Showing 1 - 10 of 215
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
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
This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The methodology takes the form of a trading strategy, a skewness swap. The return on the strategy shows a significant positive skewness risk premium in individual stocks. The risk premium...
Persistent link: https://www.econbiz.de/10011899675
We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...
Persistent link: https://www.econbiz.de/10010443041
Market integration and currency risk are two main factors that distinguish international investment and financing decisions. Hence, we investigate the impact of currency factor on the dynamics of market integration. We compare integration indices estimated from conditional international asset...
Persistent link: https://www.econbiz.de/10010337959
This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...
Persistent link: https://www.econbiz.de/10011519062
Market liberalization may not result in global pricing or full market integration if implicit barriersare important. We test this proposition for 22 emerging markets using the conditional version ofErrunza and Losq (1985) model. We estimate and compare the degree of integration for stocksthat...
Persistent link: https://www.econbiz.de/10008798297
general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research …
Persistent link: https://www.econbiz.de/10009558452
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage...
Persistent link: https://www.econbiz.de/10003970395
We investigate whether bank performance during the recent credit crisis is related to chief executive officer (CEO) incentives before the crisis. We find some evidence that banks with CEOs whose incentives were better aligned with the interests of shareholders performed worse and no evidence...
Persistent link: https://www.econbiz.de/10003970468