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Liquidity and Expected Returns: Lessons From Emerging Markets
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian - National Bureau of Economic Research (NBER) - 2005
Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...
Persistent link: https://www.econbiz.de/10005049807
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Capital-Market Effects of Securities Regulation: Hysteresis, Implementation, and Enforcement
Leuz, Christian; Christensen, Hans B.; Hail, Luzi - National Bureau of Economic Research (NBER) - 2011
This paper examines capital market effects of changes in securities regulation. We analyze two key directives in the European Union (EU) that tightened market abuse and transparency regulation and its enforcement. All EU member states were required to adopt these two directives, but did so at...
Persistent link: https://www.econbiz.de/10008804681
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Econometric Analysis of Present Value Models When the Discount Factor Is near One
West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a … discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that … theory is quantitatively congruent with modest departures from random walk behavior with imprecise estimation of a well …
Persistent link: https://www.econbiz.de/10010785624
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International Financial Integration and Crisis Contagion
Devereux, Michael B.; Yu, Changhua - National Bureau of Economic Research (NBER) - 2014
International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints....
Persistent link: https://www.econbiz.de/10010950927
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Political Risk Spreads
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian; … - National Bureau of Economic Research (NBER) - 2014
We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's U.S. dollar debt and an equivalent U.S. Treasury bond. We explain the variation in these sovereign spreads with four factors: global economic conditions,...
Persistent link: https://www.econbiz.de/10010951038
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Enforcement Problems and Secondary Markets
Broner, Fernando; Martin, Alberto; Ventura, Jaume - National Bureau of Economic Research (NBER) - 2007
There is a large and growing literature that studies the effects of weak enforcement institutions on economic performance. This literature has focused almost exclusively on primary markets, in which assets are issued and traded to improve the allocation of investment and consumption. The general...
Persistent link: https://www.econbiz.de/10005084692
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Ineffective Controls on Capital Inflows Under Sophisticated Financial Markets: Brazil in the Nineties
Garcia, Marcio G. P.; Carvalho, Bernardo S. de M. - National Bureau of Economic Research (NBER) - 2006
We analyze the Brazilian experience in the 1990s to assess the effectiveness of controls on capital inflows in restricting financial inflows and changing their composition towards long term flows. Econometric exercises (VARs) showed that controls on capital inflows were effective in deterring...
Persistent link: https://www.econbiz.de/10005085363
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International Portfolio Diversification and Multilateral Effects of Correlations
Bergin, Paul; Pyun, Ju Hyun - National Bureau of Economic Research (NBER) - 2012
theory would predict. Since covariances are central to modern theories of portfolio choice, this empirical methodology should …
Persistent link: https://www.econbiz.de/10009654195
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The International Monetary System: Living with Asymmetry
Obstfeld, Maurice - National Bureau of Economic Research (NBER) - 2011
This paper analyzes current stresses in the two key areas that concerned the architects of the original Bretton Woods system: international liquidity and exchange rate management. Despite radical changes since World War II in the market context for liquidity and exchange rate concerns, they...
Persistent link: https://www.econbiz.de/10009372417
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How Firms Use Domestic and International Corporate Bond Markets
Levine, Ross; Schmukler, Sergio; Gozzi, Juan Carlos; … - National Bureau of Economic Research (NBER) - 2012
This paper provides the first comprehensive documentation of the main features of corporate bond issues in domestic and international markets and analyzes how firms use these markets after they internationalize. We find that debt issues in domestic and international bond markets have different...
Persistent link: https://www.econbiz.de/10009421976