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Limited investor attention and the mispricing of American Depositary Receipts

Eichler, Stefan - In: Economics Letters 115 (2012) 3, pp. 490-492

I test whether more investor attention leads to a better exploitation of arbitrage opportunities and, in turn, to less mispricing of American Depositary Receipts (ADRs). Using data on 536 stocks I find that more investor attention significantly reduces ADR mispricing.

Persistent link: https://www.econbiz.de/10010572160

Sovereign risk contagion in the Eurozone

Metiu, Norbert - In: Economics Letters 117 (2012) 1, pp. 35-38

This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007 …. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for … contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long …

Persistent link: https://www.econbiz.de/10011041596

Gauging potential sovereign risk contagion in Europe

Fong, Tom Pak Wing; Wong, Alfred Y-T. - In: Economics Letters 115 (2012) 3, pp. 496-499

This study adopts the CoVaR methodology to analyse the tail risk relationships among European sovereigns, which provide arguably important information for policymakers to identify countries that should come under close scrutiny during the current debt crisis.

Persistent link: https://www.econbiz.de/10010572268

Inflation targeting and real exchange rates: A bias correction approach

Kim, Jaebeom - In: Economics Letters 125 (2014) 2, pp. 253-256

This paper examines whether inflation targeting (IT) influences purchasing power parity (PPP) by a bias correction approach under cross-sectional dependence. The recursive mean adjustment (RMA) method proposed by So and Shin (1999) and Shin and So (2001) is employed to correct a downward bias...

Persistent link: https://www.econbiz.de/10011076557

Exchange rate regime preferences of the international sector. Firm-level evidence

Fernández-Albertos, José - In: Economics Letters 116 (2012) 1, pp. 26-30

This paper argues that fixed exchange rate regimes are preferred by the international sector only if they are adopted in economies endowed with anti-inflationary policy-making institutions (i.e., independent central banks). Cross-national firm-level data gives strong support to this claim.

Persistent link: https://www.econbiz.de/10011041753

Credit rating agencies and elections in emerging democracies: Guardians of fiscal discipline?

Hanusch, Marek; Vaaler, Paul M. - In: Economics Letters 119 (2013) 3, pp. 251-254

Analyses of budget balances in 18 emerging presidential democracies observed prior to the financial crisis of 2008–2009 show that credit rating agencies induce fiscal discipline in election years, thus reducing incentives for governments to borrow opportunistically for short-term electoral gain.

Persistent link: https://www.econbiz.de/10010664115

When R2 meets the short-sales constraints

Cai, Jinghan; Xia, Le - In: Economics Letters 125 (2014) 3, pp. 336-339

We examine the short-selling in the Hong Kong stock market and find that, after the lift of short-sales constraint, the R2 increases, contradicting the traditional wisdom that R2 is a proxy of price inefficiency. Moreover, the change of R2 is from the decrease in idiosyncratic volatility.

Persistent link: https://www.econbiz.de/10011116201

Financial openness, market structure and private credit: An empirical investigation

Fischer, Ronald; Valenzuela, Patricio - In: Economics Letters 121 (2013) 3, pp. 478-481

Consistent with recent theoretical models, this paper finds that financial openness has a positive effect on private credit in economies characterized by a competitive banking sector, but that this effect vanishes and even becomes negative in economies with imperfect banking competition.

Persistent link: https://www.econbiz.de/10010729470

A two-period model with portfolio choice: Understanding results from different solution methods

Rabitsch, Katrin; Stepanchuk, Serhiy - In: Economics Letters 124 (2014) 2, pp. 239-242

Using a stylized two-period model we compare portfolio solutions from two local solution approaches–the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011)–with the true nonlinear portfolio solution.

Persistent link: https://www.econbiz.de/10010933294

Why don’t you trade only four days a year? An empirical study into the abnormal returns of quarters first trading day

Cohen, Gil - In: Economics Letters 124 (2014) 3, pp. 335-337

In this research I examined a calendar anomaly that occurs at the beginning of each quarter. Through an examination of 34 years of daily and annual returns for the S&P500 and 13 years of returns for popular ETFs, I have demonstrated the existence of the First Day of Quarter (FDQ) effect. By...

Persistent link: https://www.econbiz.de/10011041761