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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - EconWPA - 2001
model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default …
Persistent link: https://www.econbiz.de/10005413092
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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS
NWAOBI, GODWIN - EconWPA - 2005
The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...
Persistent link: https://www.econbiz.de/10005561601
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Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market
Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002
significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is …
Persistent link: https://www.econbiz.de/10005413035
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Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
Hu, Shing-yang - EconWPA - 1997
This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using … trading turnover as a measure of liquidity and the 1976-1993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks …
Persistent link: https://www.econbiz.de/10005413235
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Boom In, Bust Out: Young Households and the Housing Price Cycle
Ortalo-Magne, Francois; Rady, Sven - EconWPA - 1998
The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the...
Persistent link: https://www.econbiz.de/10005076946
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Implied Calibration of Stochastic Volatility Jump Diffusion Models
Galluccio, Stefano; Cam, Yann Le - EconWPA - 2005
models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we …
Persistent link: https://www.econbiz.de/10005076950
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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
Altay, Erdinc - EconWPA - 2003
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...
Persistent link: https://www.econbiz.de/10005076972
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A Wavelet Analysis of MENA Stock Markets
Gallegati, Marco - EconWPA - 2005
In this paper we revisit the issue of integration of emerging stock markets with each other and with the developed markets over different time horizons using weekly stock indices data from June 1997 until March 2005 of the five major MENA equity markets (Egypt, Israel, Jordan, Morocco and...
Persistent link: https://www.econbiz.de/10005076975
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An empirical analysis of structural models of corporate debt pricing
Teixeira, Joao C. A. - EconWPA - 2005
This paper tests empirically the performance of three structural models of corporate bond pricing, namely Merton (1974 … in the prediction power, as the models under-estimate less the spreads of riskier firms and of bonds with better rating …
Persistent link: https://www.econbiz.de/10005076981