Showing 1 - 10 of 26,551
We examine return predictability with machine learning in 46 international stock markets. We calculate 148 stock characteristics and use them to feed a repertoire of different models. The algorithms extract predictability mainly from simple, yet popular, factor types—such as momentum,...
Persistent link: https://www.econbiz.de/10013405067
This paper investigates mispricing (specifically limits to arbitrage) as an alternative to the risk-based explanation of the globalization premium documented by Barrot et al. (2019). We document that the globalization premium is positively correlated with measures of limits to arbitrage. We...
Persistent link: https://www.econbiz.de/10013322278
is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing …
Persistent link: https://www.econbiz.de/10011487829
We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as … the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility … suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and …
Persistent link: https://www.econbiz.de/10012989008
significant volatility clustering. Furthermore, this study puts forward sudden slumps and spikes in the conditional covariances …
Persistent link: https://www.econbiz.de/10014258229
Several large volatility matrix inference procedures have been developed, based on the latent factor model. They often … assumed that there are a few of common factors, which can account for volatility dynamics. However, several studies have …-specific factors explain their own country's volatility dynamics. To account for this, we propose the Double Principal Orthogonal …
Persistent link: https://www.econbiz.de/10014077921
impact on the Balkans markets in nine out of eleven cases, even after controlling for a world returns factor. In contrast … six other markets, including the world market. In contrast, Bosnia (Banja Luka), Serbia, Slovenia and Croatia appear to be …
Persistent link: https://www.econbiz.de/10013082477
We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...
Persistent link: https://www.econbiz.de/10012850289
We construct a panel of global equity yields by modifying the model of Giglio et al. (2021) so it works internationally. We revisit stylized facts about equity yields, primarily based on US data, and provide several new results. On old facts, we study the dynamics of global equity yields, their...
Persistent link: https://www.econbiz.de/10014254722
This study compares two channels for global impact on local volatility: the direct channel in which global variables … affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect … local volatility by changing its persistence over time. The economic importance of each channel is measured by its …
Persistent link: https://www.econbiz.de/10012835899