Global ETD Search
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Showing 1 to 6 of 6 for “"macroeconomic announcements"”.
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Essays on Macroeconomic Announcements and Asset Pricing
… 100% of the equity premium by trading on select macroeconomic announcement days identified by prior literature. We use day-of-the-month fixed effects to control for announcement clustering and find that macroeconomic announcements as a whole are responsible for about half of the equity premium. …
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Three Essays on Empirical Asset Pricing
… of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine the out-of-sample forecasting ability and find this model provides a better performance compared to the usual GARCH(1,1) volatility model. In addition, we find that …
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Level-dependent volatility in jumping short-rate models
… to the short-term interest rate to simulate macroeconomic announcements and other sudden developments. This dissertation found that the prices derived from the implicit finite difference scheme agree with those derived from Monte-Carlo simulations and, where applicable, analytical solutions. …
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Implementing short-rate models with jumps at deterministic times
Macroeconomic announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An …
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Essays in Macro Finance
… the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a …
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Effect of Monetary Policy Announcements on Stock Prices in South Africa
… return, making stock prices largely sensitive to macroeconomic announcements. The purpose of the study is to define the extent to which the monetary policy rate announcements influence the behaviour of stock prices for firms that are listed on the Johannesburg Stock Exchange (JSE). A general …