203 news articles are available
Three themes for European equities to be back in focus
Volatility is here to stay. Markets are hostages of very volatile news flow. Trade-related anxiety is driving the swing (pessimism of a broken deal between China and US led to a correction in May while the renewed hope of a partial deal brought equity markets back to yearly highs in June).
Variance Premium, Downside Risk, and Expected Stock Returns
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. The total variance risk premium (VRP) represents the premium paid to insure against fluctuations in bad variance (called bad VRP), net of the premium received to compensate for fluctuations in good variance (called good VRP).
International Stock Market Co-Movements and Politics-Related Risks
We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic policy risk. We uncover the surprisingly low correlation between the two variables, and show they are priced differently by the market.
Pricing Individual Stock Options using both Stock and Market Index Information
When it comes to individual stock option pricing, most applications consider a univariate framework. From a theoretical point of view this is unsatisfactory as we know that the expected return of any asset is closely related to the exposure to the market risk factors.
Investing in the Changing Shape of Emerging Markets
The emerging markets (EM) universe has experienced significant changes in the last decade with the further addition of investible countries (ie China A shares in 2018), the surge in the size of EM bond markets and the further development of the local currency bond markets.
The Road Back to the 70s Implications for Investors
History shows that the economy and financial markets are dominated by long-term regimes that at some point come to a break point, where one regime gives way to a new one. This shift may not be easy to detect. Trapped in their comfort zones, with a short-term perspective, few may see it coming.
The 2020 US Presidential Election: Another Close Race?
President Donald Trump’s performance on the US economy gives him a significant advantage over his Democratic rivals heading into the 2020 election.
Cross Asset Investment Strategy - June 2019
Find the latest edition of the monthly publication of our Research Team.
Indian elections: political continuity is positive but reform is what matters most
Election results: Prime Minister Modi led the National Democratic Alliance (NDA) to a sweeping victory, with a full majority in Parliament and therefore significant political capital.