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Persistent link: https://www.econbiz.de/10005402706
The conditional volatility of crude oil futures returns is modelled as a regime switching process. The model features transition probabilities that are functions of the basis. Consistent with the theory of storage, in volatile periods, an increase in backwardation is associated with an increase...
Persistent link: https://www.econbiz.de/10005471951
This paper uses a new database provided by the Commodity and Futures Trading Commissions to examine the price impact of hedge fund carry trades in “hot” and “cold” markets. We find that hedge funds significantly increase their carry trade positions during hot markets (periods with very...
Persistent link: https://www.econbiz.de/10011048490
Bali et al. (2011) uncover a new anomaly (the “MAX effect”) related to investors’ desire for stocks with lottery-like payoffs. Specifically, stocks with high maximum daily returns (high MAX) over the past month perform poorly relative to stocks with low maximum daily returns (low MAX) over...
Persistent link: https://www.econbiz.de/10011065646
Volatility–volume regressions provide a convenient framework to study sources of volatility predictability. We apply this approach to the daily realized volatility of common stocks. We find that unexpected volume plays a more significant role in explaining realized volatility than expected...
Persistent link: https://www.econbiz.de/10010936585
The pricing of A-shares in China has long puzzled financial economists. This paper applies recent tests of stochastic dominance (SD) to examine whether differences in the return distributions of A- and B-shares in China are consistent with market efficiency. As SD is nonparametric, market...
Persistent link: https://www.econbiz.de/10005066678
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Yen carry trades have made headline news for over a decade. We examine the profitability of such trades for the period 2001-2009. Yen carry trades generated high mean returns and Sharpe ratios prior to the recent financial crisis. They continued to outperform major stock markets for the full...
Persistent link: https://www.econbiz.de/10008522838
This paper applies the switching ARCH model introduced by Hamilton and Susmel (194) to weekly DM/L exchange rates for the period March 1987-December 1994. The sample period spans the UK's ERM tenure, which lasted until the currency crisis of September 1992. The SWARCH model generalized standard...
Persistent link: https://www.econbiz.de/10005698529