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The impact of geopolitical risk on stock returns : evidence from inter-Korea geopolitics

Jung, Seungho; Lee, Jongmin; Lee, Seohyun - 2021

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

Persistent link: https://www.econbiz.de/10012796347

Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Richards, Anthony J. - 1996

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory...

Persistent link: https://www.econbiz.de/10014398637

Additions to market indices and the comovement of stock returns around the world

Claessens, Stijn; Yāfe, Yišay - 2011

Persistent link: https://www.econbiz.de/10009487130

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

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

Stock returns and inflation redux : an explanation from monetary policy in advanced and emerging markets

Zhang, Zhongxia - 2021

Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I...

Persistent link: https://www.econbiz.de/10012796818

Systemic Risk and Financial Consolidation : Are they Related?

De Nicolò, Gianni - 2002

risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U ….S. Large and Complex Banking Organizations over 1988-99. This finding suggests that the systemic risk potential in the …

Persistent link: https://www.econbiz.de/10014399710

Bank Rating Changes and Bank Stock Returns : Puzzling Evidence From the Emerging Markets

Richards, Anthony J. - 1999

This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cumulative abnormal returns for banks, although upgrades have not followed periods...

Persistent link: https://www.econbiz.de/10014400871

Additions to Market Indices and the Comovement of Stock Returns Around the World

Yafeh, Yishay - 2011

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...

Persistent link: https://www.econbiz.de/10014402208

Firm-Level Evidenceon International Stock Market Comovement

Brooks, Robin - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10014403861