Results 61 to 70 of about 3,614,788 (171)
Geopolitical Risk and Domestic Bank Deposits
Financial Management, EarlyView.ABSTRACT We investigate the relationship between global geopolitical risk and bank deposit flows across a wide panel of European countries. Motivated by the pivotal role of deposit stability for financial intermediation and systemic resilience, we explore whether geopolitical shocks alter depositors’ portfolio choices.
Dimitris Anastasiou +3 more
wiley +1 more source
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures [PDF]
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure ...
Michael McAleer +3 more
core +2 more sources
Risk Perceptions and Corporate Financing Behavior
Financial Management, EarlyView.ABSTRACT Using a recently developed measure of financial market risk perceptions, we show that risk perceptions affect firm‐level corporate financing behavior. Firms tend to adjust their capital structures to cater to investors' appetite for risk. When perceived risks are low, firms tend to choose more leveraged capital structures to take advantage of ...
Youngmin Choi +2 more
wiley +1 more source
Explanations for Cross‐Sectional Return Anomalies: Evidence on the IVOL Puzzle
Financial Management, EarlyView.ABSTRACT Considering the time‐series dimension alongside the cross‐sectional dimension helps to almost entirely account for the idiosyncratic volatility (IVOL) puzzle. Based on a purely cross‐sectional approach, the previous literature shows that numerous candidate theories collectively fail to explain the puzzling finding that high‐IVOL stocks ...
Fabian Hollstein +2 more
wiley +1 more source
Ekoist Journal of Econometrics and StatisticsUncertainty and volatility in financial markets have become significant determinants of investors' risk perceptions, particularly considering rapid global economic changes. Macroeconomic indicators and financial variables are es sential for understanding
İlknur Yorulmaz +1 more
doaj +1 more source
When Nature Talks, Markets Move: Forecasting the Equity Premium With Eco‐Climate Incidents
Financial Review, EarlyView.ABSTRACT This paper examines the role of eco‐climate information, particularly biodiversity risks, in forecasting the U.S. equity premium. Using RepRisk controversy data, we construct indicators for biodiversity, greenhouse gas emissions, and local pollution. Biodiversity indicators emerge as strong predictors of the equity premium, outperforming other
Zhiyong Li, Weiping Qin
wiley +1 more source
The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. [PDF]
Q Rev Econ Finance, 2023 Apergis N, Mustafa G, Malik S.
europepmc +1 more source
Market Uncertainty, Investor Sentiment, and the Beta Premium
Financial Review, EarlyView.ABSTRACT This paper provides new insights into how time‐variation in the beta premium is related to popular measures of market uncertainty and sentiment; specifically, the CBOE's VIX and the sentiment index of Baker‐Wurgler (2006). We show that the beta premium: (1) increases nonlinearly with uncertainty, rising significantly only when VIX exceeds a ...
Naresh Bansal, Chris Stivers
wiley +1 more source
, 2018 Electronic Thesis or DissertationThis dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange’s (CBOE) index representing S&P 500 Index implied volatility.
Arnatt, Richard Anthony
core +1 more source
When attentive insider trading matters: Evidence from government investment
Journal of Financial Research, EarlyView.Abstract We examine whether insiders can exploit public information to increase their trading profitability. By exploiting, as a quasi‐natural experiment, the Bipartisan Infrastructure Law (BIL), announced in the U.S. in March 2021 and implemented in November 2021, we provide evidence that insiders earn higher profits when government investment plans ...
Dimitris Petmezas +3 more
wiley +1 more source