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Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An

Campa, Jose M.; Chang, Kevin; Refalo, James F. - IESE Business School, Universidad de Navarra - 2000

This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...

Persistent link: https://www.econbiz.de/10005021807

Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten

Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2004

While Arzac and Glosten (2005) affirm that "the value of tax shields depends upon the nature of the equity stochastic process, which, in turn, depends upon the free cash flow process," I prove that the value of tax shields depends only upon the nature of the stochastic process of the net...

Persistent link: https://www.econbiz.de/10005021771

Price efficiency and short selling

Saffi, Pedro; Sigurdson, Kari - IESE Business School, Universidad de Navarra - 2008

This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...

Persistent link: https://www.econbiz.de/10005021733

Herd behavior towards the market index: Evidence from 21 financial markets

Wang, Daxue - IESE Business School, Universidad de Navarra - 2008

This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of...

Persistent link: https://www.econbiz.de/10005021810

Measuring idiosyncratic risks in leveraged buyout transactions

Groh, Alexander P.; Baule, Rainer; Gottschalg, Oliver - IESE Business School, Universidad de Navarra - 2007

We use a CCA model to calculate implied idiosyncratic risks of LBO transactions. A decisive model feature is the consideration of amortization. From the model, the asset value volatility and the equity value volatility can be derived via a numerical procedure. For a sample of 40 LBO transactions...

Persistent link: https://www.econbiz.de/10005021705

Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas

van Eijkel, Remco; Moraga-González, Jose L. - IESE Business School, Universidad de Navarra - 2010

Building on a model of the interaction of risk-averse firms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic firms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...

Persistent link: https://www.econbiz.de/10008641473

Sources of gains from international portfolio diversification.

Campa, Jose M.; Fernandes, Nuno - IESE Business School, Universidad de Navarra - 2004

This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of thirty-six countries and thirty-nine industries over the last three decades. Country factors have remained relatively stable over the sample period, while industry...

Persistent link: https://www.econbiz.de/10005021794

Are anomalies still anomalous? An examination of momentum strategies in four financial markets

Wang, Daxue - IESE Business School, Universidad de Navarra - 2008

) are used to form the momentum portfolios. We find that the United Kingdom and Germany exhibit rather stable medium … the momentum returns, as well as calendar effects and other characteristics of momentum portfolios reported in the …In this paper we test the profitability of momentum strategies in the United Kingdom, Germany, Japan and China over the …

Persistent link: https://www.econbiz.de/10005021805

Exchange rates and trade: How important is hysteresis in trade?

Campa, Jose M. - IESE Business School, Universidad de Navarra - 2000

This paper looks at the responsiveness of a country's export supply to exchange rate changes and measures its quantitative importance by breaking down export adjustments between changes in output levels by existing exporters (intensive margin) and movements due to changes in the number of...

Persistent link: https://www.econbiz.de/10005030176

Shareholder value creation in Europe. Eurostoxx 50: 1997-2003

Fernandez, Pablo; Villanueva, Alvaro - IESE Business School, Universidad de Navarra - 2004

2003 was a good year for the shareholders of the companies in the Euro Stoxx 50: the shareholder value creation of these 50 companies was €150,016 million. The companies that created most value for their shareholder were Siemens (€18,778 million), Telefonica (15,382) and BSCH (12,443). The...

Persistent link: https://www.econbiz.de/10005021695

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