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Soerlie Kvaerner, Jens; Sandoval, Jan - 2023

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

No arbitrage global parametrization for the eSSVI volatility surface

Mingone, Arianna - 2022

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...

Persistent link: https://www.econbiz.de/10013292792

Returns to Firm Globalization : Risk Premium or Mispricing?

DeLisle, Jared; Wang, Mengying; Yuksel, H. Zafer; … - 2021

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

Vanishing Contagion Spreads

Duarte, Diogo - 2020

volatility and jump size of debt and equity generated by other firms' shocks vanish so that credit spreads depend asymptotically …

Persistent link: https://www.econbiz.de/10012853271

Covering the World : Global Evidence on Covered Calls

Israelov, Roni - 2017

components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to … most of the strategy's risk and return, while the short volatility exposure has the highest Sharpe ratio of the strategy …-managed covered calls may be viewed as a defensive alternative to global equity, providing similar returns with lower volatility and …

Persistent link: https://www.econbiz.de/10012953741

Dynamics of Global Credit Markets

Wenzler, Josef-Stefan - 2020

Dynamics of credit markets impact almost all participants in financial markets. Yet, despite rapidly growing international credit markets, we know little about the dynamics of global credit markets, as most studies focus on the US. Here, I propose a new distance-to-default model, empirically...

Persistent link: https://www.econbiz.de/10012848955

U.S. Monetary Policy Normalization and Global Interest Rates

Caceres, Carlos - 2016

As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this...

Persistent link: https://www.econbiz.de/10012977769

Global Factor Premiums

Baltussen, Guido - 2020

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

Henriksen, Espen - 2013

Cyclical fluctuations in nominal variables|aggregate price levels and nominal interest rates are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...

Persistent link: https://www.econbiz.de/10013075189

The Internationalization of Domestic Banks and the Credit Channel : An Empirical Assessment

Morales, Paola - 2019

This paper analyses the extent to which the strength of the credit channel is affected by the expansion of domestic banks abroad, widely considered the most important structural change of Colombia banking system in recent years. Using loan-level quarterly data for the period between 2007 and...

Persistent link: https://www.econbiz.de/10012864777