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We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251
This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is...
Persistent link: https://www.econbiz.de/10011491776
In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...
Persistent link: https://www.econbiz.de/10012387428
” (identified as the volatility of the scores over a period of time), measured around a given slope. We find that 1-month, short … risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility …
Persistent link: https://www.econbiz.de/10014350000
formulate a volatility forecast of returns used as an input for determining some subjective views to be included in the Black …
Persistent link: https://www.econbiz.de/10012998423
Does socially responsible investing pay off? The investigation of 49 developed and emerging markets indicates that environmental, social, and governance ratings negatively predict future stock returns. A decile of global stocks with the highest ESG scores underperforms their low-rated...
Persistent link: https://www.econbiz.de/10013322426
distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …
Persistent link: https://www.econbiz.de/10013225759
and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …
Persistent link: https://www.econbiz.de/10015204018
Variance premium is studied under a discrete-time consumption-based equilibrium model, with two stochastic volatility …. The implication of the model is that variance premium term structure contains information about two underlying volatility …
Persistent link: https://www.econbiz.de/10013079942
Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the … realized volatility measure for the GARCH-type models.Findings: The comprehensive empirical investigation led to the following … estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any …
Persistent link: https://www.econbiz.de/10013211332