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Liquidity in the foreign exchange market : measurement, commonality, and risk premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2009
Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...
Persistent link: https://www.econbiz.de/10003971293
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International pecking order
Eren, Egemen; Malamud, Semyon; Zhou, Haonan - 2022
We document that corporates in emerging markets borrow more in foreign currency when the local currency provides a better hedge in downturns. We develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique...
Persistent link: https://www.econbiz.de/10013168799
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The core, the periphery, and the disaster : corporate-sovereign nexus in COVID-19 times
Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto - 2021 - First draft: January 2021
We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on...
Persistent link: https://www.econbiz.de/10012502146
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Feverish stock price reactions to COVID-19
Ramelli, Stefano; Wagner, Alexander F. - 2020
China, underperformed. As the virus spread to Europe and the United States, corporate debt and cash holdings emerged as …
Persistent link: https://www.econbiz.de/10012181338
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Dominant currency debt
Eren, Egemen; Malamud, Semyon - 2018 - This version: August 22, 2018
We propose a "debt view" to explain the dominant international role of the dollar and provide broad empirical support for it. Within a simple capital structure model in which firms optimally choose the currency composition of their debt, we derive conditions under which all firms issue debt in a...
Persistent link: https://www.econbiz.de/10011900333
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Systemic risk in Europe
Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012
Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...
Persistent link: https://www.econbiz.de/10009684066
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On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062
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Corporate finance in Europe : a survey
Degeorge, François (contributor); Maug, Ernst (contributor) - 2006
We survey research on corporate finance in Europe. The ambition is to provide the reader with an overview of what we … learned, particularly since the beginning of the 1990s. We focus on two themes: (1) the practice and institutions in Europe … Europe is often limited. We focus in particular on equity primary markets; privatizations; cross-listings; capital structure …
Persistent link: https://www.econbiz.de/10003385798
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A consistent model of "explosive" financial bubbles with mean-reversing residuals
Lin, Li; Ren, Ruoen; Sornette, Didier - 2009
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
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Financial bubbles, real estate bubbles, derivative bubbles, and the financial and economic crisis
Sornette, Didier; Woodard, Ryan - 2009
government spending programs have been launched worldwide and especially in the USA and Europe, with the hope to unfreeze credit …
Persistent link: https://www.econbiz.de/10003970395