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Petraseka, Lukas; Kukacka, Jiri - 2024

We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure...

Persistent link: https://www.econbiz.de/10015076295

Macro determinants of US stock market risk premia in bull and bear markets

Bätje, Fabian; Menkhoff, Lukas - 2013

This research uses macro factors to explain four standard U.S. stock market risk premia, i.e. the market excess return (RM-RF), size (SMB), value (HML), and momentum (WML). We find in-sample predictive power of macro factors, in particular at a one-year horizon. Differentiating between bull and...

Persistent link: https://www.econbiz.de/10010239724

Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities

Fleming, Michael J.; Nguyen, Giang H. - 2013

This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...

Persistent link: https://www.econbiz.de/10009781862

Why ratings matter : evidence from Lehman's index rating rule change

Chen, Zhihua; Lookman, Aziz A.; Schürhoff, Norman; … - 2010

This paper documents a new channel for rating-based bond market segmentation which, in contrast to prior research, is based on non-regulatory asset management practices. A 2005 Lehman Brothers index redefinition provides a quasi-natural experiment in which a number of previously high-yield...

Persistent link: https://www.econbiz.de/10008797097

Forecasting asset returns using Nelson-Siegel factors estimated from the US yield curve

Guidolin, Massimo; Ionta, Serena - In: Econometrics : open access journal 13 (2025) 2, pp. 1-36

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

Persistent link: https://www.econbiz.de/10015437122

An Empirical Analysis of Market Segmentation on U.S. Equities Markets

Hatheway, Frank - 2014

We examine the impact of trading on markets partially exempt from National Market System requirements (‘dark venues') on equity market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information...

Persistent link: https://www.econbiz.de/10013063784

The skew risk premium in the equity index market

Kozhan, Roman; Neuberger, Anthony; Schneider, Paul - In: The review of financial studies 26 (2013) 9, pp. 2174-2203

Persistent link: https://www.econbiz.de/10010207278

Forecasting realized variance based on macroeconomic uncertainty

Vicedom, Sebastian - In: Essays in finance : commodity derivatives, volatility …, (pp. 51-114). 2016

Persistent link: https://www.econbiz.de/10011646902

Predicting returns in US treasuries : do tents matter?

Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13

Persistent link: https://www.econbiz.de/10011957124

The stable long-run CAPM and the cross-section of expected returns

Kurz-Kim, Jeong-Ryeol; Kurz-Kim, Jeong-Ryeol - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10001650360