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Emerging Equity Markets and Economic Development
Bekaert, Geert - 2000
We provide an analysis of real economic growth prospects in emerging markets after financial liberalizations. In contrast with previous research, we identify the financial liberalization dates and examine the influence of liberalizations while controlling for a number of other macroeconomic and...
Persistent link: https://www.econbiz.de/10012470987
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The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks
Abel, Andrew B. - 2000
With fixed costs of participating in the stock market, consumers with high income will participate in the stock market, but consumers with lower income will not participate. If a fully-funded defined-contribution social security system tries to exploit the equity premium by selling a dollar of...
Persistent link: https://www.econbiz.de/10012471011
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Institutions, Restructuring, and Macroeconomic Performance
Caballero, Ricardo J. - 2000
A growing body of new research has emphasized the macroeconomic consequences of transactional impediments in factor markets, and their role in the recurrent restructuring requirements of modern economies. We first review the function institutional arrangements play in facilitating transactions...
Persistent link: https://www.econbiz.de/10012471041
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A Century of Global Stock Markets
Jorion, Philippe - 2000
Persistent link: https://www.econbiz.de/10012471210
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Market Efficiency in an Irrational World
Daniel, Kent - 2000
momentum effect is likely to be the strongest in those stocks whose valuation requires the interpretation of ambiguous … information. Consistent with this, we find that momentum effects are stronger for growth stocks than value stocks. A portfolio …
Persistent link: https://www.econbiz.de/10012471287
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … demand for stocks which is negative when changes in volatility are instantaneously negatively correlated with excess stock … market shows that empirically this correlation is negative and large, which implies a negative hedging demand for stocks …
Persistent link: https://www.econbiz.de/10012471407
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Time-Varying Betas and Asymmetric Effect of News : Empirical Analysis of Blue Chip Stocks
Cho, Young-Hye - 1999
. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically … affects the betas of individual stocks. We find that betas depend on two source of news: market shocks and idiosyncratic …
Persistent link: https://www.econbiz.de/10012471454
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No Contagion, Only Interdependence : Measuring Stock Market Co-movements
Forbes, Kristin - 1999
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure...
Persistent link: https://www.econbiz.de/10012471523
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The Stock Market and Capital Accumulation
Hall, Robert E. - 1999
If firms purchase capital up to the point where there is no further marginal benefit, and the firms' securities are equal in value to the capital, then the market value of securities measures the quantity of capital. I explore the implications of this hypothesis using data from U.S. non-farm,...
Persistent link: https://www.econbiz.de/10012471608
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Globalization of Equity Markets and the Cost of Capital
Stulz, Rene M. - 1999
This paper examines the impact of globalization on the cost of equity capital. We argue that the cost of equity capital decreases because of globalization for two important reasons. First, the expected return that investors require to invest in equity to compensate them for the risk they bear...
Persistent link: https://www.econbiz.de/10012471779