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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …
Persistent link: https://www.econbiz.de/10010349257
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Monetary policy and mispricing in stock markets
Beckers, Benjamin; Bernoth, Kerstin - 2016
policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …
Persistent link: https://www.econbiz.de/10011526074
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The impact of financial structure on firms' financial constraints : a cross-country analysis
Baum, Christopher F.; Schäfer, Dorothea; Talavera, … - 2009
We estimate firms' cash flow sensitivity of cash to empirically test how the financial system's structure and activity level influence their financial constraints. For this purpose we merge Almeida, Campello and Weisbach (2004), a pathbreaking new design for evaluating a firm's financial...
Persistent link: https://www.econbiz.de/10003818695
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Why do firms switch their main bank? : theory and evidence from Ukraine
Stephan, Andreas; Tsapin, Andriy; Talavera, Oleksandr - 2009
We examine why firms change their main bank and how this affects loans, interest payments and firm performance after switching. Using unique firm-bank matched Ukrainian data, the treatment effect estimates suggest that more transparent and riskier companies are more likely to switch their main...
Persistent link: https://www.econbiz.de/10003844336
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Innovation capabilities and financing constraints of family firms
Schäfer, Dorothea; Stephan, Andreas; Solórzano … - 2015
process innovations. Based on the CDM framework, estimation of the recursive system of equations shows that family businesses …
Persistent link: https://www.econbiz.de/10011411513
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Persistence and determinants of firm profit in emerging markets
Stephan, Andreas (contributor); Tsapin, Andriy (contributor) - 2008
The paper studies the persistence of profit and its determinants in emerging markets. We apply Markov chain analysis …, dynamic panel GMM estimation, and quantile regression techniques to a panel of approximately 3,000 Ukrainian companies. The … empirical results show a moderate level of profit persistence, as well as a relatively low speed of adjustment to the steady …
Persistent link: https://www.econbiz.de/10003793077
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Liquidity constraints and the permanent income hypothesis : pseudo panel estimation with German consumption survey data
Beznoska, Martin; Ochmann, Richard R. - 2012
This paper empirically investigates the relevance of liquidity constraints and excess sensitivity in intertemporal household consumption. Using a pseudo panel that has been constructed on rich German consumption survey data, we estimate the consumption responses to permanent and transitory...
Persistent link: https://www.econbiz.de/10009579365
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The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area
Kim, Chi Hyun; Other, Lars - 2019
We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock … and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock …
Persistent link: https://www.econbiz.de/10011963607
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Endogenous costs and price-cost margins
Neven, Damien J.; Röller, Lars-Hendrik; Zhang, Zhentang - 2002
Empirical work on price-cost margins often treats costs as exogenous. Allowing for endogenous costs when estimating price-cost margins is the topic of this paper. Methodologically, the endogenous cost model we propose leads to an additional equation that allows for the simultaneity in price...
Persistent link: https://www.econbiz.de/10011436365
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Liquidity risk and yield spreads of green bonds
Wulandari, Febi; Schäfer, Dorothea; Stephan, Andreas; … - 2018
This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has...
Persistent link: https://www.econbiz.de/10011810163