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Private Benefits of Control : An International Comparison

Dyck, Alexander - 2002

We construct a measure of the private benefits of control in 39 countries based on 412 control transactions between 1990 and 2000. We find that the value of control ranges between 4% and +65%, with an average of 14 percent. As predicted by theory, in countries where private benefits of control...

Persistent link: https://www.econbiz.de/10012470004

A Decomposition of Global Linkages in Financial Markets Over Time

Forbes, Kristin J. - 2003

This paper tests if real and financial linkages between countries can explain why movements in the world's largest … between the world's 5 largest economies and about 40 other markets to decompose the cross-country factor loadings into: direct … to be the most important determinant of how movements in the world's largest markets affect financial markets around the …

Persistent link: https://www.econbiz.de/10012469145

Efficiency and the Bear : Short Sales and Markets around the World

Goetzmann, William N. - 2003

We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider …

Persistent link: https://www.econbiz.de/10012469237

The Liquidity Cost of Private Equity Investments : Evidence from Secondary Market Transactions

Nadauld, Taylor D. - 2016

An important cost of investing in private equity is the illiquidity of these investments. In response to this illiquidity, a secondary market for transacting stakes in private equity funds has developed. This paper uses proprietary data from a leading intermediary to understand the magnitude and...

Persistent link: https://www.econbiz.de/10012456275

Momentum Crashes

Daniel, Kent - 2014

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...

Persistent link: https://www.econbiz.de/10012458228

Carry

Koijen, Ralph S.J. - 2013

A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that...

Persistent link: https://www.econbiz.de/10012459336

No News is News : Do Markets Underreact to Nothing?

Giglio, Stefano - 2013

As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is...

Persistent link: https://www.econbiz.de/10012459747

Carry Trade and Systemic Risk : Why are FX Options so Cheap?

Caballero, Ricardo J. - 2012

In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...

Persistent link: https://www.econbiz.de/10012460016

Estimating the Equity Premium

Campbell, John Y. - 2007

for stock returns. A steady-state approach suggests that the world geometric average equity premium was almost 4% at the … end of March 2007, implying a world arithmetic average equity premium somewhat above 5%. Both valuation ratios and the …

Persistent link: https://www.econbiz.de/10012465226

Global Real Estate Markets - Cycles and Fundamentals

Case, Bradford - 2000

segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because … attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting …

Persistent link: https://www.econbiz.de/10012471209