This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...

We propose a stochastic spanning to evaluate whether anomalies are genuine under factor-model framework. Our approach is nonparametric and does not rely on any assumption of return distribution and investor risk preferences. It depends on the whole distribution of returns, rather than only on...

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...

Short selling frictions cannot explain the persistence of seven prominent stock anomalies. Long-only investing is robust and profitable and can be further enhanced by using a synthetic short. Moreover, portfolios restricted to stocks that are easy to short sell continue to have large and...

This paper examines whether oil price shocks of different origin affect the price of carbon emission allowance traded under the European Union's Emissions Trading System (EU-ETS); leading to changes in aggregate and sector specific European equity returns. The results show that an unexpected oil...

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to disentangle the probability of disaster and...

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...

This paper investigates the inflation-hedging properties of three asset classes, namely common stocks, bonds and real estate, for thirty-one selected countries which are at different stages of development. Quarterly data for these countries over the period 1973-2017 are deployed for estimation...

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...