Showing 1 - 10 of 13,940
This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical...
Persistent link: https://www.econbiz.de/10013101494
Persistent link: https://www.econbiz.de/10014635867
Persistent link: https://www.econbiz.de/10011553237
The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results? This research looks at the out of sample forecasting...
Persistent link: https://www.econbiz.de/10012907773
We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low...
Persistent link: https://www.econbiz.de/10013080587
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012833734
Persistent link: https://www.econbiz.de/10013470087
mortgage crisis. In addition, we examine stock market co-movement and risk exposure for ten industries in eight emerging …/developing stock markets. We obtain four key empirical findings. First, at industry level, we confirm that the equity risk premium in … premia. Third, we show that some industries are more exposed to global risk factors than others. Fourth, given the increasing …
Persistent link: https://www.econbiz.de/10009755648
This paper compares the explanations and predictabilities of 35 firm-level characteristics between developed and emerging stock markets using instrumented principal components analysis (IPCA). In contrast to the weak performance of global model in each region, the local model performs better...
Persistent link: https://www.econbiz.de/10013403284
Persistent link: https://www.econbiz.de/10013413403