Conditional interest rate risk and the cross‐section of excess stock returns

Atanasov, Victoria

doi:10.1016/j.rfe.2016.02.003

Cited by 3 publications

(2 citation statements)

References 53 publications

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“…A significant number of studies has been devoted to investigate the relationship between stock returns and a range economic indicators and variables across different stock markets (e.g., Cheung and Ng, 1998;Arouri and Nguyen, 2010;Atanasov, 2016). For instance, incorporated a number of the US macroeconomic variables as proxies for the systematic risk factors that determine the stock returns.…”

Section: Introductionmentioning

confidence: 99%

An analysis of United States on Dow Jones Sustainability Index

Giannarakis

Partalidou

Zafeiriou

et al. 2016

Investment Management and Financial Innovations

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This paper examines the effect of various economic and financial indicators on the Dow Jones Sustainability Index (DJSI) returns. In particular, four explanatory variables are employed, namely United States (US) 10 Year bond value, gold price, Trade Weighted U.S. Dollar Index and Consumer Sentiment Index calculated by Michigan University. A generalized autoregressive conditional heteroskedasticity (GARCH) model is applied over DJSI United States which incorporates socially responsible companies for the period August, 1999 to May, 2016 using monthly data. The empirical results indicate that the consumer sentiment and the bond market exert positive impact on the DJSI US, whereas the gold and currency market affects it negatively. In addition, the structural analysis of DJSI US returns volatility showed that the US trade balance has a stabilizing effect on the conditional variance of the DJSI US return series. JEL Classification: G1, F2, Q40, M21. Keywords: Dow Jones Sustainability Index, bond value, gold, exchange rate, consumer sentiment

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Section: Introductionmentioning

confidence: 99%

An analysis of United States on Dow Jones Sustainability Index

Giannarakis

Partalidou

Zafeiriou

et al. 2016

Investment Management and Financial Innovations

View full text Add to dashboard Cite

show abstract

“…In addition, the impact is greater on interest income margins than on interest expense margins, and banks with short maturity balance sheets are more affected than those with long maturity balance sheets. Furthermore, Atanasov (2016) examines the relationship between the cross-sections of US stock returns and conditional interest rate risk over the sample period of 1963 to 2014 [20]. By adopting various measures of interest rates and different empirical specifications, the author argues that excess stock returns reflect a premium for conditional upside interest rate risk which is higher than the premium for conditional downside interest rate risk.…”

Section: Review Of the Empirical Literaturementioning

confidence: 99%

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

Idris¹

2019

IJFBR

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This study examines the impact of interest rate on economic growth in Nigeria using annual time series data spanning 1980 to 2017. This phenomenon is particularly interesting from a theoretical standpoint as well as for the understanding of financial market mechanisms. The Vector Autoregression (VAR) model and the Granger causality test are employed to estimate the model coefficients and measure the causal relationship among the concerned variables. From the VAR-based impulse response function and its corresponding variance decomposition estimates, result shows the existence of negative relationship between interest rate and economic growth in Nigeria. In addition, the Granger causality test indicates the presence of bi-directional causal relationship between interest rate and economic growth. Consequently, monetary authorities should designed and implement interest rate policies that enhance investment and take into cognisance other elements that retard investment progression. To attain the desired growth level in Nigeria, monetary authorities and policy makers should adopt policy measures that are growth oriented and have the potentials to accelerate the economy to higher productivity and sustainable economic growth.

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Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective

Majerowska

Bednarz

2021

Przegląd Statystyczny

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The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals.

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Conditional interest rate risk and the cross‐section of excess stock returns

Cited by 3 publications

References 53 publications

An analysis of United States on Dow Jones Sustainability Index

An analysis of United States on Dow Jones Sustainability Index

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective

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