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on Financial Markets |
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Issue of 2012‒02‒01
four papers chosen by |
| By: | Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert C. |
| Abstract: | The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated with large positive and negative returns in contrast to the central quantile which is closely related to the conditional mean in the least-squares regression framework. Our empirical results are based on 30 years of daily, weekly and monthly returns of the stocks comprised in the Dow Jones Stoxx 600 index. We find that lower quantiles exhibit positive dependence on past returns while upper quantiles are marked by negative dependence. This pattern holds when accounting for stock specific characteristics such as market capitalization, industry, or exposure to market risk. -- |
| Keywords: | stock return distribution,quantile autoregression,overreaction and underreaction |
| JEL: | C22 G14 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:tuewef:24&r=fmk |
| By: | De Moor, Lieven (Hogeschool-Universiteit Brussel (HUB), Belgium); Sercu, Piet (K.U. Leuven, Faculty of Business and Economics, Research Center of International Finance and Louvain School of Management, Department of Finance) |
| Abstract: | Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also show that, in data with wider coverage with respect to size, the Fama-French factor portfolios need to be adjusted and their number increased. Specifically, (i) standard asset pricing models leave pricing errors for the ten percent smallest stocks, and (ii) two additional risk factors (i.e. one micro-stock factor and one extreme book-to- market factor) are needed to capture this mispricing. This holds both in US and international data. Further research is needed to measure the separate relevance of the possible economic interpretations and to identify more economic explanations for the additional risks associated with the smallest stocks. |
| Keywords: | small firm; CAPM; SMB; HML; WML; momentum; distress; Fama; French; pricing error |
| JEL: | G12 G15 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:hub:wpecon:201128&r=fmk |
| By: | Juan Carlos Gozzi; Ross Levine; Maria Soledad Martinez Peria; Sergio L. Schmukler |
| Abstract: | This paper provides the first comprehensive documentation of the main features of corporate bond issues in domestic and international markets and analyzes how firms use these markets after they internationalize. We find that debt issues in domestic and international bond markets have different characteristics, not explained by differences across firms or their country of origin. International issues tend to be larger, of shorter maturity, denominated in foreign currency, and include a higher fraction of fixed rate contracts. Moreover, a large proportion of firms remain active in domestic bond markets after accessing international markets, and many of these firms use both markets for different types of issues. This evidence suggests that domestic and international bond markets provide different financial services and are not substitutes, but rather complements. |
| JEL: | F36 G12 G15 G32 |
| Date: | 2012–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17763&r=fmk |
| By: | Aruga, Kentaka; Managi, Shunsuke |
| Abstract: | This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas, uranium, and ethanol futures prices. Our tests reveal that the uranium and ethanol futures prices have very weak linkage with other U.S. major energy source prices. This indicates that the U.S. energy market is still at a stage where none of the probable alternative energy source markets are playing the role as a substitute or a complement market for the fossil fuel energy markets and that the U.S. major energy source markets are not integrated as one primary energy market. |
| Keywords: | futures market; structural breaks; Johansen cointegration method |
| JEL: | G14 C32 Q42 |
| Date: | 2011–10–31 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:36086&r=fmk |