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Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis
16 references·0 citing·42 second hop
Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis (2015)Stock Market, Interest Rate and Exchange …Investment Management and Financial Innovations (2019)Investment Management and Fin…Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets (2006)Dynamic linkages between exch…Evaluating the hedging performance of the constant-correlation GARCH model (2002)Evaluating the hedging perfor…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (2001)International Competition and…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (1997)International Competition and…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)The sensitivity of bank stock…The Pricing of Exchange Rate Risk in the Stock Market (1991)The Pricing of Exchange Rate …Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The arbitrage theory of capital asset pricing (1976)The Determinants of Firms' Hedging Policies (1985)Economic Forces and the Stock Market (1986)Profitability of Momentum Strategies in the International Equity Markets (2000)Are Financial Assets Priced Locally or Globally? (2002)Stock prices and exchange rate dynamics (2005)Expectations and Exchange Rate Dynamics (1976)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Industry costs of equity (1997)Chapter 16 Are financial assets priced locally or globally? (2003)Dynamic relationship between exchange rate and stock price: Evidence from China (2009)An Intertemporal Capital Asset Pricing Model (1973)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Managing with Style: The Effect of Managers on Firm Policies (2003)Law, finance, and economic growth in China (2005)The economic implications of corporate financial reporting (2005)International Transmission of Stock Market Movements (1989)When does lean hurt? – an exploration of lean practices and worker health and safety outcomes (2013)What precious metals act as safe havens, and when? Some US evidence (2014)Bankruptcy Prediction using the XGBoost Algorithm and Variable Importance Feature Engineering (2022)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)
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References

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  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
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  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
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  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model

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251 cited
  • 2002Evaluating the hedging performance of the constant-correlation GARCH model178 cited
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