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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - 2017

We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

Persistent link: https://www.econbiz.de/10011618038

Household stockholding behavior during the great financial crisis

Zhou, Jie - 2015

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007 - 09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...

Persistent link: https://www.econbiz.de/10010514033

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10010496138

High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

Persistent link: https://www.econbiz.de/10010441177

The effect of oil price: shocks on asset markets : evidence from oil inventory news

Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a...

Persistent link: https://www.econbiz.de/10012181225

A counterfactual valuation of the stock index as a predictor of crashes

Roberts, Tom - 2017

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...

Persistent link: https://www.econbiz.de/10011777936

Measuring limits of Arbitrage in fixed-income markets

Fontaine, Jean-Sébastien; Nolin, Guillaume - 2017

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo-trading strategy based on relative value generates higher...

Persistent link: https://www.econbiz.de/10011777981

Central bank communication or the media's interpretation : what moves markets?

Hendry, Scott - 2012

The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the …-term interest rate market. Two different text mining methods are used to extract interpretable themes from the document set. Bank … often offset the effects of the Bank's communication statements and were much more likely to increase market volatility …

Persistent link: https://www.econbiz.de/10009504648

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10009309462

Determinants of financial stress and recovery during the great recession

Aizenman, Joshua; Pasricha, Gurnain Kaur - 2011

In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...

Persistent link: https://www.econbiz.de/10009355200