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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

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

rational trader’s marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium …

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

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

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

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

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - 2003

value for market participants in asset pricing and risk management, as well as for policymakers in the design of …

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

Explaining International Comovements of Output and Asset Returns : The Role of Money and Nominal Rigidities

Kollman, Robert Miguel W. K. - 1999

Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact....

Persistent link: https://www.econbiz.de/10014400201

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 … optimal to sell many higher-risk assets when a shock to one asset occurs …

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