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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

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

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

Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects

Broner, Fernando; Erce, Aitor; Martin, Alberto; … - National Bureau of Economic Research (NBER) - 2013

In 2007, countries in the euro periphery were enjoying stable growth, low deficits, and low spreads. Then the financial crisis erupted and pushed them into deep recessions, raising their deficits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and,...

Persistent link: https://www.econbiz.de/10010821965

Measuring Sovereign Contagion in Europe

Pelizzon, Loriana; Rigobon, Roberto; Caporin, Massimiliano - National Bureau of Economic Research (NBER) - 2013

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...

Persistent link: https://www.econbiz.de/10010796746

Capital Mobility and International Sharing of Cyclical Risk

Mendoza, Enrique G.; Quadrini, Vincenzo; Bengui, Julien - National Bureau of Economic Research (NBER) - 2012

This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit...

Persistent link: https://www.econbiz.de/10010785610

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

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

Financial Reforms and Capital Flows: Insights from General Equilibrium

Martin, Alberto; Ventura, Jaume - National Bureau of Economic Research (NBER) - 2012

As a result of debt enforcement problems, many high-productivity firms in emerging economies are unable to pledge enough future profits to their creditors and this constrains the financing they can raise. Many have argued that, by relaxing these credit constraints, reforms that strengthen...

Persistent link: https://www.econbiz.de/10010581042

Global Growth Opportunities and Market Integration

Bekaert, Geert; Harvey, Campbell; Lundblad, Christian; … - National Bureau of Economic Research (NBER) - 2004

We measure a country's growth opportunities by investigating how its industry mix is priced in global capital markets, using price earnings ratios of global industry portfolios. We derive three sets of empirical results. First, these exogenous growth opportunities strongly predict future changes...

Persistent link: https://www.econbiz.de/10005089194