Equity

Portfolio choices and asset prices: The comparative statics of ambiguity aversion
This paper investigates the comparative statics of ”more ambiguity aversion” as defined by Klibanoff, Marinacci and Mukerji…
Summary
Do Hedge Funds Manipulate Stock Prices?
We find evidence that hedge funds significantly manipulate stock prices on critical reporting dates. We document that…
Summary
The Long and the Short of the Risk-Return Trade-Off
The relationship between conditional volatility and expected stock market returns, the socalled risk-return trade-off, has been studied…
Summary
This report focuses on the risks to insurance companies—the second-largest type of institutional investor after pension funds…
Summary
This study investigates whether the capital market values the efficiency of firms. After tracing stock returns and…
Summary
Reaching-for-yield—investors’ propensity to buy riskier assets in order to achieve higher yields—is believed to be an important…
Summary
In this paper we analyze the risk underlying investment guarantees using 78 different econometric models: GARCH, regime-switching,…
Summary
The expected return to equity - typically measured as a historical average - is a key variable…
Summary
This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets…
Summary
This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption…
Summary
This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices…
Summary
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily…
Summary
Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that…
Summary
The paper first reviews the main drivers of the growth and real convergence process in central, eastern…
Summary
This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a…
Summary
equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is…
Summary
This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global…
Summary
This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and…
Summary
This paper investigates the link between fiscal policy shocks and movements in asset markets using a Fully…
Summary
We study exchange rate and equity price dynamics, in general equilibrium, in the presence of news shocks…
Summary
A recent debate has sparked controversy on the relevance of accounting for market inefficiencies in the context…
Summary
This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets…
Summary
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time…
Summary
This paper analyses the determinants of the natural rate of interest in a non-linear model where agents…
Summary
The paper analyzes whether, and to what extent, emerging market economies (EMEs) have systemic importance for global…
Summary
We find that the difference between implied and realized variances, or the variance risk premium, is able…
Summary
Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor…
Summary
This paper focuses on the role of real exchange rate volatility as a driver of portfolio home…
Summary
We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition…
Summary
calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing…
Summary
We use data obtained from a series of Michigan Surveys of Consumer Attitudes to study stock market…
Summary
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks…
Summary
This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives both…
Summary
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model…
Summary
With asset values falling sharply in recent years, many companies around the world are under pressure to…
Summary
It is well accepted that households increase consumption of goods and services in response to an unexpected…
Summary
This paper investigates the presence of asymmetric conditional second moments in international equity and bond returns. The…
Using daily data for the January 1997 to June 2002 period, we analyze the impact of a…
Summary
This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates…
Summary
This paper examines pre-announcement and news effects on the stock market in the context of public disclosure…
Summary
This paper studies the correlation between output growth and lagged stock returns in a panel of emerging…
Summary
This paper compares the predictions for the market value of firms from the Gordon growth model with…
Summary
This paper examines the performance of emerging market bank stocks around the time of rating changes by…
Summary
The stock of firms that issue equity has, on average, performed poorly in subsequent years, while the…
Summary

Top of page