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Morck, Yeung and Yu (MYY, 2000) show that R2 and other measures of stock market synchronicity are higher in countries with less developed financial systems and poorer corporate governance. MYY and Campbell, Lettau, Malkiel and Xu (2001) also find a secular decline in R2 in the United States over...
Persistent link: https://www.econbiz.de/10005248400
I analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost...
Persistent link: https://www.econbiz.de/10005771828
This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets. There is strong evidence that foreign financial analysts outperform local analysts on these markets. Foreign analysts produce more timely and more accurate forecasts. A...
Persistent link: https://www.econbiz.de/10005827310
This paper uses a simple model of mean-variance asset pricing with transaction costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transaction costs as variables strategically influenced by stock...
Persistent link: https://www.econbiz.de/10005771789
The paper investigates whether US, Japanese and European stock and government bond return indices are jointly priced within a conditional multivariate form of the international Capital asset Pricing Model during the period 1993-2001. It also explores the time variation of the price of market...
Persistent link: https://www.econbiz.de/10005771791
This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in fundamentals, notably an increased synchronisation of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in...
Persistent link: https://www.econbiz.de/10005771801
The financial innovations of the late 1990s have led to the emergence of a significant number of new instruments, in particular in the market for hedging credit risk. This paper, based on an original dataset of transactions and quotes, looks at credit default swaps drawn on sovereign countries....
Persistent link: https://www.econbiz.de/10005771818
This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper...
Persistent link: https://www.econbiz.de/10005771831
This paper studies the impact of EMU on portfolio diversification opportunities. We find a significant increase in the correlation between stock returns, whether they are computed on the basis of market or sector indices. This is true for two definitions of the pre-convergence and convergence...
Persistent link: https://www.econbiz.de/10005771835
This paper tests a conditional version of Adler and Dumas'(1983) International CAPM with regime switching GARCH parameters. As benchmark the same model is estimated without state dependent parameters. The switching representation is found to react faster than the benchmark to shocks in stock...
Persistent link: https://www.econbiz.de/10005771840