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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

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

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

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

Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes

Raviv, Alon - EconWPA - 2004

Several studies have recommended reliance on subordinated debt as a tool for monitoring banks by investors and for enhancing depositors’ protection. However, subordinated debenture increases the level of leverage and thus the probability of costly failure. We propose a novel financial...

Persistent link: https://www.econbiz.de/10005413031

International Diversification Benefits in ASEAN Stock Markets: a Revisit

Lim, Kian-Ping; Lee, Hock-Ann; Liew, Venus Khim-Sen - EconWPA - 2003

With plentiful of evidence supporting the presence of non-linearity in stock returns series, coupled with theoretical and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data generating process is non-linear in nature, this study...

Persistent link: https://www.econbiz.de/10005413036

Tradable Schemes

Hoogland, Jiri; Neumann, Dimitri - EconWPA - 2001

our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite … difference scheme to exact solutions of the pricing PDE. This can be done in a very elegant way, due to the fact that in our … computer and to ~0.001% in a second. The scheme can also be used for market conform pricing, by fitting it to observed option …

Persistent link: https://www.econbiz.de/10005413042

Innovation and Market Value

Hall, Bronwyn H. - EconWPA - 1999

This paper surveys recent findings about how the financial markets value the knowledge assets of publicly traded firms. The motivation for using market value equation to price knowledge assets is discusssed and the theory behind this equation is briefly presented. Then the empirical literature...

Persistent link: https://www.econbiz.de/10005413048

Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities

Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004

In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...

Persistent link: https://www.econbiz.de/10005413049

Consensus consumer and intertemporal asset pricing with heterogeneous beliefs

Jouini, Elyès; Napp, Clotilde - EconWPA - 2003

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus belief, as well as a consensus consumer, are shown to be valid modulo a finite variation aggregation bias, which takes the form of...

Persistent link: https://www.econbiz.de/10005413051