Narrow search
Showing 1 - 10 of 84
Cover Image
Time Varying Market Integration and Expected Rteurns in Emerging Markets
de Jong, Frank C. J. M.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2001
We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market...
Persistent link: https://www.econbiz.de/10011091339
Cover Image
The Term Structure of Credit Spreads on Euro Corporate Bonds
van Landschoot, A. - Tilburg University, Center for Economic Research - 2003
models.In this paper we examine the term structure of credit spreads on euro corporate bonds and the empirical validation of … of 1577 investment grade corporate and 250 AAA rated government bonds, we first estimate the term structure of credit … spreads on plus rated bonds have significantly higher credit spreads than minus rated bonds.According to the structural models …
Persistent link: https://www.econbiz.de/10011090559
Cover Image
Repo Runs
Martin, A.; Skeie, D.; von Thadden, E.L. - Tilburg University, Center for Economic Research - 2010
This paper develops a model of financial institutions that borrow short- term and invest into long-term marketable assets. Because these financial intermediaries perform maturity transformation, they are subject to runs. We endogenize the profits of the intermediary and derive distinct liquidity...
Persistent link: https://www.econbiz.de/10011091680
Cover Image
MBS Ratings and the Mortgage Credit Boom
Ashcraft, A.; Goldsmith-Pinkham, P.; Vickery, J. - Tilburg University, Center for Economic Research - 2010
We study credit ratings on subprime and Alt-A mortgage-backed securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly-rated securities in each deal is decreasing in mortgage credit risk (measured either ex-ante or ex-post),...
Persistent link: https://www.econbiz.de/10011090320
Cover Image
Do Macroeconomic Announcements Cause Asymmetric Volatility
de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003
Persistent link: https://www.econbiz.de/10011091651
Cover Image
Announcement effects of convertible bond loans versus warrant-bond loans : An empirical analysis for the Dutch market
de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1995
This study investigates the announcement effects of offerings of convertible bond loans and warrant-bond loans using … but insignificant abnormal return for the announcement of a convertible bond loan and a significant positive abnormal … return for the announcement of a warrant-bond loan. These findings contrast with studies for the United States which …
Persistent link: https://www.econbiz.de/10011092869
Cover Image
A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders
Noussair, Charles; Tucker, S.; Xu, Yilong - Tilburg University, Center for Economic Research - 2014
We study the effect of the addition of a futures market, in which contracts maturing in the last period of the life of the asset can be traded. Our experiment has two treatments, one in which a spot market operates on its own, and a second treatment in which a spot and futures market are active...
Persistent link: https://www.econbiz.de/10011144459
Cover Image
Asset Allocation in the Euro-Zone : Industry or Country Based?
Eiling, E.; Gerard, B.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2005
We investigate the relative importance of country and industry factors as determinants of international equity returns in the Euro-zone over the period 1990 to 2003.We conduct our analysis from a portfolio performance perspective, using mean-variance spanning and efficiency tests as well as...
Persistent link: https://www.econbiz.de/10011090511
Cover Image
The implications of first-order risk aversion for asset market risk premiums
Bekaert, G.R.J.; Hodrick, R.; Marshall, D. - Tilburg University, Center for Economic Research - 1997
Persistent link: https://www.econbiz.de/10011090886
Cover Image
Financial integration in Europe : Evidence from Euler equation tests
Eijffinger, Sylvester; Lemmen, J.J.G. - Tilburg University, Center for Economic Research - 1995
This paper applies Obstfeld's Euler equation tests to assess the degree of financial integration in the European Union. In addition, we design a new Euler equation test which is intimately related to Obstfeld's Euler equation tests. Using data from the latest Penn World Table (Mark 6), we arrive...
Persistent link: https://www.econbiz.de/10011091027