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Option-Implied Asymmetry and Market Returns
O'Sullivan, Conall; Wang, Yan - 2022
estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk … one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market …
Persistent link: https://www.econbiz.de/10014236004
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …
Persistent link: https://www.econbiz.de/10014043638
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The Profitability of Pairs Trading Strategies : Distance, Cointegration, and Copula Methods
Rad, Hossein - 2016
, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the … cointegration and copula methods, we design a computationally efficient 2-step pairs trading strategy. In terms of economic outcomes …, the distance, cointegration, and copula methods show a mean monthly excess return of 91, 85, and 43 bps (38, 33, and 5 bps …
Persistent link: https://www.econbiz.de/10013004622
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Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
Simmons-Süer, Banu - 2013
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10013087113
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Are public and private asset returns and risks the same? : evidence from real estate data
Hoesli, Martin; Oikarinen, Elias - 2013
This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...
Persistent link: https://www.econbiz.de/10010256953
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Forecasting high-yield bond spreads using the loan market as leading indicator
Simmons-Süer, Banu - 2013
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10009707628
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an...
Persistent link: https://www.econbiz.de/10010503717
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Investigating the asymmetric impact of oil prices on GCC stock markets
Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2020
This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...
Persistent link: https://www.econbiz.de/10012314956