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In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders,...
Persistent link: https://www.econbiz.de/10013098803
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
Persistent link: https://www.econbiz.de/10012925355
This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....
Persistent link: https://www.econbiz.de/10013121127
Public corporations are brandishing their political identities. They are increasingly taking stands and messaging on highly charged social issues: gun control, gender and race, immigration, abortion, reproductive rights, and free speech. Corporate scholars have paid scant attention to this...
Persistent link: https://www.econbiz.de/10013240145
This paper studies the pricing of ambiguity or Knightian uncertainty in China stock market with binding short-sale constraints. We measure the stock ambiguity by the dispersion in the probability distribution of the daily stock returns estimated from the trading data, based on the method...
Persistent link: https://www.econbiz.de/10013296825
Purpose: The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to...
Persistent link: https://www.econbiz.de/10011875253
This study develops an agent-based computational stock market model in which each trader’s buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...
Persistent link: https://www.econbiz.de/10011887519
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of equity returns. The purpose of this paper is to examine the size, value effects and the explanatory power of three well-known pricing models - CAPM, three-and five-factor across...
Persistent link: https://www.econbiz.de/10014440925