Ara
Toplam kayıt 15, listelenen: 11-15
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 ...
Stock return seasonality and the temperature effect
(EuroJournals Publishing, 2009-12)
Motivated by prior evidence that the relation between temperature and stock returns may be spurious, this study investigates the extent to which accounting for seasonality changes the explanatory power of temperature for ...
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 U.S. term structure and return volatility in emerging stock markets
(Springer, 2020-05-29)
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 ...
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 ...