Search results for "stock market"
showing 10 items of 159 documents
Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities
2020
This study complements the current literature, providing a thorough investigation of the lead&ndash
The Market Price of Credit Risk and Economic States
2015
This paper proposes a market-wide credit risk factor for the US stock market and investigates its properties that are dependent on economic conditions. The market price of credit risk is found to be statistically significantly negative, supporting earlier studies. However, a sample-split analysis reveals that this negative pay-off is non-existent in a later subsample, indicating that the credit risk puzzle is based on temporary mispricing related to the earlier subsample. Further investigation shows that mispricing in the earlier period was mainly driven by positive pay-offs of low credit risk firms, while high credit risk firms did not generate significant returns in any of the sub-periods.
The main reforms of the Spanish financial system
2012
This chapter aims to explore how the main legislation affecting the Spanish financial system evolved over the course of the 20th century. In terms of legislative developments, four main periods can be distinguished: the period from the early legislation in 1856 up until 1920; from 1920 through to the Civil War in 1936; Francoism from 1939 to 1975; and, finally, the phase of deregulation between 1975 and 2000. After a short introduction, we will examine below the first three of these four phases in chronological order.
U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach
2020
This paper explores the long‐run relationship and the associated short‐run dynamics between the U.S. stock market and three major macroeconomic fundamentals, namely the U.S. industrial production index, the U.S. 10‐year Treasury bond yield and the West Texas Intermediate oil price, for the time period covering 1985–2015. The quantile autoregressive distributed lag (QARDL) model presented by Cho et al. (2015) Journal of Econometrics, 188, 281–300, which combines the autoregressive distributed lag model of Pesaran and Shin (1998), Cambridge University Press, and Pesaran et al. (2001) Journal of Applied Econometrics, 16, 289–326, and the quantile regression methodology of Koenker and Bassett (…
Options and Accounting Information: Empirical Evidence in Stock and Derivative Markets
2014
This study investigates the informational role of options trading in the price discovery process around the dissemination of accounting information, specifically annual and quarterly earnings announcements. Firstly, we examine the effect of options markets by analyzing stock market reaction to earnings news conditional on the availability of options markets. Secondly, we examine options-trading activity around the release of earnings news. Results show that when options trading is available, the options market enhances the price efficiency of equity markets. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed tra…
The cost of equity and exchange listing evidence from the French stock market
1997
We reconsider the behaviour of prices around the period close to the listing on the Marché à Règlement Mensuel (RM). First, an event study based on a sample of 60 firms has been set up to test the existence of the exchange listing effect on the French market. Then we discuss and test the financial reasons which can justify abnormal returns around the announcement day and the day of the listing. We explore four reasons to explain the impact of the stock exchange listings: one is the informative content of the operation which induces an upward revision of the future earnings. Three other hypotheses rely on a decrease in the discount rate originated by less risky cash flows, an increase in tra…
Gestión eficiente de carteras: Modelo de Markowitz y el Ibex-35
2019
El objetivo de este trabajo es construir con el máximo detalle posible una frontera eficiente de acuerdo al modelo de Harry Markowitz, conocer con profundidad el modelo y comparar sus resultados con diversos índices bursátiles para analizar el efecto que tiene una diversificación eficiente sobre el rendimiento y el riesgo de una cartera. Para ello nos basaremos en datos históricos del IBEX-35 a los que aplicaremos el modelo con ayuda de distintos programas informáticos de optimización. Veremos cómo realmente sí que es posible crear carteras con menor volatilidad que los títulos que forman el mercado, como es posible que títulos con rendimientos esperados negativos formen parte de carteras e…
The curvilinear effect of manufacturing outsourcing and captive-offshoring on firms' innovation: The role of temporal endurance
2019
Abstract This paper aims to contribute to the open debate in the literature on the effect of global sourcing strategies on firm performance by studying the consequences of manufacturing outsourcing and captive-offshoring for the innovation capability of the firm. We grounded our hypotheses based on the outsourcing and offshoring literature and by narrowing our focus to the effects of persisting in their adoption over time. We tested our hypotheses using data from a sample of 368 manufacturing companies listed on NASDAQ stock market. The paper provides theoretical explanations and empirical findings for the inverted U-shaped influence of keeping doing captive-offshoring on new product develo…
Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold
2018
Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate U.S. equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. For energy sector equities, the dynamics of hedge ratios does not support using either crude oil or gold futures for cross-hedging during stock market crises.
Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach
2017
Abstract This paper investigates the presence of asymmetries in the short- and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VI…