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The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia an international perspective


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Título : The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia an international perspective
Autor : Nieto Doménech, Belén Adoración
Rubio Irigoyen, Gonzalo
Materias: Crisis económicas.Depressions.COVID-19 Pandemic, 2020-Investments - Risk factors.Pandemia de la Covid-19, 2020-Inversiones - Factores de riesgo.
Editorial : MDPI
Citación : Nieto, B. & Rubio, G. (2022). The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia: an international perspective. Journal of Risk and Financial Management, vol. 15, i. 1 (03 jan.), art. 13. DOI: http://dx.doi.org/10.3390/jrfm15010013
Resumen : Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the performance of risk factors during severe economic times across international stock markets. Even more important is to analyze how these factors behave across very different economic crises, such as the COVID-19 pandemic and the Great Recession. Although, the overall results show that the momentum and quality factors are the winners, with the value factor as the loser, this research also reports different responses of factors across crises and countries. The size, value, and defensive factors tend to perform worse during the health crisis relative to the Great Recession, while the momentum factor shows a poor performance during the financial crisis, but a positive one during the outbreak of COVID-19. The quality factor is an extraordinary defensive factor in both crises. Similarly, this paper reports heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great Recession and the COVID-19 crisis.
Descripción : Este artículo se encuentra disponible en la siguiente URL: https://www.mdpi.com/1911-8074/15/1/13
Este artículo de investigación pertenece al número especial "COVID-19?s Risk Management and Its Impact on the Economy".
URI : http://hdl.handle.net/10637/14423
Derechos: http://creativecommons.org/licenses/by/4.0/deed.es
ISSN : 1911-8074 (Electrónico)
Idioma: es
Fecha de publicación : 3-ene-2022
Centro : Universidad Cardenal Herrera-CEU
Aparece en las colecciones: Dpto. Economía y Empresa





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