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Deze masterproef onderzoekt de invloed van credit downgrades uitgegeven door kredietbeoordelaars, zoals Moody's, Fitch en S&P, op de Europese obligatiemarkt. De focus ligt voornamelijk op het concept van financiële besmetting. Aan de hand van een algemene regressie wordt de invloed van een negatieve kredietscore op de nationale obligatiemarkt onderzocht. Vervolgens wordt via een event study de invloed van diezelfde kredietwijziging aangetoond op de volledige Europese obligatiemarkt. Het eindresultaat bleek significant. Door de recente politieke en financiële eenmaking in Europa worden nationale schokken inderdaad doorgegeven aan andere lidstaten waarop de schok de facto niet van toepassing is. Er is sprake van financiële besmetting op de Europese obligatiemarkt.
Credit rating changes. --- Economische systemen. --- Sovereign bond yield spread. --- Sovereign debt crisis. --- Spillover effects.
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This book is comprised of articles published in a Special Issue of the Journal of Risk and Financial Management entitled "Frontiers in Asset Pricing" with Guest Editors Professor James W. Kolari and Professor Seppo Pynnonen. The book contains papers in various areas related to asset pricing: (1) models; (2) multifactors; (3) theory; (4) empirical tests; (5) applications; (6) other asset classes; and (7) international tests.
Philosophy --- forecasting --- commodity market --- metals --- term structure --- yield spread --- carry cost rate --- hedge ratio --- conditional hedge ratio --- bias adjustments --- earnings --- announcements --- options --- informed trading --- net buying pressure --- volatility --- direction --- at-the-money --- out-of-the-money --- deep-out-of-the-money --- asset pricing --- S&P 500 index --- survivor stocks --- risk factors --- momentum --- Bitcoin --- cryptocurrencies --- outliers --- GARCH-jump --- time-varying jumps --- zero-beta CAPM --- return dispersion --- expectation-maximization (EM) regression --- latent variable --- free-boundary problem --- pairs trading --- stochastic control --- trading strategies --- transaction costs --- transaction regions --- finance --- economics --- event study --- clustered event days --- cross-sectional correlation --- cumulated ranks --- rank test --- standardized abnormal returns --- market index --- market factor --- multifactors --- efficient portfolios --- efficient market hypothesis --- unit root --- spectral analysis --- abnormal returns --- pricing --- market volume --- portfolio profitability --- Poisson model
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