Narrow search
Showing 1 - 10 of 111
Cover Image
Can the Fed talk the hind legs off the stock market?
Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2011
Deliberately or not, by providing its stance on the prospects of the economy, rationalizing past decisions or announcing future actions, central banks influence financial markets' expectations of its future policy. In bad times, monetary policy communication inducing an upward revision of the...
Persistent link: https://www.econbiz.de/10009147402
Cover Image
The European Bond Markets Under EMU
Pagano, Marco; von Thadden, Ernst-Ludwig - C.E.P.R. Discussion Papers - 2004
In this Paper, we document how in the wake of monetary unification the markets for euro area sovereign and private-sector bonds have become increasingly integrated. Issuers and investors alike have come to regard the euro area bond market as a single one. Primary and secondary bond markets have...
Persistent link: https://www.econbiz.de/10005791915
Cover Image
Increased Correlation in Bear markets: A Downside Risk Perspective
Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002
A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …
Persistent link: https://www.econbiz.de/10005124110
Cover Image
Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …
Persistent link: https://www.econbiz.de/10005504611
Cover Image
The Supermodular Stochastic Ordering
Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013
In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...
Persistent link: https://www.econbiz.de/10011083601
Cover Image
Governance and Comovement Under Common Ownership
Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014
derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …
Persistent link: https://www.econbiz.de/10011084086
Cover Image
Learning From Stock Prices and Economic Growth
Peress, Joël - C.E.P.R. Discussion Papers - 2011
A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation and income. The stock market allows investors to share their costly private...
Persistent link: https://www.econbiz.de/10009293661
Cover Image
The Stock Market Crash of 2008 Caused the Great Recession: Theory and Evidence
Farmer, Roger E A - C.E.P.R. Discussion Papers - 2011
Recession. The paper has three parts. First, it provides evidence of a high correlation between the value of the stock market …
Persistent link: https://www.econbiz.de/10009351524
Cover Image
Why Do Companies Go Public? An Empirical Analysis
Pagano, Marco; Panetta, Fabio; Zingales, Luigi - C.E.P.R. Discussion Papers - 1996
This paper empirically analyses the determinants of an initial public offering (IPO) and the consequences of this decision on a company's investment and financial policy. We compare both the ex-ante and the ex-post characteristics of IPOs with those of a large sample of privately held companies...
Persistent link: https://www.econbiz.de/10005123719
Cover Image
Measuring Co-Movements Between US and European Stock Markets
Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000
In this paper we concentrate on the potential consequences for the European stock market of a correction of the US stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By considering a Vector Error Correction Model, in which stock...
Persistent link: https://www.econbiz.de/10005067572