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Volatility Spillover Effects in European Equity Markets
Baele, Lieven - Tilburg University, Center for Economic Research - 2003
This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … evidence for contagion from the US market to a number of local European equity markets during periods of high world market … volatility. …
Persistent link: https://www.econbiz.de/10011091647
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Why is Price Discovery in Credit Default Swap Markets News-Specific?
Wagner, Wolf; Marsch, I. - Tilburg University, Center for Economic Research - 2012
Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive...
Persistent link: https://www.econbiz.de/10011091086
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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
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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
their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is ….We also find that there is significant time-variation in the betas relative to the world portfolio because of the level of … when using additional control variables. We do not find a clear pattern between volatility and segmentation, however. …
Persistent link: https://www.econbiz.de/10011091339
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Contrarian Investment Strategies in a European Context
Brouwer, I.; van der Put, J.; Veld, C.H. - Tilburg University, Center for Economic Research - 1996
In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market...
Persistent link: https://www.econbiz.de/10011091668
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Common Factors in International Bond Returns
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 2000
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan.We analyze both currency-hedged and unhedged bond returns.For currency-hedged bond returns, we find that five factors explain 96.5% of the variation of...
Persistent link: https://www.econbiz.de/10011092795
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Foreign Currency Lending in Emerging Europe : Bank Level Evidence
Brown, M.; de Haas, R. - Tilburg University, Center for Economic Research - 2010
Based on survey data from 193 banks in 20 countries we provide the first bank-level analysis of the determinants of foreign currency (FX) lending in Emerging Europe. We find that FX lending by all banks, regardless of their ownership structure, is strongly determined by the macroeconomic...
Persistent link: https://www.econbiz.de/10011091858
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Back to Basics in Banking? A Micro-Analysis of Banking System Stability
De Jonghe, Olivier - Tilburg University, Center for Economic Research - 2009
This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks’ systemic risk exposures using extreme value...
Persistent link: https://www.econbiz.de/10011092811
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Short-Term and Long-Term Government Debt and Nonresident Interest Withholding Taxes
Eijffinger, Sylvester; Huizinga, Harry P.; Lemmen, J.J.G. - Tilburg University, Center for Economic Research - 1996
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5-year government bond market.The approach is one of pooled cross-section, time-series regressions.We find that, in general, U.S. dollar yields on...
Persistent link: https://www.econbiz.de/10011092757
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The Term Structure of Credit Spreads on Euro Corporate Bonds
van Landschoot, A. - Tilburg University, Center for Economic Research - 2003
more important for higher rated bonds (AAA and AA).The stock return and the implied volatility of the stock price seem to …
Persistent link: https://www.econbiz.de/10011090559