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Three essays on politics and elections - a financial market perspective

Plaga, Timo - 2019

Persistent link: https://www.econbiz.de/10012137931

IPO Underpricing Puzzle : The Election Gimmick Hypothesis

Zaremba, Adam - 2014

underpricing anomaly. We formulate the election gimmick hypothesis, which states that in order to please the voters the treasury …

Persistent link: https://www.econbiz.de/10013061736

No Size Anomalies in U.S. Bank Stock Returns

Goyal, Amit - 2017

Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...

Persistent link: https://www.econbiz.de/10012973405

Systematic Pricing and Trading of Municipal Bonds

Kolm, Petter N.; Purushothaman, Sudar - 2021

In this article, the authors propose a systematic approach for pricing and trading municipal bonds, leveraging the feature-rich information available at the individual bond level. Based on the proposed pricing framework, they estimate several models using ridge regression and Kalman filtering....

Persistent link: https://www.econbiz.de/10013215300

Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities

Fleming, Michael J.; Nguyen, Giang H. - 2013

This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...

Persistent link: https://www.econbiz.de/10009781862

Why has the stock market risen so much since the US presidential election?

Blanchard, Olivier; Collins, Christopher G.; … - 2018

. It concludes that a bit more than half of the increase in the aggregate U.S. stock prices from the presidential election …

Persistent link: https://www.econbiz.de/10011917436

How do parliamentary elections affect stock market volatility? : example from the Republic of Macedonia

Trajkovska, Aleksandra - In: Journal of contemporary economic and business issues 5 (2018) 2, pp. 53-62

The main aim of this research is to examine the effect that political elections have on stock prices on the Macedonian Stock Exchange Index MBI 10. Our paper strains to imply the existence of problems due to political uncertainties of the efficient market hypothesis. The methodology used for the...

Persistent link: https://www.econbiz.de/10011936866

Election Cycles and Stock Market Reaction : International Evidence

An, Jiyoun - 2016

This study investigates movements of the stock return volatility during election periods (from one-year before an … election to one-year after the election) with the use of data from 16 countries. The main findings of this study are (1) stock … return volatility declines over time as elections approach, (2) the level of the stock return volatility during election …

Persistent link: https://www.econbiz.de/10013007220

Can municipal bonds hedge US state-level climate risks?

Polat, Onur; Gupta, Rangan; Cepni, Oguzhan; Ji, Qiang - 2024

Persistent link: https://www.econbiz.de/10014521269

Government Interventions and Sovereign Bond Market Volatility during COVID-19 : A Quantile Analysis

Albulescu, Claudiu; Grecu, Eugenia; Zaremba, Adam; … - 2021

We test the interaction between COVID-19 governments' interventions, COVID-19- induced uncertainty, and the volatility of sovereign bonds. Using a panel-quantile approach and a comprehensive dataset of 31 countries worldwide, we document that containment and closure policies tend to amplify...

Persistent link: https://www.econbiz.de/10013233700