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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...
Persistent link: https://www.econbiz.de/10014307488
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Determinants of idiosyncratic risk : evidence from BRICS countries
Kausar, Saba; Ali Shah, Syed Zulfiqar; Rashid, Abdul - In: Asia-Pacific journal of business administration 16 (2024) 3, pp. 553-574
Persistent link: https://www.econbiz.de/10015072349
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On the exchange rate and economic policy uncertainty nexus : a panel VAR approach for emerging markets
Abid, Abir; Rault, Christophe - 2020
We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …
Persistent link: https://www.econbiz.de/10012195928
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On the exchange rate and economic policy uncertainty nexus: a panel VAR approach for emerging markets
Abid, Abir; Rault, Christophe - 2020
We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …
Persistent link: https://www.econbiz.de/10012239005
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The Rand as a Carry Trade Target : Risk, Returns and Policy Implications
Hassan, Shakill - 2011
-targeting trade; and a larger return-to-volatility ratio than the Australian and New Zealand dollars – the most common carry targets … volatility however, is likely to increase its allure as a carry target …
Persistent link: https://www.econbiz.de/10013117684
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Economic Policy Uncertainty and Dollar-Pound Exchange Rate Return Volatility
Bartsch, Zachary - 2018
The extent to which economic policy uncertainty (EPU) amplifies exchange rate volatility has been an important research … imparts an effect on exchange rate volatility either contemporaneously, or with a one month lag. The use of monthly frequency … contributes to exchange rate volatility much more quickly than monthly data can detect. I also find that non-policy market …
Persistent link: https://www.econbiz.de/10012932171
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The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
Shehadeh, Ali - 2016
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …
Persistent link: https://www.econbiz.de/10012989965
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Uncertainty spillovers from advanced, emerging, and low-income economies and firm-level stock returns in Vietnam : does state ownership matter?
Thanh Huu Phu Nguyen; Ho Hoang Gia Bao; Le Hoang Phong; … - In: Journal of open innovation : technology, market, and … 11 (2025) 1, pp. 1-15
This study analyzes the spillover effects of economic and political uncertainty from advanced, emerging and low-income economies on stock returns in Vietnam based on a firm-level approach. After controlling for firm-level and country-level factors and addressing potential endogeneity issues, we...
Persistent link: https://www.econbiz.de/10015358716
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10011444904
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10013428350