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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing - 2019
The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …
Persistent link: https://www.econbiz.de/10012004764
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Capital market financing and firm growth
Didier, Tatiana; Levine, Ross; Llovet Montanes, Ruth; … - 2020
of 150,165 equity and bond issuances around the world, matched with income and balance sheet data for 62,653 listed firms …
Persistent link: https://www.econbiz.de/10012297801
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The rise of domestic capital markets for corporate financing
Abraham, Facundo; Cortina, Juan J.; Schmukler, Sergio L. - 2019
During the past decades, firms from emerging economies have significantly increased the amount of financing obtained in capital markets. Whereas the literature argues that international markets have been an important contributor to this process, the role of domestic markets is mostly unknown. By...
Persistent link: https://www.econbiz.de/10012022363
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The impact of contractual savings institutions on securities markets
Impavido, Gregorio; Musalem, Alberto R.; Tressel, Thierry - 2003
Persistent link: https://www.econbiz.de/10001743184
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Assessing the international comovement of equity returns
Abate, Girum Dagnachew; Servén, Luis - 2018
strong dependence, respectively. The factor exhibits a robust negative correlation with market measures of aggregate risk …
Persistent link: https://www.econbiz.de/10011902919
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What explains stock markets’ vulnerability to the 2007 – 2008 crisis?
Didier, Tatiana; Love, Inessa; Martínez Pería, María … - 2010
Persistent link: https://www.econbiz.de/10003942088
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Capital market financing, firm growth, and firm size distribution
Didier Brandao, Tatiana; Levine, Ross Eric; Schmukler, … - 2015
Persistent link: https://www.econbiz.de/10011325901
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Designing pension systems with coherent funded private pillars including issues for notional defined contribution schemes
Price, William - 2018
investment strategies for private pensions, given, for example, the negative correlation between real per capita GDP growth and …
Persistent link: https://www.econbiz.de/10011871238
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Determinants of emerging market bond spread : do economic fundamentals matter?
Min, Hong-ghi - 1998
Persistent link: https://www.econbiz.de/10000984727
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The financial costs of the U.S.-China trade tensions : evidence from East Asian stock markets
De Nicola, Francesca; Kessler, Martin; Nguyen, Ha - 2019
This paper examines the impacts of U.S.-China trade tensions via the lens of East Asian stock markets. Studying 10 indices of the main East Asian stock markets, it finds that announcements of "trade war" escalation translated into 50 to 60 percent of the total declines in two major Chinese stock...
Persistent link: https://www.econbiz.de/10012167933