Aug 2026· Journal of futures markets· 0 citations· 45 references
Abstract
Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do depend on issuer default risk, but (ii) this dependency is under‐proportional. Hence, retail investors are only partially compensated for bearing issuer default risk. A long‐term analysis covering the global financial crisis, the European debt crisis, and the succeeding calm period, as well as supporting evidence from the coronavirus crisis, provides patterns consistent with a fading attention hypothesis: When default risk has left the focus of retail investors, they are no longer compensated for it, even if it becomes substantial, as in the early months of the coronavirus crisis.
This paper examines the historical and projected equity risk premium (ERP) for the Russian stock market in view of the narrowing investment horizons of market participants and the increasing reliance on domestic resources. The study aims to substantiate the long-term advantages of equity investments. The methodology em...
A. Radygin, A. E. Abramov, M. Chernova· Economic Policy· 0 citations
Market timing models aim to anticipate short-term market movements according to a given source of information. Such information could be extracted from an analysis of history or a forecast of the future. In fact, the financial markets are driven mainly by the expectations of market investors and by exogenous sources....
S. Vitali, Miloš Kopa, R. Domínguez et al.· Annals of Operations Researc...· 0 citations
Using annual EU-27 data for 1995-2024, we examine whether sovereign ratings mainly reflect common macro-fiscal fundamentals or whether agency-specific departures from that benchmark are also priced into sovereign funding conditions. Pooled ordered probits and a machine-learning diagnostic layer for nonlinearities and t...
António Afonso, José Alves, Periklis Gogas et al.· CESifo working papers· 0 citations
This study investigates the association between the Russia-Ukraine war and the Polish stock market, distinguishing between energy price exposure and a geopolitical sentiment channel. Using daily data from 1 November 2021 to 31 January 2025 within a GARCH framework, it analyses return dynamics across sectoral indices. E...
Anna Czapkiewicz, Natalia Głodek, Dawid Kopeć· Bank i Kredyt· 0 citations
This article analyzes the current situation on the Russian stock market, characterized by negative dynamics in key indices, declining share prices of major issuers, and growing tensions in the corporate debt segment. The reasons for the precipitous decline in individual company shares are examined, related to dividend...
E. I. Luneva· EKONOMIKA I UPRAVLENIE: PROB...· 0 citations
We use cookies to run the site and, with your consent, for analytics and to show ads.
See our Cookie Policy.
