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Foreign Exchange exposure, corporate financial policies and the exchange rate regime: Evidence from Brazil
Junior, Jose Luiz Rossi - Econometric Society - 2004
problem of the dollarization of liabilities, depreciations of the home currency in emerging markets would cause a collapse in … leading companies to disregard the exchange rate risk, biasing their borrowing towards foreign currency denominated debt , and … external shocks. There will always be a currency mismatch on companies’ balance sheets, since domestic companies would never …
Persistent link: https://www.econbiz.de/10005699641
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International capital flows and transmission of financial crises
Goenka, Aditya; Boschi, Melisso - Econometric Society - 2004
This paper proposes a model encompassing alternative views of contagion by highlighting the different channels of transmission of financial crises in an unifying framework. We study investor behaviour when they are affected by external habit formation. It is shown how international portfolio...
Persistent link: https://www.econbiz.de/10005702724
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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
Huang, Jing-zhi; Wu, Liuren - Econometric Society - 2004
This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of...
Persistent link: https://www.econbiz.de/10005699646
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Beta Risk and Regime Shift in Market Volatility
Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004
In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...
Persistent link: https://www.econbiz.de/10005130158
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Compensation of venture capitalists with two principals
Kim, Sung Hyun - Econometric Society - 2004
Venture capitalists enjoy incentive-laden compensation schemes where they are paid a fixed amount (management fees) plus a share of profit (success fees). This scheme is of course intended to provide venture capitalists with strong incentives under the heavy information asymmetry (Sahlman, 1982,...
Persistent link: https://www.econbiz.de/10005342368
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Dynamic Forecasting Behavior by Analysts: Theory and Evidence
Subramanian, Ajay; Clarke, Jonathan - Econometric Society - 2004
We examine the dynamic forecasting behavior of security analysts in response to their prior performance relative to their peers within a continuous time/multi-period framework. Our model predicts a U-shaped relationship between the boldness of an analyst's forecast, that is, the deviation of her...
Persistent link: https://www.econbiz.de/10005063584
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Why Issue Mandatory Convertibles? Theory and Empirical Evidence.
Yan, An; Nandy, Debarshi; Chemmanur, Thomas - Econometric Society - 2004
Abstract Mandatory convertibles, which are equity-linked hybrid securities that automatically convert to common stock on a pre-specified date, have become an increasingly popular means of raising capital in recent years (about $20 billion worth issued in 2001 alone). This paper presents the...
Persistent link: https://www.econbiz.de/10005063613
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Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market
Kumar, Alok - Econometric Society - 2004
In this paper, we attempt to study the time series dynamics of the stock trading volume, or equivalently stock turnover using recently available data for individual stocks traded on the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). Stock turnover has been studied intensively...
Persistent link: https://www.econbiz.de/10005342341
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How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?
Garces-Diaz, Daniel - Econometric Society - 2004
This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...
Persistent link: https://www.econbiz.de/10005328935
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Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
Wincoop, Eric van; Bacchetta, Philippe - Econometric Society - 2004
Empirical evidence shows that macroeconomic fundamentals have little explana-tory power for nominal exchange rates. On the other hand, the recent “microstruc-ture approach to exchange rates” has shown that most exchange rate volatility at short to medium horizons is related to order flows....
Persistent link: https://www.econbiz.de/10005328945