Browsing by Subject "osakemarkkinatuotot"

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  • Fungáčová, Zuzana; Godlewski, Christophe J.; Weill, Laurent (2015)
    Bank of Finland Research Discussion Papers 19/2015
    Published online in Quarterly Review of Economics and Finance, April 2019
    We study the effect of bank loan and bond announcements on borrower’s stock price. We apply an event study methodology on a sample of companies from 17 European countries and find that debt announcement generates a positive stock market reaction. However, our main conclusion is that the issuance of a loan exerts a significantly stronger reaction than does the issuance of a bond. This finding supports the hypothesis that loan issuance has a positive certification effect. The analysis of determinants of abnormal returns following debt announcements shows a positive impact of financial development and a negative effect of the Eurozone crisis.
  • Faria, Gonçalo; Verona, Fabio (2018)
    Journal of Empirical Finance January 2018
    Published in Bank of Finland Research Discussion Papers 29/2016.
    We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method significantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures different frequencies of stock market returns.
  • Faria, Gonçalo; Verona, Fabio (2016)
    Bank of Finland Research Discussion Papers 29/2016
    Published in Journal of Empirical Finance, 45, January, 2018, 228–242 https://doi.org/10.1016/j.jempfin.2017.11.009
    We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures di erent frequencies of stock market returns.
  • Suomen Pankki (2007)
    "Pääkirjoitus Suurten avotalouksien makroteoriaa: vaihtotasedynamiikka ja talouspolitiikan koordinaatio Pankkien luottopäätökset ja osakemarkkinatuotot Voidaanko valuuttakurssilla pienentää Kiinan kauppataseen ylijäämää?"