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The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets
Hardouvelis, Gikas A; Pericli, Andreas; Theodossiou, … - C.E.P.R. Discussion Papers - 1997
reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear …
Persistent link: https://www.econbiz.de/10005123642
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Capital Gains Taxation and the Cost of Capital: Evidence from Unanticipated Cross-Border Transfers of Tax Bases
Huizinga, Harry; Voget, Johannes; Wagner, Wolf - C.E.P.R. Discussion Papers - 2012
In a cross-border takeover, the tax base associated with future capital gains is transferred from target shareholders to acquirer shareholders. Cross-country differences in capital gains tax rates enable us to estimate the discount in target valuation on account of future capital gains. A one...
Persistent link: https://www.econbiz.de/10011084696
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EMU and European Stock Market Integration
Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999
The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...
Persistent link: https://www.econbiz.de/10005788933
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The Real Effects of the Euro: Evidence from Corporate Investments
Bris, Arturo; Koskinen, Yrjö; Nilsson, Mattias - C.E.P.R. Discussion Papers - 2004
Existing evidence shows that the Economic and Monetary Union (EMU) has reduced the cost of capital for firms in the euro area. We study the impact of the adoption of the euro in January 1999 by 11 countries in Europe on the firms’ investment rates, and show that the investment results are...
Persistent link: https://www.econbiz.de/10005123821
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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) in Europe. We use corporate-level data from ten countries that adopted the euro, the three EU countries that did not join EMU, as well as Norway and Switzerland. We show that...
Persistent link: https://www.econbiz.de/10005123881
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The Cost of Capital in International Financial Markets: Local or Global
Koedijk, Kees; Kool, Clemens J. M.; Schotman, Peter C; … - C.E.P.R. Discussion Papers - 2001
This Paper analyses to what extent international and domestic asset pricing models lead to a different estimates of the cost of capital for an individual firm. We distinguish between (i) the multifactor ICAPM of Solnik (1983) and Sercu (1980) including both the global market portfolio and...
Persistent link: https://www.econbiz.de/10005124283
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Courts and Banks: Effects of Judicial Enforcement on Credit Markets
Bianco, Magda; Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 2002
the credit market in a model of opportunistic debtors and inefficient courts. According to the model, improvements in … judicial efficiency should reduce credit rationing and increase lending, with an ambiguous effect on interest rates that … provinces and by cross-country evidence. In Italian provinces with longer trials or large backlogs of pending trials, credit is …
Persistent link: https://www.econbiz.de/10005123567
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Information Sharing, Lending and Defaults: Cross-Country Evidence
Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 1999
Theory predicts that information sharing among lenders attenuates adverse selection and moral hazard, and can therefore … credit bureaus and public credit registers. We find that bank lending is higher and proxies for default rates are lower in …
Persistent link: https://www.econbiz.de/10005497918
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Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States
Bayoumi, Tamim; Goldstein, Morris; Woglom, Geoffrey - C.E.P.R. Discussion Papers - 1995
The degree to which credit markets discipline sovereign borrowers is investigated by estimating the supply curve for … debt faced by US states. The results generally support an optimistic view of the market discipline hypothesis, with credit … some evidence that credit markets may withhold access to credit at very high levels of debt. …
Persistent link: https://www.econbiz.de/10005498146
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Bubbles and Central Banks: Historical Perspectives
Brunnermeier, Markus K; Schnabel, Isabel - C.E.P.R. Discussion Papers - 2015
This paper reviews some of the most prominent asset price bubbles from the past 400 years and documents how central banks (or other institutions) reacted to those bubbles. The historical evidence suggests that the emergence of bubbles is often preceded or accompanied by an expansionary monetary...
Persistent link: https://www.econbiz.de/10011249380