Results 11 to 20 of about 11,876 (166)
Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market [PDF]
, 2016 We study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan.
Mandal, Anandadeep, Poshakwale, Sunil S.
core +2 more sources
The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non-EU Countries [PDF]
, 2019 We thank conference participants at the 2016 Financial Management Association and our discussant Fernando Moreira, and two anonymous referees for immensely helpful comments. We also thank Andrew Patton and James P.
Nelsen R.B. +4 more
core +2 more sources
Hedge your costs: exchange rate risk and endogenous currency invoicing [PDF]
, 2006 The choice of invoicing currency for trade is crucial for the international transmission of macroeconomic policy. This paper develops a three-country model that endogenizes the choice of invoicing currency and that allows for a share of firms' costs to ...
Novy, Dennis
core +3 more sources
Endogenous capital depreciation and technology shocks [PDF]
, 2016 I examine the dynamic impact of capital maintenance on key aggregates through the depreciation rate. I find that two factors are crucial for the short-run effects of Total Factor Productivity and Investment-Specific shocks: (i) the marginal efficiency of
Deli, Yota D.
core +1 more source
International stock return comovements [PDF]
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the ...
Bekaert, Geert +2 more
core +3 more sources
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
When in Doubt, Tax More Progressively? Uncertainty and Progressive Income Taxation
International Economic Review, EarlyView.ABSTRACT We study the optimal income tax problem under parameter uncertainty about household preferences and wage dynamics. We derive conditions characterizing how such uncertainty affects optimal tax policy. To quantify the effect, we estimate a life‐cycle model using US data and a Bayesian approach.
Minsu Chang, Chunzan Wu
wiley +1 more source
Short selling ETFs and market performance
Journal of Financial Research, EarlyView.Abstract We examine short selling activity in leveraged Exchange‐Traded Funds (ETFs) and its impact on underlying index performance. Using a novel measure of ETF short exposure, which includes long positions in inverse leveraged ETFs, we document that high short exposure is associated with positive performance in the subsequent period.
Doina C. Chichernea +2 more
wiley +1 more source
Comovement between Commodities in Ghana, the Role of Exchange Rates [PDF]
, 2022 Zynobia Barson +2 more
openalex +1 more source
Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine
Journal of Money, Credit and Banking, EarlyView.Abstract We identify a “proximity penalty” in the stock market response to the Russian invasion of Ukraine: the closer countries are to Ukraine, the lower their equity returns in a four‐week window around the start of the war. This result holds even at the firm level within Ukraine's neighbors. Trade linkages explain two‐thirds of the proximity penalty.
JONATHAN FEDERLE +3 more
wiley +1 more source