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Financial Integration And Domestic Sovereignty In European Stock Markets
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing … euro and that sovereign risk represents a non-negligible component -on average 15%- of the excess ex- pected return … required for investing in the euro-zone as well as in a group of European stock markets enlarged to Switzerland and the UK. …
Persistent link: https://www.econbiz.de/10005859116
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - European Central Bank - 2009
A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...
Persistent link: https://www.econbiz.de/10005866568
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Detecting Speculative Bubbles in Stock Prices : a New Approach and Some Evidence for the US
Siklos, Pierre L.; Bohl, Martin T. - 2001
A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)
Persistent link: https://www.econbiz.de/10005843733
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Valuation in Dynamic Bargaining Markets
Duffie, Darrell; Garleanu, Nicolae; Pedersen, Lasse Heje - 2001
We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. (...)
Persistent link: https://www.econbiz.de/10005847028
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Market Returns and Mutual Fund Flows
Remolona, Eli M.; Kleiman, Paul; Bocian, Debbie Gruenstein - Federal Reserve Bank <New York, NY>; London School of … - 1997
[...]In this study, we use recent historical evidence toexplore one dimension of the broad relationship betweenmarket returns and mutual fund flows: the effect of shorttermmarket returns on mutual fund flows. Research onthis issue has already confirmed high correlations betweenmarket returns and...
Persistent link: https://www.econbiz.de/10005870270
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The Term Structure of Illiquidity Premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...
Persistent link: https://www.econbiz.de/10008911533
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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit …
Persistent link: https://www.econbiz.de/10005858392
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Time-Varying Credit Riskand Liquidity Premia inBond and CDS Markets
Bühler, Wolfgang; Trapp, Monika - Universität <Mannheim> / Behavioral Finance Group; … - 2009
We develop a reduced-form model that allows us to decompose bond spreads and CDS premiainto a pure credit risk component, a pure liquidity component, and a component measuring therelation between credit risk and liquidity. CDS liquidity has important consequences for the bondcredit risk and...
Persistent link: https://www.econbiz.de/10005867856
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Explaining the Bond-CDS Basis –The Role of Credit Riskand Liquidity
Bühler, Wolfgang; Trapp, Monika - Universität <Mannheim> / Behavioral Finance Group; …
We explore the relationship between CDS premia and bond asset swap spreads on the samereference entity. As Duffie (1999) shows, there is a clear theoretical link between CDS premiaand bond prices if the two quantities are viewed as a pure measure of credit risk. However,many studies provide...
Persistent link: https://www.econbiz.de/10005867858
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DER MARKTPHASENABHÄNGIGE EINFLUSSDER LIQUIDITÄT AUF DIE CREDIT SPREADSVON CORPORATE BONDS
GANN, PHILIPP - Universität <München> / Fakultät für Betriebswirtschaft - 2010
Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperiodenwährend verschiedener … dadurch ausgelösten internationalen Finanzkrise, diezweite Untersuchungsperiode auf einen Zeitraum während der Krise. Es wird …
Persistent link: https://www.econbiz.de/10009418796