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Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns

Vassalou, Maria - C.E.P.R. Discussion Papers - 2000

We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the … Adler and Dumas (1983). Both exchange rate and foreign inflation risk factors can explain part of the within-country cross …-sectional variation in returns. Our results have important implications for hedging exchange rate risk. They also demonstrate that home …

Persistent link: https://www.econbiz.de/10005504518

Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing

Perraudin, William; Sørensen, Bent - Økonomisk Institut, Københavns Universitet - 1994

allows for: (i) stochastic volatility, (ii) non-diversifiable jump risk, and (iii) stochastic interest rates. Using …

Persistent link: https://www.econbiz.de/10005543481

The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland

Büttner, David; Hayo, Bernd; Neuenkirch, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2009

In this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of three-month interest rates, stock market indices,...

Persistent link: https://www.econbiz.de/10005490039

The Characteristics and Trading Behaviour of Dual-listed Companies

Bedi, Jaideep; Richards, Anthony; Tennant, Paul - Reserve Bank of Australia - 2003

We examine the characteristics and stock price behaviour of existing and recently unified dual-listed companies (DLCs, also known as Siamese-twin companies). DLC structures are effectively mergers in which companies agree to combine their operations and cash flows, but retain separate identities...

Persistent link: https://www.econbiz.de/10005426685

Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets

Richards, Anthony - Reserve Bank of Australia - 2004

This paper analyses data for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners’ flows into several markets show positive-feedback trading with respect to global, as well as domestic, equity returns. In...

Persistent link: https://www.econbiz.de/10005398632

Time-varying global and local sources of risk in Russian stock market

Saleem, Kashif; Vaihekoski, Mika - Volkswirtschaftliche Fakultät, … - 2007

model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the …In this paper we study international asset pricing models and pricing of global and local sources of risk in the … find global risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market …

Persistent link: https://www.econbiz.de/10011107724

In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

Weigert, Florian - School of Finance, Universität St. Gallen - 2013

higher average returns than stocks with weak crash sensitivity. The risk premium is particularly strong in countries that … statistically and economically important premium in individualistic countries where investors personally bear the risk of large …

Persistent link: https://www.econbiz.de/10011154566

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

Persistent link: https://www.econbiz.de/10011083673

The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine

Hoffmann, Manuel; Neuenkirch, Matthias - Fach Volkswirtschaftslehre, Universität Trier - 2015

We analyze the impact of the pro-Russian conflict on stock returns in Russia and the Ukraine during the period November 21, 2013 to September 29, 2014. We utilize a newly created indicator for the degree of (de-)escalation based on an Internet search for conflict-related news. We find that...

Persistent link: https://www.econbiz.de/10011115439

A time-varying perspective on the CAPM and downside betas

Tsai, Hsiu-Jung; Chen, Ming-Chi; Yang, Chih-Yuan - In: International Review of Economics & Finance 29 (2014) C, pp. 440-454

In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models...

Persistent link: https://www.econbiz.de/10010729744