage is Infeasible

Kaune Moreno, Federico L. - 1996

Brady bonds offer substantially higher returns than Eurobonds. This paper examines the Brady and Eurobond markets for developing country debt and finds that the apparent arbitrage opportunity is not only smaller than it at first appears, but is infeasible given the illiquidity of the Eurobond...

Persistent link: https://www.econbiz.de/10014395922

Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Kramer, Charles Frederick - 1994

The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a...

Persistent link: https://www.econbiz.de/10014397789

Equilibrium yield curve, the Phillips curve, and monetary policy

Katagiri, Mitsuru - 2018

Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively...

Persistent link: https://www.econbiz.de/10011932527

Pricing protest : the response of financial markets to social unrest

Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Persistent link: https://www.econbiz.de/10012518928