Arbeitspapier
A prolonged period of low interest iates: Unintended consequences
Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that market and average idiosyncratic volatility and kurtosis are significantly priced by investors mainly in the long-run even if controlled by market moments and other factors, while skewness is mostly short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term structure of skewness risk and upwardsloping term structure of kurtosis risk, moreover the term structures connected to market skewness risk and average idiosyncratic skewness risk exhibit different dymanics.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Occasional Paper ; No. 1/2021
- Klassifikation
-
Wirtschaft
Monetary Policy
Central Banks and Their Policies
- Thema
-
financial stability
financial vulnerabilities
low interest rates
monetarypolicy
natural rate of interest
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Malovaná, Simona
Bajzík, Josef
Ehrenbergerová, Dominika
Janků, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Malovaná, Simona
- Bajzík, Josef
- Ehrenbergerová, Dominika
- Janků, Jan
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2021
Ähnliche Objekte (12)
Unintended Consequences?
Unintended Consequences of Conflict of Interest Disclosure: a Psychological Perspective
Environment, energy, and unintended consequences
Foreign Aid and Its Unintended Consequences
Unintended consequences of "mandatory" flood insurance
Unintended Consequences of Money-Laundering Regulations
Solar Rebound - The Unintended Consequences of Subsidies
Residential energy efficiency retrofits: Potential unintended consequences
Unintended consequences : business challenges, implications and opportunities
Intended and Unintended Consequences of Birthright Citizenship
The Unintended Consequences of Meritocratic Government Hiring
The Unintended Consequences of Mandatory Due Diligence
Unintended Consequences?
Unintended Consequences of Conflict of Interest Disclosure: a Psychological Perspective
Environment, energy, and unintended consequences
Foreign Aid and Its Unintended Consequences
Unintended consequences of "mandatory" flood insurance
Unintended Consequences of Money-Laundering Regulations
Solar Rebound - The Unintended Consequences of Subsidies
Residential energy efficiency retrofits: Potential unintended consequences
Unintended consequences : business challenges, implications and opportunities
Intended and Unintended Consequences of Birthright Citizenship
The Unintended Consequences of Meritocratic Government Hiring
The Unintended Consequences of Mandatory Due Diligence
Unintended Consequences?
Unintended Consequences of Conflict of Interest Disclosure: a Psychological Perspective
Environment, energy, and unintended consequences
Foreign Aid and Its Unintended Consequences
Unintended consequences of "mandatory" flood insurance
Unintended Consequences of Money-Laundering Regulations
Solar Rebound - The Unintended Consequences of Subsidies
Residential energy efficiency retrofits: Potential unintended consequences
Unintended consequences : business challenges, implications and opportunities
Intended and Unintended Consequences of Birthright Citizenship
The Unintended Consequences of Meritocratic Government Hiring