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Delegated portfolio management, benchmarking, and the effects on financial markets
Igan, Deniz; Pinheiro, Marcelo - 2015
We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark-a common solution to the agency problem in delegated portfolio management. In the presence of such relativeperformance- based objectives, investors have...
Persistent link: https://www.econbiz.de/10011373935
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A financial conditions index for Greece
Manning, Jonathan; Shamloo, Maral - 2015
We construct a Financial Conditions Index (FCI) for Greece as a surveillance tool to quantify the degree of the stress … (EA) as a whole and show that although the developments in the EA were qualitatively in line with those in Greece, they … were quantitatively much milder. Our results confirm that monetary transmission was less effective in Greece compared to …
Persistent link: https://www.econbiz.de/10014390615
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Pricing protest : the response of financial markets to social unrest
Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....
Persistent link: https://www.econbiz.de/10012518928
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Bank Rating Changes and Bank Stock Returns : Puzzling Evidence From the Emerging Markets
Richards, Anthony J. - 1999
This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cumulative abnormal returns for banks, although upgrades have not followed periods...
Persistent link: https://www.econbiz.de/10014400871
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On the Information Content of Ldc Secondary Loan Market Prices
Stone, Mark R. - 1991
This note examines the impact of measurable and unmeasurable (not correlated with observed aggregates) information on secondary market LDC loan prices. The Institutional Investor country risk ratings are used to construct a proxy for the non-quantifiable information that moves debt market...
Persistent link: https://www.econbiz.de/10014398406
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Information rigidity in growth forecasts : some cross-country evidence
Loungani, Prakash; Stekler, Herman O.; Tamirisa, Natalia T. - 2011
Persistent link: https://www.econbiz.de/10009425662
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Conformism and public news
Desgranges, Gabriel; Rochon, Céline - 2011
Persistent link: https://www.econbiz.de/10009487106
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Implications of More Precise Information for Technological Development and Welfare
Eckwert, Bernhard - 2007
This paper analyzes the dynamic interactions between the precision of information, technological development, and welfare within an overlapping generations model. More precise information about idiosyncratic production shocks has ambiguous effects on technological progress and welfare, which...
Persistent link: https://www.econbiz.de/10014400723
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Information Content of DQAF Indicators : Empirical Entropy Analysis
Mrkaic, Mico - 2010
The study presents an analysis of the information content of IMF’s Data Quality Assessment Framework (DQAF) indicators. There are significant differences in the quantity of information between DQAF dimensions and sub-dimensions. The most informative DQAF dimension is accessibility, followed by...
Persistent link: https://www.econbiz.de/10014397171
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Information Rigidity in Growth Forecasts : Some Cross-Country Evidence
Tamirisa, Natalia T. - 2011
We document information rigidity in forecasts for real GDP growth in 46 countries over the past two decades. We investigate: (i) if rigidities are lower around turning points in the economy, such as in times of recessions and crises; (ii) if rigidities differ across countries, particularly...
Persistent link: https://www.econbiz.de/10014399353