Empirical Finance Research Papers - Academia.edu (original) (raw)

2025, Journal of Empirical Finance

The views expressed in this Working Paper arc those of the author(s) and do not necessarily represent those of the IMP or IMP policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high. When we estimate the model on part of the data and then use the parameter estimates to generate predictions for the remainder of the sample, we find that substantial profits may be made. Furthermore, the model correctly forecasts major crashes even on an out-of-sample basis.

2025

Current software development paradigms focus on the products of the development process. Much of the decision making process which produces these

2025, Journal of International Money and Finance

We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one-to four-week) foreign exchange rate returns. We find, based on a broad sample of 63 emerging and developed market currencies, evidence of momentum rather than reversal. Momentum strategy returns are as large as 8% p.a. The short-term momentum effect appears to be robust. Returns are larger in the earlier sub-period but still exist in the more recent period. The strategies are also profitable when the USD is appreciating or depreciating but they perform better in business cycle expansions.

2025, Izvestiya Journal of the University of Economics - Varna

This study carried out an empirical test of stochastic dominance application on portfolio selection in the Nigerian stock market. December daily stock price of ten (10) listed insurance firms in the period 2014 to 2020 were selected and tested for stochastic dominance occurrence. The findings indicate that the selection of firm stock followed the Markowitz mean-variance and risk preference behavior of investors in the stock market. It also shows that two (2) firm stocks were first order stochastically dominant (FSD), four (4) stocks of firms were second order stochastically dominant while nine (9) stocks were third order stochastically dominant (TSD) in the period after the stock market meltdown in Nigeria. The study recommends that future researchers should empirically investigate portfolio dominance on a sector by sector basis. This will guide potential investors at selecting securities on the basis of mean-variance and utility function.

2025, Journal of Financial Research

Experimental studies in behavioral finance historically have confirmed that subjects are highly influenced by reference points when making economic decisions. A recent study by analyzed the dynamics of reference price formation using experimental methods with subjects forming reference prices for stocks based on observed price sequences. Their study helps to clarify behavioral effects of past prices on reference price formation but it does not consider contextual information. We extend the BWW study by adding market price information as background to the experiment, and we investigate how this additional information affects reference point formation and updating. Our overarching hypothesis is that if the market background information has no impact then it should not alter the results of BWW; otherwise, the additional market information should be an explanatory variable for the reference point. Our results confirm the hypothesis that market information matters. We also investigate the impact of pessimism and optimism on reference prices by the combining the BWW framework with a model of disappointment aversion and anticipatory feelings developed by Gollier and Muerman (2010). Our study fills a void in the literature by providing new evidence on the impact of contextual market information on reference point formation in an investment setting.

2025, SSRN Electronic Journal

We use a new database of long-run stock, bond, bill, inflation, and currency returns to estimate the equity risk premium for 17 countries and a world index over a 106-year interval. Taking U.S. Treasury bills (government bonds) as the risk-free asset, the annualised equity premium for the world index was 4.7% (4.0%). We report the historical equity premium for each market in local currency and US dollars, and decompose the premium into dividend growth, multiple expansion, the dividend yield, and changes in the real exchange rate. We infer that investors expect a premium on the world index of around 3-3½% on a geometric mean basis, or approximately 4½-5% on an arithmetic basis.

2025, Journal of Empirical Finance

In this paper we investigate short-run co-movements before and after the Lehman Brothers' collapse among the volatility series of US and a number of European countries. The series under investigation (implied and realized volatility) exhibit long-memory and, in order to avoid missspecification errors related to the parameterization of a long memory multivariate model, we rely on wavelet analysis. More specifically, we retrieve the time series of wavelet coefficients for each volatility series for high frequency scales, using the Maximal Overlapping Discrete Wavelet transform and we apply Maximum Likelihood for a factor decomposition of the short-run covariance matrix. The empirical evidence shows an increased interdependence in the post-break period and points at an increasing (decreasing) role of the common shock underlying the dynamics of the implied (realized) volatility series, once we move from the 2-4 days investment time horizon to the 8-16 days. Moreover, there is evidence of contagion from the US to Europe immediately after the Lehman Brothers' collapse, only for realized volatilities over an investment time horizon between 8 and 16 days.

2025, Journal of Empirical Finance

We examine the impact of age similarity between independent directors and the CEO on earnings management. Using changes in independent director composition due to sameaged director deaths and retirements for identification, we find that firms with the presence of independent directors who have the same age with the CEO are more likely to manage earnings. We further find that age similarity between these two parties increases earnings management through lowering the effectiveness of board monitoring. Additionally, this positive impact decreases as the age gap widens, but intensifies if independent directors share other characteristics with the CEO, if independent directors sit on audit or nomination committees, if firms with lower information asymmetry and if CEOs are older. Our results are robust to alternative proxies of earnings management.

2025

This study aims to analyze the influence of foreign exchange reserves, export values, and import values based on SITC classifications on the Indonesia Composite Stock Price Index (IHSG) from 2011 to 2020. The background of this study lies in the importance of external sector indicators in shaping capital market dynamics, particularly in emerging economies. Using a quantitative approach, this research employs multiple linear regression with time series secondary data obtained from the Central Statistics Agency (BPS). The findings indicate that foreign exchange reserves have a positive and significant effect on IHSG, showing that stronger reserves enhance investor confidence. Export values, however, have a negative and significant impact, suggesting that increased exports do not always correlate with improved stock performance, potentially due to the low value-added nature of exported goods. Conversely, import values have a positive and significant effect, indicating that importsparticularly of capital goods and raw materials-support industrial activity and market confidence. Simultaneously, all independent variables significantly influence IHSG, with an R-squared of 91.42%. The model passes all classical assumption tests, confirming its statistical validity. These results highlight the importance of external sector performance in influencing stock market movements and can serve as a reference for evidence-based economic policy formulation.

2025, Journal of Empirical Finance

In this paper we examine the time-varying integration between eight European post-transition government bond markets and the Eurozone bond market. The objective is twofold: first is to measure the level of integration in these economies, and the second is to better understand some of the fundamental drivers of integration. Our results suggest that integration varies widely across the region. One of the major drivers of integration is economic development, as more advanced countries generally had higher levels of integration. Moreover, joining the European Union either exerted a positive boost or was neutral with regards to sovereign bond integration. Finally, integration changes over time; in particular, integration has decreased with the financial crisis, although the decrease levelled off relatively swiftly soon after.

2025, Journal of Empirical Finance

How strong has been the effect of the Global Financial Crisis (GFC) on systemic risk in sovereign bond markets? Was the increase in credit spreads relative to triple-A benchmarks which followed the GFC the result of higher sovereign credit risk or the result of a re-pricing that reflected changes in broader market conditions and risk aversion? In this paper we examine these issues by specifying a sovereign credit yield curve which relates sovereign yield spreads to credit ratings and global variables. The model allows for time-variation in both the price of credit risk and the average spread across all rating categories, which proxies the effect of global risk factors on yield spreads. We use daily data of ten-year bond yields and ratings from a large database of 64 countries, covering both emerging markets and developed economies, for the period from 1/1/2000 to 1/1/2015. Our estimates suggest that sovereign risk premia increased significantly after the GFC with most of the increase due to a re-pricing of broader market risks rather than an increase in the quantity or price of sovereign risk per se. This increase in global risk could be the result of a flight-to-quality from lower-rated sovereign bonds to AAA benchmark bonds. Interestingly, we find that global risk in the sovereign bond market is driven by global variables that relate to investor confidence, volatility risk, central bank liquidity and the slope of the yield curve in the US.

2025

Economic instability in emerging economies presents substantial challenges for firms, particularly in accessing debt funding, due to heightened perceived risk. This often results in a less favorable debt-toequity ratio and complicates the overall composition of capital structure. Macroeconomic conditions play a pivotal role in influencing investor sentiment and risk perceptions, which in turn complicate capital structure decisions. This study aims to investigate the impact of various macroeconomic variables on the capital structure decisions of firms within the Indian automobile and automobile ancillary sectors over a comprehensive 17-year period from 2004 to 2020. They are utilizing secondary data collected from reputable sources like ProwessIQ, the Reserve Bank of India, and financial reports. The study employs various statistical tools, including descriptive statistics, correlation analysis, and dynamic panel data regression models, to analyze the data. The findings indicate that macroeconomic variables significantly shape the optimal capital structure decisions in the Indian automotive sector. Key variables such as the bank rate, GDP growth rate, inflation rate, and public debt substantially impact leverage ratios. For instance, an increase in the bank rate or public debt levels correlates with higher leverage ratios, suggesting that firms adjust their capital structures in response to changes in these macroeconomic indicators. This study provides valuable insights into the complex interplay between macroeconomic conditions and capital structure financing decisions. By highlighting the significant influence of these broader economic factors, the research underscores the necessity for firms, especially in emerging economies like India, to consider these determinants when making financial decisions. The findings thus contribute to a deeper understanding of capital structure dynamics in the face of macroeconomic challenges within the Indian automotive sector.

2025, International Journal of Innovation and Applied Studies

In this paper we decompose the realized volatility of the GARCH-RV model into continuous sample path variation and discontinuous jump variation to provide a practical and robust framework for non- parametrically measuring the jump component in asset return volatility. By using 5-minute high-frequency data of MASI Index in Morocco for the period (January 15, 2010 - January 29, 2016), we estimate parameters of the constructed GARCH and EGARCH-type models (namely, GARCH, GARCH-RV, GARCH-CJ, EGARCH, EGARCH-RV, and EGARCH-CJ) and evaluate their predictive power to forecast future volatility. The results show that the realized volatility and the continuous sample path variation have certain predictive power for future volatility while the discontinuous jump variation contains relatively less information for forecasting volatility. More interestingly, the findings show that the GARCH-CJ-type models have stronger predictive power for future volatility than the other two types of models. The...

2025, Journal of Empirical Finance

We extend the VAR based intertemporal asset allocation approach from to the case where the VAR parameter estimates are adjusted for smallsample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with quarterly data from 1952 to 2006. The results show that correcting the VAR parameters for small-sample bias has both quantitatively and qualitatively important effects on the strategic intertemporal part of optimal portfolio choice, especially for bonds: for intermediate values of risk-aversion, the intertemporal hedging demand for bonds -and thereby the total demand for bonds -is strongly reduced by the bias-adjustment. We also investigate the robustness of the results by changing the lag-length and one of the state variables of the VAR, and we conduct a simulation study to analyze the properties of the bias adjustment procedure.

2025

We find that changes in commercial banks' balance sheet size possess strong explanatory power for the cross-section of U.S. stock and bond returns during the 1947-2022 period. The rationale is that fluctuations in commercial banks' balance sheet size are a proxy for funding conditions. When bank lending growth is high (good funding conditions) commercial banks' balance sheet size increases. Assets with high sensitivity to changes in commercial banks' balance sheet size command higher premium because they are more sensitive to changes in funding conditions. These findings are consistent with the literature that has found that commercial banks' asset growth predicts future returns.

2025

In this paper, I conduct a comprehensive study of using machine learning tools to forecast the U.S. stock returns. I use three sets of predictors: the past history summarized by 120 lagged returns, the technical indicators measured by 120 moving average trading signals, and the 79 firm fundamentals, which helps to understand the weak-form market efficiency, algorithm trading and fundamental analysis. I find each set independently has strong predictive power, and buying the top 20% stocks with the greatest predicted returns and shorting bottom 20% with the lowest earns economically significant profits, and the profitability is robust to a number of controls. Econometrically, neural network generally improves forecasting over linear models, but makes little difference with firm fundamental predictors. Ensemble method tends to perform the best. However, when combining information from all the predictors, traditional machine learning improves little the performance due to perhaps not enough time series for too large dimensionality. In contrast, simple forecasting combination and portfolio diversification approach provide large gains.

2025, International journal of applied research

This study examines the relationship between the copper price and the nominal exchange rate between the Zambian kwacha and the U.S. dollar. For this purpose the study utilized monthly data on copper prices and the kwacha/US dollar exchange rate for the period 2000 to 2014 and controlled for the effects of domestic productivity, inflation and interest rates on government securities in Zambia and the United States. The study applied econometric techniques of cointegration, granger causality, impulse responses and variance decomposition to analyze interrelationships among these variables. The study found that international copper prices, domestic productivity and short term interest rates on government securities have a positive long run impact on the exchange rate between the two currencies. The study further finds that domestic inflation and short term interest rates on Treasury securities in the United States have a negative effect on the exchange rate between the two currencies in ...

2025

We provide evidence of the strong long-run relation between expected returns and market beta risk in the challenging (for the CAPM) post-1963 period as well as over longer time periods. We show that returns averaged over long horizons (up to 10 years) are related positively and signi…cantly to the market risk betas computed over similar periods. For the Fama-French 25 size and book-to-market portfolios and the industry portfolios, the market risk premium is estimated signi…cantly at economically-meaningful values between 6% and 11% per annum over a 5-to 10year period. When paired with alphas whose economic and statistical signi…cance decreases with the length of the horizon, our evidence is suggestive of the near long-run mean-variance e¢ ciency of the market portfolio and an approximate long-run version of the classical CAPM.

2025, Social Science Research Network

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2025, Journal of Empirical Finance

We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk, funding risk, and liquidity risk, strongly negatively predicts excess returns. Controlling for systematic risk factors, including credit risk and liquidity risk, we find that a bond portfolio formed on the residual basis generates a significant abnormal bond return of 1.79% at the 20-day horizon. The abnormal returns due to the residual basis reflect mispricing rather than missing systematic risk factors. These results are robust to different horizons and sample periods and to the various characteristics of bonds. Overall, our results imply a beneficial role of CDS in the bond market as the existence of mispricing between CDS and bonds results in a subsequent price convergence in bonds.

2025

In this paper we analyze investment sensitivity to cash flows in family-controlled businesses (FCBs) before and after the initial VC investment. We argue that highly constrained ones will be more inclined to change the preservation of the socioemotional wealth as the highest order reference point and, hence, accept the entry of external shareholders such as Venture Capital (VC) institutions. We find that financial constraints are significantly higher in first generation VC-backed FCBs than in similar untreated firms. We also find that VC involvement alleviates but does not fully eliminate the investment-cash flow sensitivity in investee first generation FCBs.

2025, Journal of Empirical Finance

The article develops a long-short portfolio construction technique that captures the fundamentals of backwardation and contango present in commodity futures markets and simultaneously deviates from the equal-weighting scheme traditionally employed in the literature. The sophisticated weighting schemes based on risk minimization and risk timing are found to dominate the traditional naive allocation and the schemes based on utility maximization. The conclusion applies to both momentum and term structure portfolios and persists after accounting for transaction costs, lack of liquidity, various model specifications, and different sub-periods.

2025, Journal of Empirical Finance

Automated markets are becoming increasingly widespread, and their efficiency properties are of corresponding concern to regulators and exchange policy makers. Many systems are implemented in settings characterized by a distinct lack of liquidity, however, often by design. We evaluate the performance of such a market, the GLOBEX overnight trading system, in absolute terms and relative to a liquid benchmark, the floor market of the Chicago Mercantile Exchange. Our results with respect to bid-ask spreads and adverse selection suggest that the nature of the environment is an important determinant of market performance, but that an automated market can operate well in a relatively illiquid setting. Price clustering, indicative of a lack of pricing efficiency, is prevalent on the automated system, but price resolution improves as trading frequency increases.

2025, Warwick Research Archive Portal (University of Warwick)

This study proposes a new measure and test of herding which is based on the crosssectional dispersion of factor sensitivity of assets within a given market. This new measure enables us to evaluate the directions towards which the market may be herding and separate these from movements in fundamentals. We apply the test to an analysis of the US, UK, and South Korean stock markets and somewhat surprisingly, find statistically significant evidence of herding towards "the market portfolio" during relatively quiet periods rather than when the market is under stress. The approach also allows us to investigate herding towards other factors beyond the market factor and we find that the US market shows significant herding towards "value" after the Russian Crisis in 1998.

2025, Scientific International (Lahore)

The overall goal of this research is to investigate the relationship between financing activities and the future returns of value and growth stocks in the capital market. The study examines a sample of 116 companies listed on the Tehran Stock Exchange from 2007 to 2012. The results indicate no statistically significant difference in returns between value stocks and growth stocks. However, external financing activities differ significantly between these two groups. A negative relationship was found between the book-to-market value ratio and future stock returns, suggesting that higher book values relative to market values lead to lower future returns. Conversely, there is a positive relationship between external financing and future returns, indicating effective use of outside capital can enhance stock performance. The findings suggest that capital market participants may not distinguish between value and growth stocks in practice, but capital suppliers might factor such classifications into their financial decisions.

2025, Journal of Empirical Finance

This study provides evidence that most of the stock price reactions to bad news management forecasts of annual earnings are reversed in the 60 days following the forecast. In addition, a significant amount of the price reaction to bad news forecasts of quarterly earnings is reversed in the market's reaction to the following quarterly earnings announcement. Unlike the previous overreaction evidence, this study is not subject to the criticisms of beta-shifts, cross-firm comparisons, or lengthy intertemporal comparisons. In addition, the results are robust to include many additional variables that could be hypothesized to affect the observed results.

2025

It has been often empirically observed that the sample autocorrelations of absolute financial returns are larger than those of squared returns. This property, know as Taylor effect, is analysed in this paper in the Stochastic Volatility (SV) model framework. We show that the stationary autoregressive SV model is able to generate this property for realistic parameter specifications. On the other

2025, Journal of Empirical Finance

interuniversitaire de recherche en analyse des organisations (CIRANO), and Centre interuniversitaire de recherche en économie quantitative (CIREQ).

2025

Inflation is the most popular in the Indonesian monetary progress. Bank Indonesia as Central Bank has an important role to keep inflation in the safety position. The importance of inflation control is based on the consideration that high and unstable inflation contribute the negative impact on socio-economic conditions of society. There are three indicators that used in this analysis who can give affect to inflation. These indicators are the exchange rate, money supply, and the SBI (Central Bank Certificate) rate. To obtain the latest research results, this research examines the last decade, from 2001 to 2010. This analysis attempts to explain the causality relationship among exchange rate, money supply, and the SBI rate to inflation in Indonesia 2001-2010. Beside that, this analysis attempts to explain that is there has the cointegration relationship among the exchange rate, money supply, and the SBI rate to inflation in Indonesia during 2001 -2010. In the other hand, this analysis attempts to explain the shock influence among the exchange rate, money supply, and the SBI rate to inflation in Indonesia from 2001 to 2010. The exchange rate and money supply progress in 2001 -2010 are more stable than inflation and the SBI rate progress. Based on the results of the analysis, there are two causalities among the SBI rate variable and the exchange rate variable with inflation. There is a cointegrated relationship in the VECM model from the money supply variable. The SBI rate has more influence the inflation than the money supply and exchange rate.

2025

In this paper, I investigate the forecasting power of implied volatility via a new volatility index for the Swedish stock market (SVIX). By implementing the same methodology as the new VIX index originated from CBOE, I examine the information content of implied volatility and appraise the forecast quality of SVIX using two methods. Firstly, I use option valuation to evaluate the information content of implied volatility. I use four different volatilities and the evidence is clear. Using historical volatility or lagged one day at-the-money implied volatility generates poor results. Evaluating the quality of the Swedish volatility index SVIX and the average between the implied volatility lagged one day of one at-the-money call and one at-the-money put option (AIV), the results are diverted and there is no clear evidence whether to use AIV or the SVIX. Secondly, I evaluate the forecasting performance of the GARCH (1,1) model, SVIX and the AIV. Evidence point in the directions that SVIX and AIV forecasts is of higher quality than the GARCH (1,1) model, which uses historical information to produce volatility forecasts.

2025

While there is much evidence on corporate boards mitigating agency problems, there is little on whether boards help managers make better decisions. We provide evidence that strong and independent boards help overconfident CEOs avoid honest mistakes when they seek to acquire other companies. In addition, we find that once-overconfident CEOs make better acquisition decisions after they experience personal stock trading losses, providing evidence that a manager's recent personal experience, and not just educational and early career experience, influences firm investment policy. Finally, we develop and validate a new CEO overconfidence measure that is easily constructed from machinereadable insider trading data, unlike previously-used measures.

2025, Social Science Research Network

Investors hold portfolios of assets with different risk-reward profiles for diversification benefits. Conditional on the volatility of assets, diversification benefits can vary over time depending on the correlation structure among asset returns. The correlation of returns between assets has varied substantially over time. To insure against future "low diversification" states, investors might demand securities that offer higher payouts in these states. If this is the case, then investors would pay a premium for securities that perform well in regimes in which the correlation is high. We empirically test this hypothesis and find that correlation carries a significantly negative price of risk, after controlling for asset volatility and other risk factors.

2025

The influence of investors' portfolio rebalancing decisions for exchange rates is a topic of long-standing interest in international finance. In this paper we propose a novel, market microstructure based theory of the operation of portfolio balance effects, by tying the influence of international capital flows on exchange rates to their revelation of investors' private information about asset returns. Using data for Thailand, we present compelling empirical evidence that portfolio rebalancing flows that are associated with investors' private information have significant effects on the exchange value of the baht. We find that the portion of nonresident investors' FX market order flow in Thailand that is explained by their activity in the Stock Exchange of Thailand has a more pronounced as well as a longer-lasting effect on the baht than other categories of order flow. Our results are based on daily-frequency data covering the 2005 and 2006 calendar years. One novel and so far unused daily-frequency dataset contains all FX market capital flows between banks in Thailand and their nonresident customers. We also use data on daily-frequency returns and and capital flows undertaken by nonresident investors in the stock and bond markets of Thailand.

2025, Canadian Acoustics

The rate at which time appears to pass is not uniform, but may vary depending on a number of factors. Time perception may be influenced both by the attentional state of the perceiver and by the characteristics of stimuli to which a person is attending O rnstein, 1969). Several researchers have suggested that time perception is most generally related to the amount of processing activity . Others have attempted to develop a theory of time perception based on the concept of an internal clock . This paper concerns the perception of time during music listening. Although many studies of musical time have focussed on sensitivity to rhythm and meter (e.g., Longuet-Higgins & Lee, 1982), few have examined the ability of listeners to judge duration over several bars. In a study by , listeners were presented excerpts from pieces by Stockhausen (Experiment 3) and by Mozart (Experiment 6). The excerpts all differed in duration, but had an average duration of about 30 seconds. Listeners were asked to judge the duration of each excerpt, and were also asked to rate each excerpt on a number of subjective scales, such as com plexity, variedness, and com pleteness. Regression analyses suggested that judgements of duration were highly veridical, and were apparently not influenced by the subjective characteristics of the excerpts.

2025, Journal of Empirical Finance

The large appreciation and depreciation of the US dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more general smooth transition (STR) function than has hitherto been employed, which is able to capture structural changes along the (long-run) equilibrium path, and show that this is consistent with our economic model. Our framework allows for a gradual adjustment between regimes and allows for underand/or over-valued exchange rate adjustments. Using monthly and quarterly data for up to twenty OECD countries, we apply our methodology to investigate the univariate time series properties of CPI-based real exchange rates with both the U.S. dollar and German mark as the numeraire currencies. The empirical results show that, for more than half of the quarterly series, the evidence in favour of the stationarity of the real exchange rate was clearer in the sub-sample period post-1980.

2025, Journal of Empirical Finance

Unpredictable dividend growth by the dividend-price ratio is considered a 'stylized fact'in post war US data. Using long-term data, covering more than 80 years from the US and three European countries, we revisit this stylized fact, and we also report results on return predictability. We …nd large cross-country di¤erences regarding return and dividend growth predictability. For the US, we con…rm Chen's (2008) …nding of a 'tale of two periods'but with the important di¤erence that short-and long-horizon real returns are signi…cantly predictable in both sub-periods (1871-1949 and 1950-2008), while long-horizon real dividend growth is unpredictable in the early period and signi…cantly predictable in the 'wrong'direction in the post war period. These results are directly opposite to those reported by Chen using nominal returns and dividend growth. For the UK, the results are more or less similar to those for the US. For Sweden and Denmark we …nd no evidence of return predictability, but strong evidence of predictable dividend growth in the 'right' direction on both short and long horizons and over both the full sample periods and the post war period. We also document that implied long-horizon coe¢ cients from VAR's often di¤er substantially from direct estimates in multi-year regressions. Throughout, we report both standard asymptotic tests and simulated smallsample tests and, following Cochrane (2008), we investigate the joint distribution of dividend-price ratio coe¢ cients in return and dividend growth regressions.

2025, Journal of Empirical Finance

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2025

This paper proposes two new weighting schemes that average forecasts using different estimation windows to account for structural change. We let the weights reflect the probability of each time point being the most-recent break point, and we use the reversed ordered Cusum test statistics to capture this intuition. The second weighting method simply imposes heavier weights on those forecasts that use more recent information. The proposed combination forecasts are evaluated using Monte Carlo techniques, and we compare them with forecasts based on other methods that try to account for structural change, including average forecasts weighted by past forecasting performance and techniques that first estimate a break point and then forecast using the post break data. Simulation results show that our proposed weighting methods often outperform the others in the presence of structural breaks. An empirical application based on a NAIRU Phillips curve model for the United States indicates that ...

2025

Penelitian ini menganalisis pengaruh kinerja fundamental bank, faktor ekonomi makro, dan aksi korporasi terhadap harga saham sektor perbankan di Bursa Efek Indonesia selama periode 2016-2023. Data sekunder diperoleh dari laporan keuangan, OJK, dan Badan Pusat Statistik, dengan total 28 perusahaan sampel. Hasil analisis regresi panel menggunakan model Fixed Effect Model menunjukkan bahwa secara simultan, variabel kinerja fundamental bank (Loan to Deposit Ratio, Net Interest Margin, Non-Performing Loan, dan Capital Adequacy Ratio), faktor ekonomi makro (suku bunga dan nilai tukar), serta aksi korporasi (dividend payout ratio dan stock split) berpengaruh signifikan terhadap harga saham. Namun, secara parsial, hanya ukuran perusahaan yang menunjukkan pengaruh signifikan terhadap harga saham, meskipun dengan hubungan negatif. IHSG selama periode tersebut menunjukkan tren fluktuatif, mencerminkan sensitivitas terhadap dinamika fundamental ekonomi, kondisi global, dan aksi korporasi. Temuan ini memberikan implikasi penting bagi investor, perusahaan perbankan, dan regulator untuk memahami faktor-faktor yang memengaruhi pergerakan harga saham. Penelitian ini merekomendasikan analisis lebih lanjut dengan pendekatan kualitatif untuk memperdalam pemahaman tentang dampak kebijakan makroekonomi dan aksi korporasi terhadap keputusan investasi. Selain itu, pengelolaan indikator fundamental bank dan stabilitas faktor makroekonomi perlu ditingkatkan untuk mendukung pertumbuhan pasar saham.

2025

Tujuan dari artikel ini adalah untuk mempelajari hubungan antara keterbukaan keuangan internasional dan perubahan pasar modal di Indonesia. Untuk mencapai tujuan ini, tinjauan literatur yang dilakukan dalam lima tahun terakhir mencakup... more

2025

This study examines integration between Karachi Stock Exchange of Pakistan and Shanghai Stock Exchange of China. Monthly data ranging from January 2001 to December 2010 is included and tested in this paper. This relationship is tested by using descriptive statistics and correlation matrix. Data stationary is ensured by Unit Root Test. Evidence from Granger Causality and Impulse Response Test. The Results shows that SSE and KSE has no long term relationship or impact on each other focusing on the data of KSE (Karachi Stock Exchange) and SSE (Shanghai Stock Exchange). © 2013 Elixir All rights reserved ARTICLE INF O Articl e h istory: Received: 7 August 2013; Received in revised form: 29 September 2013; Accepted: 1 October 2013;

2025

Time series generated by Stochastic Volatility (SV) processes are uncorrelated although not independent. This has consequences on the properties of the sample autocorrelations. In this paper, we analyse the asymptotic and finite sample properties of the correlogram of series generated by SV processes. It is shown that the usual uncorrelatedness tests could be misleading. The properties of the correlogram of

2025, Journal of Asset Management

This paper examines the interactions among CDS spreads across 13 European countries using spatial econometrics techniques. Our model allows for the estimation of direct and indirect transmission of sovereign risk and feedback effects across the network of these countries. The novelty of this paper is to link macroeconomic variables and CDS spreads in a new context of analysis to uncover new channels affecting sovereign risk across countries during the European debt crisis. We show that the key channel in driving sovereign risk spillovers is trade linkages between the countries. Our results also reveal that a country's CDS spread is approximately 7 basis points (bps) higher for a 1% increase in public debt-to-GDP levels while that increase in indebtedness is associated with roughly 2 bps higher spreads in all other countries.

2025, Journal of Indonesian Economy and Business

This study attempts to analysis Rupiah/US$ exchange rate using ARIMA (Autoregressive Integrated Moving Average) method. It explores to what extent impacts of political variable, in term of the (former) President Abdurrachman Wachid’s (Gusdur) statement, on the exchange rate fluctuation. Two main sources of data were used: first, daily exchange rates of Rp/US$ over the period of Januari 1st, 1999 to April 30th , 2002; second, media reports on Gus Dur’s statement which comed up every Friday. The empirical results found that yesterday’s exchange rates and trend influenced the current exchange rates significantly, as shown by AR (1) and trend variable. More importantly, depreciation of Rupiah was caused by political (news) variable, especially Gus Dur’s statement. The last indicates the evidence of Friday effect in the case of Rp/US$ during Gus Dur regime. Keywords: ARIMA Method; Autoregressive; Moving Average; News (Gus Dur’s statement); Trend

2025

This paper examines the empirical behaviour of share prices around the dates of splits, with a view to detecting the possible creation of anomalous returns. It also examines the determining factors of splits, their effects on liquidity and the influence of the market's microstructure in the generating of abnormal retums. The evidence obtained from the Spanish capital market indicates that splits generate an average abnormal retum of about 1%, principally on the day that the split is effected. This result cannot be explained by an increase in quidity. It suggests, rather, that certain microstructure phenomena in the market encourage an increase in abnormal retums. Approximately half of these increased retums could be attributed to two factors: changes in the order flow and an increase in the relative spread, induced by an uneven increase in the ask price with respect to the bid. JEL classification: G14; G32; G35.