The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

I study financial product innovation in a model with two classes of agents: “sophisticated” and “unsophisticated.” Unsophisticated agents are hit with frictions that lower the return to a conventional asset they hold. Sophisticated agents construct financial innovations that are perfect...

Purpose - Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as convexity arbitrage) in financial praxis. This...

This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary...

World financial centers have an impact on the economies around the world. This particularly applies for the US equity market. Transactions which are performed on the US market define market trends in most of the world's financial markets, the only question that arises "is to what extent"....

The aim of the research paper is to present empirical results on a tested framework of factors influencing selected frontier stock markets of the Western Balkan countries in their accession path to the European Union. These stock markets are juxtaposed with the frontier stock mar ket of Bulgaria...

This paper examines the impact of both bank- and market-based financial development on economic growth in South Africa during the period from 1980 to 2012. Unlike some previous studies, the current study employs means-removed average to construct both bank- and market-based financial development...

The study investigates the role of financial development in boosting the investment efficiency of firms' investments in China. Using a large sample of firm-level financial data and country level economic data over the period 2004-2015, present study creates a link between financial and real...