23,504 Hits in 5.9 sec


Theodore Syriopoulos, Anna Merikas, George S. Vozikis
2007 Corporate Ownership and Control  
The stock market behavior of these companies is analyzed and attention is paid on modeling dynamic volatility and assessing implications for shareholder value.  ...  However, the volatility model employed provides a statistical explanation of CSR stock risk and return. The impact of volatility is shown to be persistent though varying across the CSR sample.  ...  Emphasis was placed on modeling dynamic volatility of CSR stock returns.  ... 
doi:10.22495/cocv5i1p8 fatcat:vr65tic2fjfjbm5xqh6xd6u4ua

Financial Markets and the Macro Economy

Menachem Brenner, Paolo Pasquariello, Marti G. Subrahmanyam
2006 Social Science Research Network  
Specifically, we focus on the impact of these announcements not only on the level, but also on the volatility and comovement of those assets' returns.  ...  We find that the process of price formation in the U.S. financial markets appears to be driven by fundamentals; yet, "excessive" volatility and comovement play an important role in return dynamics as well  ...  First, what is the impact of these crucial macroeconomic news on asset returns and asset return volatility in the proximity of their first release?  ... 
doi:10.2139/ssrn.676145 fatcat:qpfkxm7pk5cglgbho4iai54axy

Leverage, Default Risk, and the Cross-Section of Equity and Firm Returns

Frederick Hood
2013 Social Science Research Network  
I examine the two components of default risk and how they relate to stock returns, size, and book-to-market. High default risk firms do not necessarily have high levels of systematic asset risk.  ...  I show that the two components of default risk, asset volatility and leverage, are negatively related. I provide evidence that leverage differences across firms are not reflected in equity betas.  ...  Companies with stock prices below $5.00 are excluded from the sample. without the impact of asset volatility.  ... 
doi:10.2139/ssrn.2315766 fatcat:rbu5jtwv5va4hkirzm2jv5fvo4

Green Bonds for the Transition to a Low-Carbon Economy

Andreas Lichtenberger, Joao Paulo Braga, Willi Semmler
2022 Econometrics  
The econometric analysis of this study focuses on volatility and the risk–return performance (Sharpe ratio) of green and non-green bonds, and extends recent econometric studies that focused on yield differentials  ...  The asset pricing model demonstrates that, in the long-run, the positive externalities of green bonds benefit the economy through positive social returns.  ...  Additionally, we appreciate the feedback and helpful suggestions from participants at the IAC CAFRAD seminar series 2021, EUROFRAME 2021 conference, and the FMM 2021 conference on the Macroeconomics of  ... 
doi:10.3390/econometrics10010011 doaj:0d9943c524da47fc84122241e37569f4 fatcat:kfwyh72ymbdatb6nwtqaw3a42m

A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies

Usha Rekha Chinthapalli
2021 Journal of Risk and Financial Management  
This architecture consists of one hidden layer and one input layer with N neurons. Recent theoretical work on crypto-asset return behavior and risk management is supported by this research.  ...  The study conclusions are based on a comparison between the dynamic features of cryptocurrencies and FOREX Currency's traditional mass financial asset.  ...  Conflicts of Interest: The authors declare no conflict of interest.  ... 
doi:10.3390/jrfm14070308 fatcat:lhbxmha2w5d6hmh5omgfwzuvyi

Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach

Tiantian Liu, Shigeyuki Hamori
2021 Energies  
We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive  ...  The empirical results indicate that the average total connectedness is higher in the volatility system than in the return system. The investor sentiment has a weak impact on clean energy stock.  ...  Acknowledgments: We thank Rohit Kulkarni for allowing us to use the news dataset. We are grateful to three anonymous referees for their many helpful comments and suggestions.  ... 
doi:10.3390/en14123442 fatcat:ebslguq77fcrbk3vwzgsnwunui

Editor's Introduction to the Special Issue on Market Microstructure

Frank J. Fabozzi, Robert A. Schwartz
2022 Journal of Portfolio Management  
In the 12 articles in this special issue on market structure we deal with various topics of interest to asset managers and regulators.  ...  Despite the improvements in the equity markets, market impact costs and price discovery noise continue to accentuate short period returns variance.  ...  Schwartz in "The Return of the Call Auction" explain why the electronic call is an important innovation in market structure, and has unique benefits concerning liquidity provision, intra-day volatility  ... 
doi:10.3905/jpm.2022.1.391 fatcat:d7dgid5gzvdmvjmkta7xdxiqry

Recent developments in financial economics and econometrics: An overview

Chia-Lin Chang, David Allen, Michael McAleer
2013 The North American journal of economics and finance  
financial crisis, how news sentiment impacts asset volatility, with evidence from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its applications, high  ...  implied volatility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and recurrence plots for detecting  ...  Moreover, negative news has a greater impact on volatility than positive news.  ... 
doi:10.1016/j.najef.2013.02.001 fatcat:kktkuvbwpreg5poopdqg7lowsi

An Agent-Based Model of Dynamics in Corporate Bond Trading

Karen Braun-Munzinger, Zijun Liu, Arthur Turrell
2016 Social Science Research Network  
returns on the BAML US corporate bond index.  ...  Changes to α, the value trader strength, have very limited impact on market dynamics close to the baseline value.  ... 
doi:10.2139/ssrn.2766368 fatcat:evx4w72ycvf75baqplfwiwhtl4

Building a dynamic correlation network for fat-tailed financial asset returns

Takashi Isogai
2016 Applied Network Science  
In this paper, a novel approach to building a dynamic correlation network of highly volatile financial asset returns is presented.  ...  The method discussed in this paper is not limited to stock returns; it can also be applied to build a dynamic correlation network of other financial and non-financial time series with high volatility.  ...  Acknowledgments The views expressed here are solely those of the author and do not necessarily reflect those of the Bank of Japan.  ... 
doi:10.1007/s41109-016-0008-x pmid:30533499 pmcid:PMC6245155 fatcat:syswdvuxffhe5hbr77mjqoojn4

Abnormal Returns, Corporate Financial Policies and the Dynamics of Leverage: Empirical Evidence from Non-Financial Sector of Pakistan

Kashif Hamid, Zahid Hussain, Muhammad Mudasar Ghafoor
2020 Review of Economics and Development Studies  
The aim of this study is to evaluate impact of corporate financial policies and the dynamics of leverage on financial performance of non-financial sector in Pakistan.  ...  OLS, Fixed effect and Random effect models has been used to express the impact of these variables on return.  ...  Abnormal Returns Model: Effect of Leverage Dynamics and Corporate Financial Policies on Abnormal Return.  ... 
doi:10.47067/reads.v6i1.193 fatcat:d5k6wtmbcje7dcvwlezuviuega

From Equity Volatility Skew to Firm Leverage

Min Chen
2013 Social Science Research Network  
The asset-equity relation is modeled by a perpetual American option, and the asymmetry of the asset return distribution is addressed by introducing a Constant Elasticity of Variance (CEV) asset dynamic  ...  The leverage effect is widely considered to be the major contributor to volatility skew in the stock option market. This study concentrates on explicit modeling of corporate leverage.  ...  [9] made use of Merton's 1974 model, and theoretically derived the impact of leverage on volatility skew.  ... 
doi:10.2139/ssrn.2280191 fatcat:orfzkee3fzabxlnsioxqk3fhbi

COVID-19 spreading in financial networks: A semiparametric matrix regression model [article]

Billio Monica, Casarin Roberto, Costola Michele, Iacopini Matteo
2021 arXiv   pre-print
We measure the financial connectedness arising from the interactions between two layers defined by stock returns and volatilities.  ...  In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both intra- and inter-layer connectivity.  ...  For the intra-connectivity graphs, we label return linkages the sub-network Y 11,t (returns causes returns) and volatility linkages the sub-network Y 22,t (volatility causes volatility).  ... 
arXiv:2101.00422v1 fatcat:kr4bbhl7t5chpgqjmaud2keboi

A Network Approach to the Study of the Dynamics of Risk Spillover in China's Bond Market

Zhewen Liao, Hongli Zhang, Kun Guo, Ning Wu
2021 Entropy  
Based on daily interest rate data of representative bond categories, this study conducted a dynamic analysis based on generalized vector autoregressive volatility spillover variance decomposition, constructed  ...  a complex network, and adopted the minimum spanning tree method to clarify and analyze the risk propagation path between different bond types.  ...  among financial asset returns and volatilities by using directed networks to make the relationship more clear.  ... 
doi:10.3390/e23070920 doaj:d930ddbf3ee644969fe372e985608c54 fatcat:6qftjfiovnaitbbdfzooixlhfi

Cross Market Effects of Stocks Short-Selling Restrictions: Evidence from the September 2008 Natural Experiment

Cristina Danciulescu
2009 Social Science Research Network  
We use vector autoregression (VAR) approach to model stock and corporate bond returns, volatilities and transaction costs simultaneously, obtaining an econometric reduced form that incorporates causal  ...  The study intends to exploit the natural experiment in order to asses the impact of the stock market short sale restrictions (stock market liquidity shock) on corporate bond market variables during the  ...  Does a short sell ban applied in the stock market have any impact on corporate bond market prices, volatility and liquidity?  ... 
doi:10.2139/ssrn.1597741 fatcat:gnzrntpfdfa5tg2tho6caocp4y
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