scholarly journals Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Stock Returns ◽  
Euro Area ◽  
Macro News

scholarly journals Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis

2016 ◽  
Vol 45 ◽  
pp. 180-188 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Stock Returns ◽  
Euro Area ◽  
Macro News

scholarly journals Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Stock Returns ◽  
Euro Area ◽  
Macro News

scholarly journals Macro news and bond yield spreads in the euro area

2017 ◽  
Vol 24 (2) ◽  
pp. 114-134 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

scholarly journals Expectations or macroeconomic innovations: What drives the stakeholders’ decisions? Evidence from the euro area

2015 ◽  
Vol 12 (3) ◽  
pp. 185-189
Author(s):  
S. Ali Shah Syed ◽  
Hélène Syed Zwick
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Euro Area ◽  
Stock Markets ◽  
Empirical Relationship ◽  
Equity Market ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Long Run ◽  
New Evidence

This study brings new evidence supporting the existence of the linkage between equity market and macroeconomic variables in the Euro area. Using the monthly data from January 1999 to September 2014 we show empirical relationship between stock returns and interest rate in the 19 countries using the euro. The results confirm that in Euro Area stock markets, the stockowners decisions are significantly influenced by the macroeconomic expectations, particularly the long run interest rate

scholarly journals Macro News and Bond Yield Spreads in the Euro Area

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

Wealth-to-income ratio and stock returns: evidence from the Euro Area

2012 ◽  
Vol 19 (7) ◽  
pp. 619-622 ◽  
Author(s):  
Ricardo M. Sousa
Keyword(s):  
Stock Returns ◽  
Euro Area ◽  
Income Ratio

scholarly journals Macro News and Bond Yield Spreads in the Euro Area

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

Discretionary fiscal policy in the Euro area: Past, present and future

2020 ◽  
pp. 55-85
Author(s):  
Francesco Caprioli ◽  
Marzia Romanelli ◽  
Pietro Tommasino
Keyword(s):  
Fiscal Policy ◽  
Euro Area ◽  
Discretionary Fiscal Policy

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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