期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
出版年度：2018
卷号：2018
页码：1-62
出版社：Centro de Estudios Monetarios y Financieros, Madrid
摘要：We estimate the time-varying skewness of European banks' stock and sovereign bond returns using
quantile methods. We obtain a negative relationship between sovereigns' and banks' return
asymmetries, which we relate to the safe haven features of sovereign debt. However, this feature
reverses for peripheral European countries (GIIPS). Furthermore, although better capitalized and
less risky banks tend to offer less negatively skewed stock returns, these benefits do not reach
similarly strong GIIPS-headquartered banks. Finally, we identify a risk premium related to sovereign
negative skewness for both large financial and non-financial European firms, which is stronger for
firms headquartered in GIIPS.
关键词：Banks; sovereign bonds; conditional asymmetry; negative risk premium
