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An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?

Jegourel, Yves; Maveyraud, Samuel - Laboratoire d'Analyse et de Recherche Économiques et … - 2010

timevarying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with di¤erences in the intensity of …

Persistent link: https://www.econbiz.de/10010553035

Option Pricing and Foreign Investment under Political Risk

Cherian, Joseph A; Perotti, Enrico C - C.E.P.R. Discussion Papers - 1999

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

Persistent link: https://www.econbiz.de/10005656360

A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?

Jegourel, Yves; Maveyraud, Samuel - In: Economics Bulletin 30 (2010) 1, pp. 913-923

-varying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with differences in the intensity of extra …

Persistent link: https://www.econbiz.de/10008503160

Is the Currency Risk Priced in Equity Markets?

Giurda, Francesco; Tzavalis, Elias - School of Economics and Finance, Queen Mary - 2004

allows for asymmetric responses of volatility to stock and currency news, including leverage effects. Our results suggest … that the currency risk is priced in international stock markets, once asymmetries in volatility are taken into account. The …

Persistent link: https://www.econbiz.de/10005106469

Return-volatility linkages in the international equity and currency markets

Francis, Bill B; Hasan, Iftekhar; Hunter, Delroy M. - Suomen Pankki - 2002

provides a parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the …

Persistent link: https://www.econbiz.de/10005423700

Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

provides a parsimonious way of testing mean- volatility relationships in currency and equity markets and re-examining the …

Persistent link: https://www.econbiz.de/10005413091

Exchange risk premia and firm characteristics

Chung, Hyunchul; Majerbi, Basma; Rizeanu, Sorin - In: Emerging Markets Review 22 (2015) C, pp. 96-125

This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and...

Persistent link: https://www.econbiz.de/10011264512

Country-specific idiosyncratic risk and global equity index returns

Hueng, C. James; Yau, Ruey - In: International Review of Economics & Finance 25 (2013) C, pp. 326-337

Studies have claimed that the “idiosyncratic volatility puzzle” in the firm-level data can be explained by certain time …, first, lagged idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data. Second …

Persistent link: https://www.econbiz.de/10011048258

Relative risk aversion and the transmission of financial crises

Boschi, Melisso; Goenka, Aditya - In: Journal of Economic Dynamics and Control 36 (2012) 1, pp. 85-99

We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which...

Persistent link: https://www.econbiz.de/10010582621

Contagion and portfolio shift in emerging countries' sovereign bonds

Ríos, Antonio Díez de los; Herrero, Alicia García - Banco de España - 2003

The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market...

Persistent link: https://www.econbiz.de/10004965259