1,064 research outputs found
Correlation Structure of International Equity Markets During Extremely Volatile Periods
Correlation in international equity returns is unstable over time. It has been suggested that the international correlation of large stock returns, especially negative ones, differs from that of usual returns. It is in periods of extreme negative returns that the benefits of international risk diversification are most desired and that the question of international correlation is most relevant to risk-averse agents. If return distributions are not multivariate normal, the usual standard deviation and correlation of returns do not provide sufficient information. Additional information can be gained by focusing directly on the properties of extreme returns. While the interest in stock market crashes and booms is large, no study has specifically focused on the correlation between large price movements. A major econometric issue is to specify the multivariate distribution of extreme returns implied by a given distribution of returns. In this paper, we work directly on large returns and study the dependence structure of international equity markets during extremely volatile periods. We use the results of extreme value theory to model the multivariate distribution of large returns, using monthly data from January 1959 to December 1996 for the five largest stock markets. We find that the correlation of large positive returns are not inconsistent with the assumption of multivariate normality. However, the correlation of large negative returns is much greater than expected, suggesting that the benefits of international risk reduction in extremely volatile periods have been overstated.international equity market; volatility; correlation; extreme value theory
Extreme correlation of international equity markets
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using "extreme value theory" to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.International equity markets; volatility; correlation and extreme value theory
On the term structure of default premia in the Swap and Libor markets
Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. While these models do not focus on the relation between corporate yields and swap rates (the LIBOR-Swap spread), they imply that the term structure of corporate yields and swap rates should be identical. As documented previously (e.g. in Sun, Sundares and Wang (1993)) this is counter-factual. Here, we propose a simple model of the (complex) default risk imbedded in the swap term structure that is able to explain the LIBOR-swap spread. Whereas corporate bonds carry default risk, we argue that swaps should bear less default risk. In fact, we assume that swap contracts are free of default risk. Because swaps are indexed on "refreshed"-credit-quality LIBOR rates, the spread between corporate yields and swap rates should capture the market's expectations of the probability of deterioration in credit quality of a corporate bond issuer. We model this feature and use our model to estimate the likelihood of future deterioration in credit quality from the LIBOR-swap spread. The analysis is important because it shows that the term structure of swap rates does not reflect the borrowing cost of a standard LIBOR credit quality issuer. It also has implications for modeling the dynamics of the swap term structure.Credit risk; asset pricing; international finance
What Determines Expected International Asset Returns?
This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns.
What Determines Expected International Asset Returns?
This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market porfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns.International investment, Asset pricing, Latent variables, Exchange rate risk, Factor models
Story Parsing and Adventure Generation with Python and Postgres
Dungeons and Dragons is a tabletop roleplaying game that allows players to assume the roles of adventurers in medieval fantasy setting while one player is tasked as playing the role of the Dungeon Master (DM). This player facilitates the story and all other characters not played by the other players. Adventure Day is a toolset for Dungeons and Dragons 5th Edition that assists Dungeon Master in formatting their Story as well as gathering useful details for the challenges presented within that adventure. Adventure day aims to accomplish this by associating relevant monster data from postgres database while using the text input of a desired adventure parsed through a Python application to filter for highlighted terms and take action based on a defined dictionary within the same text file. Adventure day will be capable of building encounters with monsters specified by monster environment and/or abilities that they possess, provide inspiration for non-player characters that the DM will portray via personality traits, and finally help to scale monster difficulty depending on the power level of the player’s characters. Adventure day will work in tandem with a helper site that formats Markdown text into a format that mirrors that of published material
The World Price of Foreign Exchange Risk
We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim of the paper is to determine whether these additional risk premia empirically playa significant role in the pricing of securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature which points out that stock market returns may, to some extent, be predicted on the basis of a number of instrumental variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia have been tests of the unconditional version and have been inconclusive.
An Analysis of the Impact of Selected Factors on the Bond Market
Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non-currency return and currency return. The currency return is defined by exchange rate risk and the non-currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a rich dataset from Morningstar in the period 2001-2017 we employ the linear regression analysis method OLS with fixed effects. We apply the model for different bond yields and different time-series. The factors influence bond price differently for each yield and each time-series. Our results confirm that currency movements significantly affect the bond prices.O
Varjuteatri esteetika
Käesolev töö uurib varjuteatri kujunemise ajalugu ning annab laiema ülevaate varjuteatri esteetikast. Töö eesmärk on vaadata, kuivõrd varjude kasutamine teatrikeelt avardab või kitsendab ning milliste vahenditega ja kuidas on varjuteatris kunstilist infot edastatakse. Analüüsis keskendun Karlova Teatris etendunud Leino Rei varjulavastusele „Tähelaps“, mis on dramatiseering Oscar Wilde’i samanimelise lühijutu põhjal, ning Vabal Laval etendunud Helen Rekkori visuaalteatri lavastusele „Süüria rahvalood“, mille alustekstiks on Süüria poeedi Samir Tahhani kogutud Süüria muinasjutud. Analüüsiks on valitud just need lavastused, sest mõlemad on varjude kasutamise ja tehnikate poolest erinevad ning pakuvad seeläbi võrdlusvõimalust
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