This dissertation develops a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price...

Es wird wissenschaftlich kontrovers diskutiert, ob kausal schlüssige und empirisch robuste Befunde für die Beeinflussung der "realen" Lebensmittelpreise durch Spekulanten vorliegen. Die korrelative Koinzidenz von ansteigender Terminmarktspekulation und einem steigenden Preisniveau lässt auf...

This Internet Appendix provides supplementary results to the main analyses in Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk.The paper to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2635545"...

Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004-2011, we show firms exposed to better property rights institutions through their foreign asset positions (Institutional channel) and firms whose stocks are cross-listed on exchanges with stricter...

This Internet Appendix provides supplementary results to the main analyses in "Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk" by Lee, Naranjo, and Sirmans (2014).The paper to which these Appendices apply is available at the following...

Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004-2011, we show firms exposed to better property rights institutions through their foreign asset positions (Institutional channel) and firms whose stocks are cross-listed on exchanges with stricter...