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A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte - 2012
We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …
Persistent link: https://www.econbiz.de/10013115338
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A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte - 2014
We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …
Persistent link: https://www.econbiz.de/10013066491
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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251
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The pricing of sentiment risk in European stock markets
Keiber, Karl Ludwig; Samyschew, Helene - 2016
This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is...
Persistent link: https://www.econbiz.de/10011491776
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Has the pricing of stocks become more global?
Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015
We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...
Persistent link: https://www.econbiz.de/10011412487
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International characteristic-based asset pricing
Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019
In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...
Persistent link: https://www.econbiz.de/10012387428
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce; Schrimpf, Andreas; … - 2023
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...
Persistent link: https://www.econbiz.de/10014292801
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...
Persistent link: https://www.econbiz.de/10013169023
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
Persistent link: https://www.econbiz.de/10013348418