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Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10013314986

When the Market Drives You Crazy : Stock Market Returns and Fatal Car Accidents

Giulietti, Corrado - 2018

The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This paper provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...

Persistent link: https://www.econbiz.de/10012912252

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

Persistent link: https://www.econbiz.de/10013141228

Risk Sharing Within and Outside the Firm : The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns

Mahlstedt, Robert; Weber, Rüdiger - 2021

We study the interrelation between two types of risk sharing -- within the firm and on capital markets -- by analyzing … the effect of wrongful-discharge laws (WDLs) on stock returns. Consistent with rational, risk-based pricing, the effect on … returns is linked to how shareholders and workers share systematic risk via distinct channels of employment and wage …

Persistent link: https://www.econbiz.de/10013246408

Risk Sharing within and Outside the Firm : The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns

Mahlstedt, Robert; Weber, Rüdiger - 2021

on the exact design of the law. Consistent with rational, risk-based pricing, the effect on returns seems to be linked to … how firms share systematic risk with their employees under the respective laws. Firms in states with WDLs prohibiting … employers from acting in bad faith have more intra-firm risk sharing and lower expected returns. Vaguer legislation that …

Persistent link: https://www.econbiz.de/10013314816

How Does the Economic Uncertainty Affect Asset Prices Under Normal and Financial Distress Times?

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

Persistent link: https://www.econbiz.de/10013406435

Investor Protection and the Value of Shares : Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia

Muravyev, Alexander - 2010

This paper uses a quasi-experimental framework provided by recent changes in Russian corporate law to study the effect of investor protection on the value of shares. The legal change analyzed involves the empowerment of preferred (non-voting) shareholders to veto unfavorable changes in their...

Persistent link: https://www.econbiz.de/10013149514

Produce or Speculate? Asset Bubbles, Occupational Choice and Efficiency

Cahuc, Pierre - 2009

We study the macroeconomic effects of rational asset bubbles in an overlapping-generations economy where asset trading requires specialized intermediaries and where agents freely choose between working in the production or in the financial sector. Frictions in the market for deposits create...

Persistent link: https://www.econbiz.de/10013153172

Give Me Your Wired and Your Highly Skilled : Measuring the Impact of Immigration Policy on Employers and Shareholders

Lin, Carl - 2013

The paper links finance theory to labor economics and political economy in the context of migration and immigration policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages, earnings, and employment. Less is known about the...

Persistent link: https://www.econbiz.de/10013092819

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10013110862