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Investing in crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10012518234
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ETFs, illiquid assets, and fire sales
Shim, John J.; Todorov, Karamfil - 2021
Persistent link: https://www.econbiz.de/10012798259
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Misery on Main Street, Victory on Wall Street : Economic Discomfort and the Cross-Section of Global Stock Returns
Cakici, Nusret; Zaremba, Adam - 2023
We hypothesize that local economic discomfort influences investors’ risk aversion, leading to cross-sectional variation in risk premia in segmented equity markets. To test this assertion, we employ the misery index (MI)—which aggregates both unemployment and inflation rates—as a gauge of...
Persistent link: https://www.econbiz.de/10014258484
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Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10013227328
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Mutual Fund Managers' Choice of Momentum Strategy Pre/during/Post Financial Crisis
Jin, Luyue - 2016
This paper provide evidence of momentum strategy selection and investment strategy switch under different market state for 207 mutual funds. The test are designed to examine the impact of different strategy and evaluate the performance under specific conditions. The study in this paper confirm...
Persistent link: https://www.econbiz.de/10012981715
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In real estate investment we trust : state de-risking and the ownership of listed US and German residential real estate investment trusts
Aalbers, Manuel; Taylor, Zac J.; Klinge, Tobias J.; … - In: Economic geography 99 (2023) 3, pp. 312-335
Persistent link: https://www.econbiz.de/10014294836
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ETFs, High-Frequency Trading and Flash Crashes
Aldridge, Irene - 2016
In this article, the author presents a model of distributional properties of returns on financial instruments tied to ETFs via high-frequency statistical arbitrage. As the author's model shows, the securities subject to an ETF arbitrage exhibit a well-defined behavior, largely dependent on the...
Persistent link: https://www.econbiz.de/10012986620
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Fixed income mutual fund performance during and after a crisis : a Canadian case
Samarbakhsh, Laleh; Shah, Meet - In: Journal of economics and finance : JEF 45 (2021) 4, pp. 654-676
Persistent link: https://www.econbiz.de/10012656314
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Global Financial Crisis and Price Discovery between Credit Default Swaps Premia and Bond Yield Spreads
Klenina, Ekaterina - 2017
This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing …-lag relation is found between the markets, in which changes in CDS premia consistently forecast changes in bond spreads. Moreover …, it was found less bond market reaction for an increase on the insurance premium to investment grade bonds …
Persistent link: https://www.econbiz.de/10012949170