SwePub
Tyck till om SwePub Sök här!
Sök i SwePub databas

  Utökad sökning

Träfflista för sökning "WFRF:(Aslanidis S) "

Sökning: WFRF:(Aslanidis S)

  • Resultat 1-3 av 3
Sortera/gruppera träfflistan
   
NumreringReferensOmslagsbildHitta
1.
  •  
2.
  • Aslanidis, Nektarios, et al. (författare)
  • Flight-to-safety and the risk-return trade-off : European evidence
  • 2020
  • Ingår i: Finance Research Letters. - : Elsevier BV. - 1544-6123. ; 35
  • Tidskriftsartikel (refereegranskat)abstract
    • This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The effects of flight-to-safety episodes on the trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight-to-safety episodes. The strength of the trade-off is strongest for US flight-to-safety episodes. Flight-from-safety has the opposite effect on the trade-off.
  •  
3.
  • Aslanidis, Nektarios, et al. (författare)
  • Idiosyncratic volatility puzzle : influence of macro-finance factors
  • 2019
  • Ingår i: Review of Quantitative Finance and Accounting. - : Springer Science and Business Media LLC. - 0924-865X .- 1573-7179. ; 52:2, s. 381-401
  • Tidskriftsartikel (refereegranskat)abstract
    • We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro-finance factors are constructed from a large set of macroeconomic and financial variables. Our results show that the negative relation between expected idiosyncratic volatility and stock returns reverses to a positive one when accounting for the macro-finance effects. Portfolio analysis shows that the positive relation is economically important. The relation between expected idiosyncratic volatility and returns is not affected by business cycle variations. The empirical results are highly robust.
  •  
Skapa referenser, mejla, bekava och länka
  • Resultat 1-3 av 3

Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.

 
pil uppåt Stäng

Kopiera och spara länken för att återkomma till aktuell vy