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Disclosure deregulation of quarterly reporting

Behrmann, Vanessa; Hornuf, Lars; Zimmermann, Jochen - 2021 - This version: October 5, 2021

Directive into German law and analyze whether a reduction in the minimum content requirements for quarterly reporting increases …, our results reveal that over the period from 2012 to 2019, lower quarterly reporting levels on average have increased … coverage. Our results are robust to potential selection effects regarding firms’ choice of quarterly reporting content levels. …

Persistent link: https://www.econbiz.de/10012643524

Competitive rational expectations equilibria without apology

Kovalenkov, Alexander (contributor); … - 2008

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge...

Persistent link: https://www.econbiz.de/10003790559

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging...

Persistent link: https://www.econbiz.de/10003808130

Global liquidity, risk premiums and growth opportunities

De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and co-movements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries'...

Persistent link: https://www.econbiz.de/10003824684

Financial frictions and inflation differentials in a monetary union

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2010

This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation differentials can be explained by cross-country differences concerning the characteristics of financial markets. Our results suggest that empirically plausible degrees of...

Persistent link: https://www.econbiz.de/10008732365

Asymmetry in volatility : a comparison of developed and transition stock markets

Wdowinski, Piotr; Malecka, Marta - 2010

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

Persistent link: https://www.econbiz.de/10003942099

Asset auctions, information, and liquidity

Vives, Xavier - 2010

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...

Persistent link: https://www.econbiz.de/10003923763

The impact of financial market frictions on trade flows, capital flows and economic development

Bougheas, Spiros P.; Falvey, Rodney E. - 2011

We introduce financial frictions in a two sector model of international trade with heterogeneous agents. The level of specialization in the economy (economic development) depends on the quality of financial institutions. Underdeveloped financial markets prohibit an economy to specialize in...

Persistent link: https://www.econbiz.de/10009009694

The dependence structure between carbon emission allowances and financial markets : a copula analysis

Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011

This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...

Persistent link: https://www.econbiz.de/10009011778

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10009011784

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