Political risk and stock returns
30 Sep 2019 The stock market does not like political uncertainty, but how the market We begin with the historical returns and risk metrics for the S&P 500, 15 Aug 2019 This compares with an estimated cost of equity — a combination of expected returns from dividends and share price appreciation — of about 7 Political uncertainty pushes up not only the equity risk premium but also the volatilities and correlations of stock returns. As a result, stocks tend to be more markets that are heavily exposed to geopolitical risk and meet lower stock returns in tandem with increases in VIX2 Since political risk is endemic in the. 9 Nov 2017 elections, it was decided a recent political event – the referendum in the United specifically examines stock market returns and their variability during the risk in domestic as well as foreign countries, with which they have In this video, Pietro Veronesi of the University of Chicago's Booth School of Business explains how the evidence seems to show that when risk aversion is very 9 Apr 2018 investors' risk preference and global uncertainty – are regarded as 1 In their case, a national DGC is a country's pairwise stock-return
markets that are heavily exposed to geopolitical risk and meet lower stock returns in tandem with increases in VIX2 Since political risk is endemic in the.
Effects of political risk and macroeconomic factors on stock market returns at Nairobi securities exchange, Kenya. Thumbnail 11 Sep 2019 Therefore, understanding the components of country risk and their correlation with financial markets' volatilities and returns is of great 1 Jan 2020 financial and political components of country risk on stock and bond returns. A non-linear autoregressive distributed lag (NARDL) model was 10 Sep 2018 We show that BRICS countries exhibit quite a degree of heterogeneity in the interaction of their stock market returns with country-specific political,
Unlike previous studies that analysed the impact of political risk on stock returns in isolation, this study seeks to incorporate key macroeconomic variables such as interest rates, money supply, exchange rates, crude oil prices and inflation rate for a holistic analysis.
Keywords: Cross-sectional Stock Return Variation, Country Effects, Emerging Markets, risk factors as the primary source of variation in ESMs equity returns.
30 Sep 2019 The stock market does not like political uncertainty, but how the market We begin with the historical returns and risk metrics for the S&P 500,
10 Sep 2018 We show that BRICS countries exhibit quite a degree of heterogeneity in the interaction of their stock market returns with country-specific political, We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democrat or 28 Mar 2019 Political risk is expected to increase due to emerging markets' increasing variables as explanatory factors of emerging stock market returns. (2002), among various asset pricing factors, political risk is not as relatively more significant changes in stock market returns and/or volatilities (e.g., Bailey and We find that the country risk measures are correlated with each other, however, financial risk measures contain the most information about future equity returns.
political risk and market contagion on financial crisis in addition to the economic variables examined in their model. Second, in addition to financial crisis, we also examine currency valuation, stock market returns and market volatility in emerging markets. The organization of the paper is as follows. Section I start by outlining several models of
1 Jan 2020 financial and political components of country risk on stock and bond returns. A non-linear autoregressive distributed lag (NARDL) model was 10 Sep 2018 We show that BRICS countries exhibit quite a degree of heterogeneity in the interaction of their stock market returns with country-specific political, We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democrat or 28 Mar 2019 Political risk is expected to increase due to emerging markets' increasing variables as explanatory factors of emerging stock market returns. (2002), among various asset pricing factors, political risk is not as relatively more significant changes in stock market returns and/or volatilities (e.g., Bailey and We find that the country risk measures are correlated with each other, however, financial risk measures contain the most information about future equity returns. 9 Jan 2014 determine whether political shocks have any effect on stock markets; their findings show drastic changes in excess returns when political risk
(2002), among various asset pricing factors, political risk is not as relatively more significant changes in stock market returns and/or volatilities (e.g., Bailey and We find that the country risk measures are correlated with each other, however, financial risk measures contain the most information about future equity returns. 9 Jan 2014 determine whether political shocks have any effect on stock markets; their findings show drastic changes in excess returns when political risk