Similar Search Results

Identification through Heteroskedasticity : Measuring "Contagion

Rigobon, Roberto - 2000

In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...

Persistent link: https://www.econbiz.de/10012471283

On the Measurement of the International Propagation of Shocks

Rigobon, Roberto - 1999

In this paper I offer an alternative identification assumption that allows one to test for changing patterns regarding the international propagation of shocks when endogenous variables, omitted variables, and heteroskedasticity are present in the data. Using this methodology, I demonstrate that...

Persistent link: https://www.econbiz.de/10012471430

No Contagion, Only Interdependence : Measuring Stock Market Co-movements

Forbes, Kristin - 1999

This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure...

Persistent link: https://www.econbiz.de/10012471523

Noise Traders

Dow, James - 2006

Noise traders are agents whose theoretical existence has been hypothesized as a way of solving certain fundamental problems in Financial Economics. We briefly review the literature on noise traders. The is an entry for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan:...

Persistent link: https://www.econbiz.de/10012466412

Asset Prices and Exchange Rates

Pavlova, Anna - 2003

the data, and the point estimates are in line with the implications of our theory. Furthermore, the uncovered interest …

Persistent link: https://www.econbiz.de/10012468864

Equilibrium Asset Prices Under Imperfect Corporate Control

Dow, James - 2003

version of the separation of ownership and control -- Jensen's (1986) free cash flow theory--into a dynamic equilibrium model …-building managers who prefer to invest all free cash flow rather than distributing it to shareholders. Sharefholders are aware of this …

Persistent link: https://www.econbiz.de/10012468940

Contagion : How to Measure It?

Rigobon, Roberto - 2001

The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...

Persistent link: https://www.econbiz.de/10012470611

Stock Market Efficiency and Economic Efficiency : Is There a Connection?

Dow, James - 1995

'informationally efficient' prices in the economy, have no direct role in the allocation of equity capital since managers have … efficiency? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given … the right incentives; and (ii) stock market traders may have important information that managers do not have about the …

Persistent link: https://www.econbiz.de/10012473644

Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing

Dow, James - 1993

This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot...

Persistent link: https://www.econbiz.de/10012474643

Arbitrage Chains

Dow, James - 1993

In efficient markets the price should reflect the arrival of private information. The mechanism by which this is accomplished is arbitrage. A privately informed trader will engage in costly arbitrage, that is, trade on his knowledge that the price of an asset is different from the fundamental...

Persistent link: https://www.econbiz.de/10012474644