Table 9 News decomposition based on VAR estimations
From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Stock market news | Bond market news | ||||||
|---|---|---|---|---|---|---|---|
(I) | (II) | (II) | (I) | (II) | (III) | ||
var(NCF) | 1.24 | 0.94 | 1.20 | var(NCF) | 1.99 | 2.02 | 2.25 |
(95% CI) | (0.91,1.71) | (0.58,1.11) | (0.87,1.65) | (95% CI) | (0.66,7.34) | (0.79,8.20) | (0.79,8.26) |
var(NRR) | 0.02 | 0.01 | 0.01 | var(NRR) | 0.00 | 0.00 | 0.00 |
(95% CI) | (0.01,0.02) | (0.01,0.01) | (0.01,0.02) | (95% CI) | (0.00,0.00) | (0.00,0.00) | (0.00,0.00) |
var (NRX) | 0.48 | 1.10 | 1.23 | var (NRX) | 0.54 | 0.58 | 0.63 |
(95% CI) | (0.34,0.66) | (0.81,1.54) | (0.89,1.73) | (95% CI) | (0.25,1.82) | (0.26,1.80) | (0.28,1.93) |
– 2Cov(NCF,NRR) | 0.11 | – 0.00 | 0.01 | 2Cov(NCF,NRR) | 0.00 | 0.00 | 0.00 |
(95% CI) | (0.07,0.16) | (– 0.03,0.03) | (– 0.03,0.04) | (95% CI) | (0.00,0.00) | (0.00,0.01) | (0.00,0.01) |
– 2Cov(NCF,NRX) | – 0.73 | – 1.02 | – 1.41 | 2Cov(NCF,NRX) | – 1.53 | – 1.86 | – 1.88 |
(95% CI) | (– 1.04, – 0.41) | (– 1.47,– 0.64) | (– 2.01,– 0.90) | (95% CI) | (– 2.27, – 0.95) | (– 3.03, – 1.09) | (– 2.77, – 1.22) |
2*Cov(NRR,NRX) | – 0.11 | – 0.03 | – 0.04 | 2*Cov(NRR,NRX) | – 0.00 | – 0.00 | – 0.00 |
(95% CI) | (– 0.14, – 0.09) | (– 0.06,– 0.01) | (– 0.07,-0.00) | (95% CI) | (– 0.00,– 0.00) | (– 0.00,0.00) | (– 0.00, – 0.00) |