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Finance and Growth: A Survey of the Theoretical and Empirical Literature
Eschenbach, Felix - Tinbergen Instituut - 2004
economic growth. It starts with the pioneers in this field and then classifies two main schools favouring liberal financial … literature on financial development and endogenous growth pushed the discussion back into the direction initially advocated by … financial development and economic growth. The evidence suggests, however, enormous heterogeneity across countries, regions …
Persistent link: https://www.econbiz.de/10011255816
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Capital Structure Arbitrage revisited
Wojtowicz, Marcin - Tinbergen Instituut - 2014
We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....
Persistent link: https://www.econbiz.de/10011255777
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Need for Speed? Exchange Latency and Liquidity
Menkveld, Albert J.; Zoican, Marius A. - Tinbergen Instituut - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10011257025
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - Tinbergen Instituut - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10011257557
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Lobbying on Entry
Perotti, Enrico; Volpin, Paolo - Tinbergen Instituut - 2004
growth opportunities. Also,higher accountability and lower income inequality are associated with more ef-fective legal …
Persistent link: https://www.econbiz.de/10011256172
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Remittances and their Effect on Emigration Intentions in Egypt, Morocco and Turkey
Dalen, Hendrik P. van; Groenewold, George; Fokkema, Tineke - Tinbergen Instituut - 2005
What determines remittances – altruism or enlightened self-interest - and do remittances trigger additional migration? These two questions are examined empirically in Egypt, Turkey and Morocco for households with family members living abroad. Results show, first, that one cannot clearly...
Persistent link: https://www.econbiz.de/10011255585
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Quantifying Productivity Gains from Foreign Investment
Fons-Rosen, Christian; Kalemli-Ozcan, Sebnem; Sorensen, … - Tinbergen Instituut - 2013
domestic firms, we calculate the aggregate impact of foreign investment on country-level productivity growth and find it to be …
Persistent link: https://www.econbiz.de/10011256053
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Risk and Savings: a Taxonomy
Gunning, Jan Willem - Tinbergen Instituut - 2008
Risk may induce precautionary saving but it can also reduce saving. The theoretical literature recognizes both possibilities, but favors a positive effect (both for developed and developing countries); the empirical literature is divided, reporting (small) positive effects for developed...
Persistent link: https://www.econbiz.de/10011256937
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Capital Regulation and Tail Risk
Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - Tinbergen Instituut - 2011
The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...
Persistent link: https://www.econbiz.de/10011257356
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Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
Allen, David E.; McAleer, Michael; Singh, Abhay K. - Tinbergen Instituut - 2014
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...
Persistent link: https://www.econbiz.de/10011272574