1,720,975 research outputs found
Financial integration estimation with realized measures
Full text linkThe objective of this study is to provide a new evidence on time-varying equity market integration, employing alternative econometric specifications of the conditional covariance process. Differently from the current literature on the topic, we specify alternative econometric models for the conditional covariance of stock indexes which include as a measure of past variability the monthly realized covariances. We analyze the degree of integration with
the rest of the world of European equity markets and its variation through time. We cast our analysis in the framework provided with by the International Asset Pricing Model (IAPM). This model accommodates the evolving market structure from segmentation to integration as well as intermediate cases, depending on the existence of barriers to investments and the availability of substitute assets. Our analysis provides evidence that in recent years
most of European Markets become more integrated with the world market. The local risk factor does not seem to be a determinant factor in the European markets, in the sample period considered. Its contribution to the total time-varying risk premium is only marginal
Monitoring Financial integration by using price-based indicators
Full text linkWe measure EU integration using stock market prices. We review the relevant literature and provide two separate empirical applications to measure the financial integration in the European stock markets. The first application is based on a purely data driven methodology. Our aim is that of extracting a statistically sound measure of integration across EU countries based on Principal Component Analysis. By using European stock market returns from January 2005 to December 2016, we observe a decrease in price integration during the European sovereign crisis and a recovery thereafter especially in the euro-area. We
find that the behavior of EA distressed countries, with their high share of idiosyncratic risk during the sovereign crisis, shape the whole EU28 measure of integration. The second approach is based on a theoretical model characterizing and assessing the degree of integration of European equity markets vis á vis the world market. Using monthly returns from 1995 to 2016 we find that the main European stock markets become more integrated with the world market especially in recent years. Finally, we compute a country specific time-varying measure for the cost of non-integratio
Measures and drivers of financial integration in Europe
Full text linkThe report contains a review of the literature on price based measures of financial markets integration and computes three indicators of financial integration in the EU28 equity and bond markets. Following the idea that in more integrated markets shocks transmit more easily, the common rationale for the three indicators is that of measuring the extent to which domestic stock (bond) market volatility incorporates external shocks. We use a multivariate GARCH and a common factor portfolios models to derive the indicators providing also a battery of robustness checks to test the validity of our results and the assumptions of the models. Finally we investigate the drivers of integration in the equity market by estimating a panel regression relating integration, as measured by common factor portfolios, with many macro and institutional variables.JRC.B.1 - Finance and Econom
Common factors behind companies’ Environmental ratings
No full textThe increasing interest in sustainability within economics and finance has led to the widespread adoption of Environmental, Social, and Governance (ESG) metrics, expressed as ratings or indices, to assess the sustainable performance of companies. However, inconsistencies among data providers stem not only from definitional differences but also from disagreements on how to measure ESG factors. This paper proposes a novel approach by conversely focusing on ESG factors common to data providers. Through three empirical approaches – correlation analysis, principal component analysis, and panel data regressions – we aim to understand the shared components shaping common ESG metrics, particularly in the Environmental Pillar. Our findings emphasize a limited number of indicators that act as common factors across three providers, primarily concerning managing natural resources. This commonality emerges despite the different perspectives adopted by the rating agencies — such as risk management, corporate impact management, and integration into corporate strategy. This analysis offers valuable insights for companies, financial institutions, practitioners, scholars, and policymakers, enabling more concise information for analyses and decision-making in their respective fields
Stock Price Effects of Climate Activism: Evidence from the First Global Climate Strike
Full text linkThe first Global Climate Strike on March 15, 2019, represented a historical turning point in climate activism. We investigate the cross-section of stock price reactions to this event for a large sample of European firms. The strike's unanticipated success caused a decrease in the stock prices of carbon-intensive firms. The effect appears to be driven by the increased public attention to climate activism. Furthermore, after the first Global Climate Strike financial analysts downgraded their longer-term earnings forecasts on carbon-intensive firms
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Estimation of potential benefits of the implementation of the fundamental review of the trading book and leverage ratio
Full text linkThe Fundamental Review of the Trading Book (FRTB) introduces changes in capital requirements as a consequence of changes in the calculation of risk weighted assets (RWAs), as agreed in the Basel Committee on Banking Supervision. This report performs an ex-ante assessment of the benefits of this new legislative proposal and is included as an annex to the Impact Assessment of the Capital Requirement Regulation II (CRR II).
The analysis is conducted by estimating the required variation in banks’ capital following the implementation of the legislative changes by using econometric and statistical techniques. The estimated capital requirements are then used to feed a simulation model of losses originating from the banking sector in the event of a banking crisis.
Results of the crisis simulation before and after the introduction of the legislative changes are compared to arrive at an estimation of the impacts. Benefits are measured as reduction in banks’ losses that need to be absorbed by different stakeholders, starting from shareholders and including the whole loss absorption cascade and financial safety net (i.e. bail-in and resolution funds).
The main conclusions are:
1. If one ignores the leverage ratio (LR) requirement and only focusses on the impact of the FRTB, results are the following:
a. When assuming banks’ capital equal to the minimum capital requirement (MCR), the implementation of the FRTB implies higher capitalization levels/needs due to higher RWAs. The estimated reduction in potential public finance contingent liabilities from the banking sector in case of a crisis similar to the last one is of 15%.
b. However, when considering the excess capital buffers which the vast majority of banks have set aside over the last few years, the implementation of the FRTB does not imply additional capital needs to meet the increased requirements and does not reduce potential contingent liabilities from the banking sector compared to the status quo. In fact, if buffers are not increased, contingent financial liabilities would increase, owing to increased recapitalization needs following the increase in RWAs.
2. Irrespective of whether RWAs are computed following the current regulation or under the FRTB, capitalization levels/needs tend to be higher under an LR requirement. Moreover, for all banks for which the LR requirement would be binding, recapitalization needs would increase in case of crisis in case no additional buffers on top of the minimum LR requirement would be held. However, if we assume that banks will hold additional “conservation” buffer on top of the LR, the amount of potential contingent liabilities can be reduced up 48% with the implementation of the FRTB.JRC.B.1 - Finance and Econom
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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