Výsledky vyhledávání - "Giovanni Pagliardi"

Global political risk and international stock returns

Autor: Giovanni Pagliardi, Stavros Zenios, Vito Gala

Publikováno v: Journal of Empirical Finance. 72:78-102

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::060f2c33fc66bdcb9c5cc9cef5feb7f5
https://doi.org/10.1016/j.jempfin.2023.03.004

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Managing Political Risk in International Portfolios

Autor: Giovanni Pagliardi, Somayyeh Lotfi, Stavros A. Zenios, Efstathios Paparoditis

Publikováno v: SSRN Electronic Journal.

We show that internationally diversified portfolios carry sizeable political risk premia. Using a portfolio selection model with tail risk, we obtain political efficient frontiers from skewed return distributions to manage political risk, and design

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e4a42dc605d999db57bb82e4bada1d56
https://doi.org/10.2139/ssrn.3891070

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International Stock Market Co-Movements and Politics-Related Risks

Autor: Giovanni Pagliardi, Patrice Poncet

Publikováno v: SSRN Electronic Journal.

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 diffe

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::34083cb02d1aefc88684352a4157be22
https://doi.org/10.2139/ssrn.3351453

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A Political Capital Asset Pricing Model

Autor: Patrice Poncet, Giovanni Pagliardi, Stavros A. Zenios

Publikováno v: SSRN Electronic Journal

We construct a bivariate factor of political stability and economic policy confidence and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, Fama-French five-factor mod

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4bd8b13daf1ab72c7d3b5e9caadd417
https://doi.org/10.2139/ssrn.3351403

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Politics, Policy, and International Stock Returns

Autor: Giovanni Pagliardi, Vito D. Gala, Stavros A. Zenios

Publikováno v: SSRN Electronic Journal

Using novel measures of politics-policy uncertainty we document predictable variation in stock market returns across countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to larg

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e0c3ec6b12f0a1d65b65b55d0a5343c3

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Tail Relation between Return and Volume in the US Stock Market: An Analysis Based on Extreme Value Theory

Autor: Giovanni Pagliardi, François Longin

Publikováno v: SSRN Electronic Journal.

Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (pe

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f66ad9c98e6d871fbedf5019c0b1cccc
https://doi.org/10.2139/ssrn.2805019

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Your Vote and Your Confidence Matter: How to Explain and Exploit International Stock Market Co-Movements?

Autor: Giovanni Pagliardi

Publikováno v: SSRN Electronic Journal.

We investigate the determinants of international stock market co-movements, shedding light on the relevance of political and confidence factors. We propose a new characterization for the channel interconnecting politics and financial markets, disenta

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4efea096335242513ca38386ddb35aaf
https://doi.org/10.2139/ssrn.2805886

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