Source: Dissertation Abstracts International, Volume: 63-10, Section: A, page: 3659.

We explore a model of time varying regional market integration that includes three factors, for the North American equity market, the local Mexican equity market and the peso/dollar exchange rate. We argue that a useful instrument for the degree of integration is the sovereign yield spread....

In this paper, we study stock market skewness/coskewness for seven Latin American emerging markets including Argentina, Brazil, Chile, Mexico, Colombia, Peru and Venezuela. Unlike the US, skewness in these countries is normally positive and driven by fundamentals. We find, however, that the...

This study investigates the effect of seasoned equity offerings (SEOs) on the NASDAQ. The results confirm that, most of the time, news of a seasoned equity offering is associated with negative stock returns. This is consistent with earlier research that interpreted this effect as indicating the...

We test whether credit risk for Emerging Market Sovereigns is priced equally in the credit default swap (CDS) and bond markets. The parity relationship between CDS premiums and bond yield spreads, that was tested and largely cofirmed in the literature, is mostly rejected. Prices below par can...