Now showing items 1-6 of 6
The U.S. term structure and return volatility in emerging stock markets
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and ...
Oil price uncertainty, global industry returns and active investment strategies
(Elsevier B.V., 2020-11)
This paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. ...
The US term structure and return volatility in global REIT markets
(Asia University, 2020-09)
This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components ...
Time-varying risk aversion and currency excess returns
(Elsevier Ltd, 2022-01)
This paper documents an economically significant risk premium associated with a currency's sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies ...
On the hedging benefits of REITs: The role of risk aversion and market states
(Oviedo University Press, 2021-06)
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the ...
Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises
(Inderscience Publishers, 2020-06-03)
This paper analyses the cointegration relationship between the REIT and stock markets of ten developed countries during the 2005-2013 period, which is characterised by the global financial and the European debt crises. ...