Suchergebnisse

The thesis consists of three chapters. The first chapter provides a mispricing explanation for the risk-return relationship on days with and without macroeconomic news announcements. It demonstrates the importance of investor belief dispersion and short-selling constraints in shaping the security market line on those two types of days. The second chapter utilizes a large international sample and studies the firm and country characteristics that determine stock return exposures to periods of market stress. The third chapter use tick-by-tick data of benchmark stock index and government bond futures and identify and characterize occurrences of flights-to-safety at high frequency across 10 countries over the last 20 years.