"Leverage Effect" in the returns of BIST-100 index. Therefore, one can say that political uncertainty is still a problem for the …

sensitivities to standard risk factors over the sample period from 2007 to 2014. By contrast, comparable bonds (same currency … denomination and credit rating category) issued by foreign entities did not offer significant risk-adjusted returns and exhibited … markedly different sensitivities to Swiss and global risk factors. However, the positive risk-adjusted returns on Swiss bonds …

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets … by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic … 5-10 percent, reflecting impact uncertainty. Using hurricane forecasts, we show that landfall uncertainty and potential …

with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …

This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by …-level uncertainty is characterized by a pecking order: the announcement of a domestic takeover leads to a reduction in the uncertainty … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …