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Liquidity and Expected Returns: Lessons from Emerging Markets
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian T - C.E.P.R. Discussion Papers - 2006
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...
Persistent link: https://www.econbiz.de/10005792280
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Short- and Long-term Hedging for the Corporation
Dumas, Bernard J - C.E.P.R. Discussion Papers - 1994
of a particular future cash flow involves a forward contract equal but opposite in sign to the exposure of the cash flow …
Persistent link: https://www.econbiz.de/10005136503
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In Search of New Foundations
Zingales, Luigi - C.E.P.R. Discussion Papers - 2000
In this paper I argue that corporate finance theory, empirical research, practical applications, and policy … change the way we do corporate finance, both theoretically and empirically. …
Persistent link: https://www.econbiz.de/10005792089
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The Corporate Governance Role of the Media
Dyck, Alexander; Zingales, Luigi - C.E.P.R. Discussion Papers - 2002
In this Paper we discuss the role of the media in pressuring corporate managers and directors to behave in ways that … anecdotal and systematic evidence that media affect companies’ policy toward the environment and the amount of corporate … focus of the corporate governance debate and for the feasibility of reforms aimed at improving corporate governance around …
Persistent link: https://www.econbiz.de/10005497765
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Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Ehrmann, Michael; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2015
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...
Persistent link: https://www.econbiz.de/10011276387
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Crash Risk in Currency Markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...
Persistent link: https://www.econbiz.de/10005016245
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International Recessions
Perri, Fabrizio; Quadrini, Vincenzo - C.E.P.R. Discussion Papers - 2011
The 2008-2009 crisis was characterized by an unprecedented degree of international synchronization as all major industrialized countries experienced large macroeconomic contractions around the date of Lehman bankruptcy. At the same time countries also experienced large and synchronized...
Persistent link: https://www.econbiz.de/10009225956
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Fiscal Devaluations
Farhi, Emmanuel; Gopinath, Gita; Itskhoki, Oleg - C.E.P.R. Discussion Papers - 2011
We show that even when the exchange rate cannot be devalued, a small set of conventional fiscal instruments can robustly replicate the real allocations attained under a nominal exchange rate devaluation in a standard New Keynesian open economy environment. We perform the analysis under...
Persistent link: https://www.econbiz.de/10009399714
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Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2010
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...
Persistent link: https://www.econbiz.de/10008692308
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Capital Flows, Push versus Pull Factors and the Global Financial Crisis
Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2011
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks--key crisis events as well as...
Persistent link: https://www.econbiz.de/10009207523