Showing papers in "Journal of Empirical Finance in 2014"

TL;DR: In this paper, the authors examine whether and how political uncertainty influences a firm's cost of bank loans and find that fluctuations in the political environment impose additional costs on the loan contract.

TL;DR: In this article, the authors investigated the role of the flight to liquidity premium between a German state guaranteed agency bond and the Bund in the development of the euro area sovereign yield spreads.

TL;DR: This article used a modified DCC-MIDAS specification to endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy.

TL;DR: In this article, the authors developed a testing and modelling procedure for describing the long-term volatility movements over very long daily return series, assuming that volatility is multiplicatively decomposed into a conditional and an unconditional component.

TL;DR: In this paper, a test of significance of ΔCoVaR is proposed to determine whether or not a financial institution can be classified as being systemically important on the basis of the estimated systemic risk contribution, as well as a test for dominance aimed at testing whether, according to ΔCoVAR, one financial institution is more important than another.

TL;DR: In this paper, the authors examined the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the U.S. for different return periods.

TL;DR: In this article, Tjostheim and Hufthammer introduced a new measure of local dependence to study the contagion effect and found evidence of contagion based on the local Gaussian correlation.

TL;DR: In this paper, the point and density forecasting of the intraday interest rate can be partially predicted during turbulent times, and the relative accuracy is higher when the full distribution is predicted.

TL;DR: In this paper, the most liquid assets (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks, and the most correlated stocks are those with similar levels of liquidity.

TL;DR: In this article, the authors investigate the behavior of the equilibrium price-rent ratio for housing in a standard asset pricing model and compare the model predictions to survey evidence on the return expectations of real-world housing investors.

TL;DR: In this article, the authors investigate whether the value impact of family control in Western European firms depends on country-level investor protection and find an inverted U-shape relation between family control and firm value.

TL;DR: In this article, the authors examined the ex-post consequences of CEO compensation for shareholders' value and found that CEO incentive pay is negatively associated with short-term subsequent returns, and that firms that pay their CEOs at the bottom of the incentive-pay distribution earn positive abnormal returns and significantly outperform those at the top of incentive pay distribution.

TL;DR: In this paper, quantile regressions were used to scrutinize the realized stock-bond correlation based upon high frequency returns and provided in-sample and out-of-sample analysis and considered factors constructed from a large number of macro-finance predictors well-known from the return predictability literature.

TL;DR: In this paper, the authors investigate methods on diagnosing the distribution of GARCH innovations and show that the method based on estimated innovations is not reliable, whereas an alternative approach based on analyzing the tail index of a GARCH series performs better.

TL;DR: An estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH models subjected to an unknown number of structural breaks at unknown dates, and finds structural breaks in the volatility dynamics of all series and recurrent regimes in nearly all series.

TL;DR: In this paper, the authors use a modified version of the MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.

TL;DR: In this article, the authors build on the recent debate on the in-sample and out-of-sample predictability of US aggregate returns using a wide range of predictors by providing new evidence for smaller and less market-oriented European countries.

TL;DR: In this paper, the authors analyzed the risk-return trade-off in Europe using recent data from 11 European stock markets and found that the relationship between return and risk is robust across countries despite the conditional volatility model used.

TL;DR: This paper developed a new simultaneous time series model for volatility and dependence in daily financial return series that are subject to long memory (fractionally integrated) dynamics and heavy-tailed densities.

TL;DR: In this article, the authors investigate the pricing implication of liquidity risks in the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005), using multiple liquidity measures and their principal component.

TL;DR: In this article, the authors used U.S. data from 2000 to 2010, a period that includes a large change in market concentration as a result of the collapse of the third largest auditor in 2002.

TL;DR: In this paper, the authors identify the alternative approaches that can be taken to solve agency problems stemming from asymmetries of information: ex-post monitoring through audit and information provision, ex-ante monitoring through boards, and incentivisation through the alignment of managerial incentives with shareholders.

TL;DR: This article found that managers are more likely to resign when their pay relative to their peers in the firm and outside the firm is lower; and firms with greater levels of pay inequality and greater pay inequality relative to benchmark firms experience higher VP turnover.

TL;DR: In this paper, the authors examined how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crisis and examined changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure.

TL;DR: In this article, the authors developed and implemented a dynamic intraday measure of the probability of informed trading that circumvents this aggregation issue and allows for the measurement of information based trading activity at much higher frequencies.

TL;DR: In this article, the authors evaluate the tax clientele hypothesis using a data set of all domestic stock portfolios in the market and find that investment funds that face a higher effective tax rate on dividend income than on capital gains tilt their portfolios away from dividend-paying stocks.

TL;DR: In this paper, the authors propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance, allowing for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintaining stationarity despite such unit-root.

TL;DR: In this article, the authors make two contributions to trying to understand the forward premium anomaly and the apparent breakdowns of Uncovered Interest Rate Parity (UIP ) by investigating the time series properties of the Forward premium reveals either four or five breaks in the last twenty three years and evidence of long memory within each sub period.

TL;DR: In this article, price and earnings momentum by investigating dynamics of cash flow (CF) news and discount rate (DR) news was investigated, and it was shown that before the holding period, winners experience higher DR news than losers, which makes winners display lower ex-ante expected returns than losers.

TL;DR: In this paper, the role of the Tokyo and New York stock exchanges in price discovery for Japanese shares is examined and three approaches are taken to control the size of information and confirm that New York is the efficient side in information assimilation.