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Relevant bibliographies by topics / International finance. Tail risk. Asset pricing

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Journal articles

Academic literature on the topic 'International finance. Tail risk. Asset pricing'

Author: Grafiati

Published: 11 March 2023

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Journal articles on the topic "International finance. Tail risk. Asset pricing"

1

Schreindorfer, David. "Macroeconomic Tail Risks and Asset Prices." Review of Financial Studies 33, no. 8 (2019): 3541–82. http://dx.doi.org/10.1093/rfs/hhz105.

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Abstract I document that dividend growth and returns on the aggregate U.S. stock market are more correlated with consumption growth in bad economic times. In a consumption-based asset pricing model with a generalized disappointment-averse investor and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model is consistent with the main facts about stock market risk premiums inferred from equity index options, remains tightly parameterized, and allows for analytical solutions for asset prices. An extension with non-IID dynamics accoun

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2

de Santis, Giorgio, and Bruno Gerard. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk." Journal of Finance 52, no. 5 (1997): 1881. http://dx.doi.org/10.2307/2329468.

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3

Antell, Jan, and Mika Vaihekoski. "International asset pricing models and currency risk: Evidence from Finland 1970–2004." Journal of Banking & Finance 31, no. 9 (2007): 2571–90. http://dx.doi.org/10.1016/j.jbankfin.2006.09.013.

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4

Valencia-Herrera, Humberto, and Francisco López-Herrera. "Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico." Journal of Emerging Market Finance 17, no. 1 (2018): 96–129. http://dx.doi.org/10.1177/0972652717748089.

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The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although significant, the international risk premium factor is not subject to regime switching, but the domestic factor is. The probabilities of regimes are correlated with the volatility of assets. A GARCH(1,1) Markov regime switching model offers better adjustment than a non-GARCH. JEL Classification: C58, F36, F65, G12, G15

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5

Ott, Steven H., Timothy J. Riddiough, Ha-Chin Yi, and Jiro Yoshida. "International Real Estate Review." International Real Estate Review 11, no. 1 (2008): 1–37. http://dx.doi.org/10.53383/100088.

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Using over 25 years of quarterly U.S. and Japanese time series data, this paper examines the determinants of demand for an important class of real assets: commercial real estate. We specify a structural model of market equilibrium that considers direct effects of real investment on built asset price. Our empirical findings are consistent across countries and produce several new results. First, we find that real investment exerts a significant positive direct effect on asset price, which in turn feeds back to impact investment decisions. Second, idiosyncratic risk is found to be strongly positi

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6

Wong, Wong Weng, and Wejendra Reddy. "International Real Estate Review." International Real Estate Review 21, no. 1 (2018): 41–70. http://dx.doi.org/10.53383/100254.

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This study explores the sensitivity of the performance of Australian real estate investment trusts (A-REITs) to changes in short and long term interest rates. Based on the intertemporal capital asset pricing model in Merton (1973), we propose an asset pricing model that consists of market returns, macroeconomic indicators, and short and long term interest rates. The effect of market capitalisation is also explored. High debt funds show greater sensitivity to adverse movements in long term interest rates compared to low debt funds. This suggests that gearing levels play a significant role in th

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7

Li, Kai. "Confidence in the Familiar: An International Perspective." Journal of Financial and Quantitative Analysis 39, no. 1 (2004): 47–68. http://dx.doi.org/10.1017/s0022109000003884.

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AbstractOne striking feature of international portfolio investment is the extent to which equity portfolios are concentrated in the domestic equity market of the investor—the home bias puzzle. I examine the role of investors' perception of foreign investment risk on their portfolio choices. The expected returns and risk of foreign investment are specified through an asset pricing model with the home portfolio being the benchmark asset—Pastor's (2000) domestic CAPM. The model serves as a reference point around which investors can center their prior beliefs. I focus on investors' prior beliefs t

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8

Hazny, Mohamad Hafiz, Haslifah Mohamad Hasim, and Aida Yuzy Yusof. "Mathematical modelling of a shariah-compliant capital asset pricing model." Journal of Islamic Accounting and Business Research 11, no. 1 (2020): 90–109. http://dx.doi.org/10.1108/jiabr-07-2016-0083.

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Purpose The capital asset pricing model (CAPM) is the most widely used asset pricing model that measures risk–return relationship. The CAPM is based on Markowitz’s mean variance analysis. The advancement of Islamic finance leads to the question whether or not the practice of modern investment theories and analyses such as the Markowitz’s mean variance analysis and CAPM are in accordance to shariah and could be used in pricing Islamic financial assets. Therefore, this paper aims to present a review of the CAPM and to discourse the set of assumptions underlying the model in terms of shariah comp

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9

Bayraktar, Sema. "The impact of exchange rate risk on international asset pricing under various market structures." Review of Quantitative Finance and Accounting 32, no. 2 (2008): 169–95. http://dx.doi.org/10.1007/s11156-008-0089-4.

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10

Okunev, John, and Patrick J. Wilson. "International Real Estate Review." International Real Estate Review 11, no. 2 (2008): 32–46. http://dx.doi.org/10.53383/100096.

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This study presents further evidence of the predictability of excess equity REIT (real estate investment trust) returns . Recent evidence on forecasting excess returns using fundamental variables has resulted in diminishing returns from the 1990’s onward. Trading strategies based on these forecasts have not significantly outperformed the buy/hold strategy of the 1990’s. We have developed an alternative strategy that is based on the time variation of the risk premium of investors. Our results indicate that it is possible to outperform the buy/hold strategy by modeling the time variation of the

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