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The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the …, whilst the CDS ones are positive and significant only in a few periods, and there are very mixed results for those of stock … activity in all countries in the early stages of the pandemic (especially in Italy), and a positive one on CDS at the same time …

Persistent link: https://www.econbiz.de/10012625628

Time-varying effects of the COVID-19 pandemic on stock markets and economic activity : evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - In: Empirica : journal of european economics 51 (2024) 2, pp. 529-558

Persistent link: https://www.econbiz.de/10014557642

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...

Persistent link: https://www.econbiz.de/10002101431

Volatility Characteristics of Indian Midcap Index Using GARCH and EGARCH

Sharma, Meera - 2015

This paper studies volatility characteristics of the Indian CNX midcap index and contrasts with the large cap Nifty. An EGARCH model is fitted to daily returns for 2010 and is subjected to an out-of-sample back test. The study finds differences in volatility behavior of the indices. The Midcap...

Persistent link: https://www.econbiz.de/10014040484

Impact of Disclosure and Corporate Governance on the Association Between Fair Value Gains and Losses and Stock Returns in the Commercial Banking Industry

Bhat, Gauri - 2013

In this paper, I examine the relations between risk management disclosures, governance, and the market pricing of the fair value gains and losses (FVGL) for US commercial bank holding companies (banks). I find that banks with strong corporate governance disclose more about their risk management...

Persistent link: https://www.econbiz.de/10014048368

Stocks, Bonds, Bills, and Inflation During the Twentieth Century in Denmark

Parum, Claus - 2002

For each of the three major asset classes: stocks, bonds and treasury bills, this is the first article to present estimates of annual nominal and real returns for the Danish capital market during the whole twentieth century. The average annual Danish stock return in excess of bond (bill) return...

Persistent link: https://www.econbiz.de/10014113516

Capital Intensity and Investment Shocks : Implications for Stock Returns

Knesl, Jiri - 2019

I show that a firm's capital intensity affects the asset pricing implications of investment-specific technology shocks measured by a popular measure, the IMC porfolio. Capital-intensive stocks sorted by the exposure to this measure generate a highly significant average return premium of up to 5%...

Persistent link: https://www.econbiz.de/10014119859

Government Debt, Dividend Growth, and Stock Returns

Sun, Yulong - 2020

This paper documents that the increase in public debt can lead to higher dividend payout to shareholders, which suggests public debt can be a strong cash flow predictor which helps better predict future stock returns. Specifically, the higher public debt-to-GDP ratio can predict both higher...

Persistent link: https://www.econbiz.de/10014103307

President’s Confidence and the Stock Market Performance

Bonaparte, Yosef - 2021

We show that the stock market pricing the presidential margin of victory in a nonlinear concave fashion, with a higher price for medium than slight or crushing victories. We conjecture that the margin of victory reflects president confidence and the ability to execute policies. A small margin...

Persistent link: https://www.econbiz.de/10013251084

Tracking Biased Weights : Asset Pricing Implications of Value-Weighted Indexing

Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2021

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM,...

Persistent link: https://www.econbiz.de/10013250648