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Price effects after one-day abnormal returns in developed and emerging markets : ESG versus traditional indices

Plastun, Alex; Bouri, Elie; Gupta, Rangan; Ji, Qiang - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013413403

ESG and the Market Return

Chang, Ran; Chu, Liya; Tu, Jun; Zhang, Bohui; Zhou, Guofu - 2022

We examine the relation between firms’ environmental, social, and governance (ESG) performance and aggregate stock … market returns. Based on 38 ESG scores, we construct a market-level ESG index and find its strong positive predictive power … market-wide impact of the ESG provides support for the economy-wide importance of the ESG and the associated policies …

Persistent link: https://www.econbiz.de/10013404111

Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone

Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155

In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...

Persistent link: https://www.econbiz.de/10011870707

Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries

Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17

The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of equity returns. The purpose of this paper is to examine the size, value effects and the explanatory power of three well-known pricing models - CAPM, three-and five-factor across...

Persistent link: https://www.econbiz.de/10014440925

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

Lemand, Ryan - 2022

The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the international stock markets, have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises. Portfolio...

Persistent link: https://www.econbiz.de/10014236561

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

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...

Persistent link: https://www.econbiz.de/10014043638

Volatility in Equilibrium : Asymmetries and Dynamic Dependencies

Bollerslev, Tim; Tauchen, George Eugene; Sizova, Natalia - 2010

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

Persistent link: https://www.econbiz.de/10014190565

Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets

Mollah, Sabur - 2015

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second-order moments are provided. The CLS, FGLS and QML estimators...

Persistent link: https://www.econbiz.de/10013017294

Volatility in Equilibrium : Asymmetries and Dynamic Dependencies

Bollerslev, Tim - 2010

Persistent link: https://www.econbiz.de/10013144799

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the U.S. and that the degree of memory can be related to firm characteristics such as market capitalization, book-to-market ratio, prior performance and price...

Persistent link: https://www.econbiz.de/10011750708