Interest Sensitivity and Volatility Reductions: Cross-Section Evidence
نویسندگان
چکیده
منابع مشابه
The Effects of Interest Rates Volatility on Stock Returns: Evidence from Bangladesh
The paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of Bangladesh over the period of 1991 to 2012. A wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. The study reveals a stable and significant long run relationship between the varia...
متن کاملThe Cross-Section of Volatility and Expected Returns
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns. This phen...
متن کاملSpecial-Interest Groups and Volatility
This paper explores the relationship between special-interest groups and volatility of GDP growth. In an unbalanced panel of 108 countries, we find a significant negative relationship between the number of interest groups in a country and the volatility of GDP growth. Citation: Coates, Dennis, Jac Heckelman, and Bonnie Wilson, (2007) "Special-Interest Groups and Volatility." Economics Bulletin,...
متن کاملUncovered Interest Parity: Cross-sectional Evidence
This paper proposes a di¤erent empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Di¤erent from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel regression model estimation. The exchange rates analyzed here include a broad spectrum of countries: develope...
متن کاملthe effects of interest rates volatility on stock returns: evidence from bangladesh
the paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of bangladesh over the period of 1991 to 2012. a wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. the study reveals a stable and significant long run relationship between the varia...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.760244