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Value Effect And Macroeconomic Risk
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Book Synopsis Value Effect and Macroeconomic Risk by : Cathy Cao
Download or read book Value Effect and Macroeconomic Risk written by Cathy Cao and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study to what extent macroeconomic risk drives the positive cross-sectional relation between future stock returns and relative firm value, such as book-to-market ratio and earnings-to-price ratio. We provide evidence that value stocks are risker than growth stocks. We show that value stocks have higher risk loadings than growth stocks on the growth rate of industrial production, the term premium, and the default premium. We also show that the risk loadings and risk premiums estimated with respect to Chen, Roll, and Ross [1986] factors account for more than half of the average return spreads between value portfolios and growth portfolios. Our evidence suggests that risk plays an important role in explaining the value effect. Our results provide implications to value and growth investment.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author :John J. Schmitz Publisher :National Library of Canada = Bibliothèque nationale du Canada ISBN 13 :9780612285217 Total Pages :466 pages Book Rating :4.2/5 (852 download)
Book Synopsis The Multifactor Risk, Performance, and Predictability of Size, Value, and Momentum Portfolios [microform] by : John J. Schmitz
Download or read book The Multifactor Risk, Performance, and Predictability of Size, Value, and Momentum Portfolios [microform] written by John J. Schmitz and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 1997 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this thesis is to determine if a general, conditional, multifactor asset pricing model, operationalized with a common set of observable macroeconomic risk factors, can explain the performance and predictability of three of the finance literature's most pervasive anomalies--the small firm effect, the value effect, and the momentum effect. The asset pricing model allows both the price of risk (the risk premiums) and the quantity of risk (the risk betas) to vary conditionally through time, and is operationalized with Chen, Roll, and Ross (1986) type economic risk factors. The analysis is performed over the 1978 to 1996 time period using commercially produced and widely distributed US style indexes, and more concentrated univariate and multivariate style portfolios formed from the universe of NYSE, AMEX, and NASDAQ stocks.
Book Synopsis The Macroeconomic Effects of Public Investment by : Mr.Abdul Abiad
Download or read book The Macroeconomic Effects of Public Investment written by Mr.Abdul Abiad and published by International Monetary Fund. This book was released on 2015-05-04 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence of the macroeconomic effects of public investment in advanced economies. Using public investment forecast errors to identify the causal effect of government investment in a sample of 17 OECD economies since 1985 and model simulations, the paper finds that increased public investment raises output, both in the short term and in the long term, crowds in private investment, and reduces unemployment. Several factors shape the macroeconomic effects of public investment. When there is economic slack and monetary accommodation, demand effects are stronger, and the public-debt-to-GDP ratio may actually decline. Public investment is also more effective in boosting output in countries with higher public investment efficiency and when it is financed by issuing debt.
Book Synopsis The effect of macroeconomic variables on the size, value and momentum factor in Germany by : Marwin Zimmermann
Download or read book The effect of macroeconomic variables on the size, value and momentum factor in Germany written by Marwin Zimmermann and published by GRIN Verlag. This book was released on 2018-11-26 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2018 in the subject Business economics - Investment and Finance, grade: 1,0, University of Passau, language: English, abstract: Today there are dozens of papers existing which investigate the relationship between macroeconomic variables such as GDP growth, exchange rates, inflation, etc. and the 4 factors used in the Carhart 4-factor model. However, most of the papers select corresponding control variables a priori and might miss some macroeconomic variables which hold much information about one of the factors. Overcoming this problem constitutes the core of this paper. With a three tiered statistical procedure which comprises the use of clustering and LASSO regressions I am aiming at solving that challenge. I start with more than 300 macroeconomic control variables which proxy for all possible variables out there and select those with the highest explanatory power.
Book Synopsis The Effect of Risk on Interest Rates by : Pentti J. K. Kouri
Download or read book The Effect of Risk on Interest Rates written by Pentti J. K. Kouri and published by . This book was released on 1981 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the effects of real income and price level uncertainty on equilibrium interest rates. It is demonstrated that even if there are no outside nominal assets, the interest rate on nominal bonds contains a risk premium, or as the case may be, a risk discount. The sign, and the magnitude, of the deviation from the Fisher parity depends on the covariance between the purchasing power of money on the one hand and real income on the other. The second part of the paper extends the model into a model of two countries, two monies and two bonds denominated in these two monies. It is shown, in contrast with statements made in the literature, that the 'efficiency' of international financial markets does not imply equality of expected real interest rates on bonds denominated in different currencies, nor does it imply that the forward exchange rate should be an unbiased predictor of the future spot exchange rate. This is again true even when there are no outside nominal assets in the world economy.
Book Synopsis Momentum Profits, Factor Pricing, and Macroeconomic Risk by : Laura Xiaolei Liu
Download or read book Momentum Profits, Factor Pricing, and Macroeconomic Risk written by Laura Xiaolei Liu and published by . This book was released on 2009 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the connection between momentum portfolio returns and shifts in factor loadings on the growth rate of industrial production. Winners have temporarily higher loadings than losers. The loading spread derives mostly from the high, positive loadings of winners. Small stocks have higher loadings than big stocks, and value stocks have higher loadings than growth stocks. Using standard multifactor tests, we present evidence that the growth rate of industrial production is a priced risk factor. In most of our tests, however, the combined effect of factor pricing and risk shifts does not explain a large fraction of momentum returns.
Download or read book Bank Bailouts written by Mr.Tito Cordella and published by International Monetary Fund. This book was released on 1999-08-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that a central bank, by announcing and committing ex-ante to a bailout policy that is contingent on the realization of certain states of nature (for example on the occurrence of an adverse macroeconomic shock), creates a risk-reducing “value effect” that more than outweighs the moral hazard component of such a policy.
Book Synopsis Risk Management and Value by : Mondher Bellalah
Download or read book Risk Management and Value written by Mondher Bellalah and published by World Scientific. This book was released on 2008 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a high level one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book. Sample Chapter(s). Introduction (40 KB). Chapter 1: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (97 KB). Contents: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (M Bellalah); A Value-at-Risk Approach to Assess Exchange Risk Associated to a Public Debt Portfolio: The Case of a Small Developing Economy (W Ajili); A Method to Find Historical VaR for Portfolio that Follows S&P CNX Nifty Index by Estimating the Index Value (K V N M Ramesh); Some Considerations on the Relationship between Corruption and Economic Growth (V Dragota et al.); Financial Risk Management by Derivatives Caused from Weather Conditions: Its Applicability for Trkiye (T uzkan); The Basel II Framework Implementation and Securitization (M-F Lamy); Stochastic Time Change, Volatility, and Normality of Returns: A High-Frequency Data Analysis with a Sample of LSE Stocks (O Borsali & A Zenaidi); The Behavior of the Implied Volatility Surface: Evidence from Crude Oil Futures Options (A Bouden); Procyclical Behavior of Loan Loss Provisions and Banking Strategies: An Application to the European Banks (D D Dinamona); Market Power and Banking Competition on the Credit Market (I Lapteacru); Early Warning Detection of Banking Distress OCo Is Failure Possible for European Banks? (A Naouar); Portfolio Diversification and Market Share Analysis for Romanian Insurance Companies (M Dragota et al.); On the Closed-End Funds Discounts/Premiums in the Context of the Investor Sentiment Theory (A P C do Monte & M J da Rocha Armada); Why has Idiosyncratic Volatility Increased in Europe? (J-E Palard); Debt Valuation, Enterprise Assessment and Applications (D Vanoverberghe); Does The Tunisian Stock Market Overreact? (F Hammami & E Abaoub); Investor-Venture Capitalist Relationship: Asymmetric Information, Uncertainty, and Monitoring (M Cherif & S Sraieb); Threshold Mean Reversion in Stock Prices (F Jawadi); Households'' Expectations of Unemployment: New Evidence from French Microdata (S Ghabri); Corporate Governance and Managerial Risk Taking: Empirical Study in the Tunisian Context (A B Aroui & F W B M Douagi); Nonlinearity and Genetic Algorithms in the Decision-Making Process (N Hachicha & A Bouri); ICT and Performance of the Companies: The Case of the Tunisian Companies (J Ziadi); Option Market Microstructure (J-M Sahut); Does the Standardization of Business Processes Improve Management? The Case of Enterprise Resource Planning Systems (T Chtioui); Does Macroeconomic Transparency Help Governments be Solvent? Evidence from Recent Data (R Mallat & D K Nguyen). Readership: Academics and risk managers."
Book Synopsis Corporate Financial Policy, Taxation, and Macroeconomic Risk by : Mark Gertler
Download or read book Corporate Financial Policy, Taxation, and Macroeconomic Risk written by Mark Gertler and published by . This book was released on 1991 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a simple model of corporate financial structure intended to formalize the macroeconomic concern over excessive leverage. In particular, we attempt to rationalize why firms designing an optimal capital structure would choose a level of debt that leaves them heavily exposed to macroeconomic risk. Our starting point is a variant of the "corporate control" model often used to motivate debt as the optimal financial contract. We modify this framework in two ways. First, we include common risks, interpretable as business cycle risks, as well as idiosyncratic risks. Second, we include corporate and investor-level taxes, and consider the implications of a net tax bias against equity finance. The tax distortion confronts firms with a tradeoff ex ante between the costs of equity finance and the costs of increased exposure to macroeconomic risk accompanying debt finance. In this regard, an equilibrium with "excessive leverage" is possible. Further, despite the possibility of renegotiation, debt is in general less effective than equity in insulating the firm against aggregate risk. Our model leads to the prediction that individual firm dividends may vary with macroeconomic conditions, even after controlling for the effects of relevant firm-specific performance measures, such as earnings. We present some formal econometric evidence in support of this prediction, using a panel of individual corporations. Evidence on some related predictions is also presented
Book Synopsis Macroeconomic Risk and Growth in the Southeast Asian Countries by : William A. Barnett
Download or read book Macroeconomic Risk and Growth in the Southeast Asian Countries written by William A. Barnett and published by Emerald Group Publishing. This book was released on 2023-11-09 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: ASEAN economies have much insight to offer the world, from investor behaviour during COVID-19, and deep-rooted attitudes towards risk and corruption, to achievement of the Sustainable Development Goals through the gender perspective.
Book Synopsis Asset Prices and Monetary Policy by : John Y. Campbell
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Book Synopsis Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics by : Seungho Jung
Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Download or read book Bank Bailouts written by Tito Cordella and published by . This book was released on 2004 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we show that a central bank, by announcing and committing ex-ante to a bailout policy that is contingent on the realization of certain states of nature (for instance on the occurrence of an adverse macroeconomic shock), creates a risk-reducing quot;value effectquot; that more than outweighs the moral hazard component of such a policy.
Book Synopsis Financial Markets and the Macroeconomy by : Carl Chiarella
Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Book Synopsis International Macroeconomics in the Wake of the Global Financial Crisis by : Laurent Ferrara
Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Book Synopsis The Term Structure of Growth-at-Risk by : Tobias Adrian
Download or read book The Term Structure of Growth-at-Risk written by Tobias Adrian and published by International Monetary Fund. This book was released on 2018-08-02 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, the term structure of GaR features an intertemporal tradeoff: GaR is higher in the short run; but lower in the medium run when initial financial conditions are loose relative to typical levels, and the tradeoff is amplified by a credit boom. This shift in the growth distribution generally is not incorporated when solving dynamic stochastic general equilibrium models with macrofinancial linkages, which suggests downside risks to GDP growth are systematically underestimated.
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