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

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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

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