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Feverish stock price reactions to COVID-19

Ramelli, Stefano; Wagner, Alexander F. - 2020

Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...

Persistent link: https://www.econbiz.de/10012181338

The sovereign debt crisis : rebalancing or freezes?

Östberg, Peter; Richter, Thomas - 2018

Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...

Persistent link: https://www.econbiz.de/10011865537

Corporate investment and financing under asymmetric information

Morellec, Erwan; Schürhoff, Norman - 2010 - This version March 2010

We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior … asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option … hierarchy or pecking order over securities. Finally, we generate a rich set of testable implications relating firms' investment …

Persistent link: https://www.econbiz.de/10003970296

Financing investment: the choice between bonds and bank loans

Morellec, Erwan; Valta, Philip; Zhdanov, Alexei - 2014

We build a model of investment and financing decisions to study the choice between bonds and bank loans in a firm …'s marginal financing decision and its effects on corporate investment. We show that firms with more growth options, higher … investment. We test these predictions using a sample of U.S. firms and present new evidence that supports our theory …

Persistent link: https://www.econbiz.de/10010258730

A civil super-Manhattan project in nuclear research for a safer and prosperous world

Sornette, Didier - 2015

trapped itself in. A 1% GDP investment over a decade in the main nuclear countries could boost economic growth with a focus on …

Persistent link: https://www.econbiz.de/10011296090

Does firm investment respond to peers' investment?

Bustamante, Maria Cecilia; Frésard, Laurent - 2020

We study whether, how, and why the investment of a firm depends on the investment of other firms in the same product … complementarity of investment among product market peers, holding across a large majority of sectors. Peer effects are stronger in … information. Product market peer effects in investment could amplify shocks in production networks …

Persistent link: https://www.econbiz.de/10012219376

Frailty correlated default

Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; … - 2008

We analyze portfolio credit risk in light of dynamic quot;frailty,quot; by which the credit qualities of different firms depend on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated conditional mean default rates, above and beyond those...

Persistent link: https://www.econbiz.de/10003966209

Vanishing liquidity, market runs, and the welfare impact of TARP

Ewerhart, Christian - 2009

I model a financial market that dries out in the wake of premature liquidations. Two main results are obtained. First, liquidity may vanish even if small, riskneutral buyers could easily compensate the ongoing selling. Thus, more markets are vulnerable to quot;runsquot; than suggested by...

Persistent link: https://www.econbiz.de/10003966643

On the lease rate, the convenience yield and speculative effects in the gold futures market

Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - 2009

By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...

Persistent link: https://www.econbiz.de/10003967104

Regulating asset price risk

Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2011

There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...

Persistent link: https://www.econbiz.de/10009009577