14 research outputs found
Consumer sentiment and Indonesia’s stock returns
No full text© Buletin Ekonomi Moneter dan Perbankan 2020. All Rights Reserved. This paper examines whether consumer sentiment predicts the excess returns of the aggregate market and nine industries from the Indonesia equity market. We discover evidence of predictability for three industries; however, the magnitude of predictability are heterogeneous. Some sectors are predictable during expansions, whereas others are only predictable during recessions. There is no evidence of the reversal of the impact of consumer sentiment on stock returns. We conduct several robustness tests that include (i) estimating a predictive regression model with a feasible quasi-generalized least squares–based estimator and (ii) accounting for structural breaks. These tests confirm the baseline results
Commodity futures returns and policy uncertainty
No full text© 2020 Elsevier Inc. This paper investigates whether economic policy uncertainty is predictable using three sets of commodity futures market variables, namely the equal-weighted average of futures excess returns, the excess returns on a portfolio of going long in backwardated commodities, and the excess returns on a portfolio of going short in contango commodities as predictors. We find significant evidence of both in-sample and out-of-sample predictability. Combination forecasts also reveal strong evidence of predictability. Our findings remain unchanged following several robustness tests
Financial news and CDS spreads
No full text© 2020 Elsevier B.V. This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits
Industry return predictability using health policy uncertainty
No full textThis paper examines how a change in health policy uncertainty affects US industry returns using monthly data from January 1985 to September 2020. We employ in-sample and out-of-sample analyses, and we find evidence that 25 out of 49 considered industries are predictable during the health crisis periods, including severe acute respiratory syndrome and the ongoing coronavirus pandemic. The out-of-sample tests corroborate the evidence for the in-sample predictability. Furthermore, using a mean–variance utility function-based trading strategy, we observe that investors can use this simple tool for their trading strategies and make profits from 2.99 to 11.44% per annum. Our findings are robust after accounting for different business cycles, macroeconomic factor effects, the fluctuation in economic policy uncertainty, and different pandemic phases. These results complement the existing literature on industry return predictability and have potential implications for asset pricing and risk management
Tail risk network analysis of Asian banks
No full textThis study aims to investigate the tail risk dependence of individual banks in Asian emerging markets. Using value at risk and conditional value at risk to measure tail risk and employing the least absolute shrinkage and selection operator regression to build the network, this study analysed interconnectedness at three levels: system-wide, country level and individual bank level. This study yields three key findings. First, banks in Asian emerging markets have a notably high tail risk network, particularly during more extreme market conditions. Second, the smaller and more interconnected banks are the most systemically important in the region, rather than the largest banks. Third, the time-varying results suggest that tail risk dependence, primarily attributed to cross-country connectivity, increased after the global financial crisis but has decreased in recent years
Does tourism predict macroeconomic performance in Pacific Island countries?
No full textDoes tourism predict macroeconomic performance in Pacific Island countries
Global uncertainty and economic growth–evidence from pandemic periods
No full textThis paper investigates whether global uncertainty predicts economic growth rates using a global sample of 136 countries. We use the panel regression model and find strong evidence that global uncertainty negatively predicts the economic growth rate. Further, the negative impact of global uncertainty on economic growth rates is amplified during pandemic periods versus non-pandemic periods. Our main findings hold after a range of robustness tests
