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The Valuation Channel of International Adjustment

Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2015

position through the “valuation channel” of external adjustment, namely capital gains and losses on the country’s external … assets and liabilities. We examine this valuation channel theoretically in a dynamic equilibrium portfolio model with … quantities in the definition of net foreign assets, we can characterize the first-order dynamics of both valuation effects and …

Persistent link: https://www.econbiz.de/10011266533

International Financial Adjustment

Gourinchas, Pierre-Olivier; Rey, Hélène - C.E.P.R. Discussion Papers - 2005

stabilizing valuation effects contribute as much as 31% of the external adjustment. Our theory also has asset-pricing implications … to two years ahead and net exports at longer horizons. The exchange rate affects the trade balance and the valuation of …

Persistent link: https://www.econbiz.de/10005662073

Slow Moving Capital

Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - C.E.P.R. Discussion Papers - 2007

We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...

Persistent link: https://www.econbiz.de/10005788922

Stock Valuation and Learning about Profitability

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2002

We develop a simple approach to valuing stocks in the presence of learning about average profitability. The market-to-book ratio (M/B) increases with uncertainty about average profitability, especially for firms that pay no dividends. M/B is predicted to decline over a firm's lifetime due to...

Persistent link: https://www.econbiz.de/10005791675

Predatory Trading

Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2004

This Paper studies predatory trading: trading that induces and/or exploits other investors’ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10005791996

The Euro is Good After All: Evidence from Corporate Valuations

Bris, Arturo; Koskinen, Yrjö; Nilsson, Mattias - C.E.P.R. Discussion Papers - 2003

In this Paper we study the changes in corporate valuation induced by the formation of Economic and Monetary Union (EMU …

Persistent link: https://www.econbiz.de/10005123881

Was There A Nasdaq Bubble in the Late 1990s?

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2004

this uncertainty was unusually high in the late 1990s. We calibrate a stock valuation model that includes this uncertainty …

Persistent link: https://www.econbiz.de/10005123974

Demand-Based Option Pricing

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

Who Benefits from Regional Trade Agreements? The View from the Stock Market

Moser, Christoph; Rose, Andrew K - C.E.P.R. Discussion Papers - 2011

The effects of Regional Trade Agreements (RTAs) are disputed. In this paper, we assess these effects using capital market data and an event-study approach, using a daily data set covering a thousand announcements spanning over eighty economies and a hundred RTAs over twenty recent years. We...

Persistent link: https://www.econbiz.de/10009293663

Democratization and Growth

Papaioannou, Elias; Siourounis, Gregorios - C.E.P.R. Discussion Papers - 2008

This paper challenges cross-sectional findings that democratic institutions have a negligible direct effect on economic growth. We employ a newly constructed data-set of permanent democratic transitions during the so-called Third Wave of Democratization and examine the within effect of...

Persistent link: https://www.econbiz.de/10005666992