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Developing India's offshore local currency bond market : lessons from emerging countries
Kohli, Renu; Sahoo, Pravakar; Shuheb Khan, M. - 2017
; emerging market economies (EMEs) improved however. Offshore, local-currency bonds of EMEs became popular as result, with many … bonds have generated tremendous interest amongst issuers and investors. Market growth and development is challenged though … by several issues, notably lacking liquidity and depth. This paper takes stock. It assesses the current market state and …
Persistent link: https://www.econbiz.de/10011708308
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Consumption in the Great Recession : the financial distress channel
Athreya, Kartik B.; Mather, Ryan; Mustre-del-Río, José; … - 2019
During the Great Recession, the collapse of consumption across the U.S. varied greatly but systematically with house-price declines. We find that financial distress among U.S. households amplified the sensitivity of consumption to house-price shocks. We uncover two essential facts: (1) the...
Persistent link: https://www.econbiz.de/10012137091
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Pricing default risk : the good, the bad, and the anomaly
Ferreira Filipe, Sara; Grammatikos, Theoharry; Michala, … - 2014
While empirical literature has documented a negative relation between default risk and stock returns, the theory suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating monthly probabilities of default (PDs) for a large sample...
Persistent link: https://www.econbiz.de/10011861135
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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...
Persistent link: https://www.econbiz.de/10011405289
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10010472845
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates
Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters …
Persistent link: https://www.econbiz.de/10005857779
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Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
Connor, Gregory; Hagmann, Matthias; Linton, Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
equity return comovements. We test the multifactor beta pricing theory against the Capital Asset Pricing model using a …
Persistent link: https://www.econbiz.de/10005857787
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Difference in Beliefs and Currency Options Markets
Beber, Alessandro; Breedon, Francis; Buraschi, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007
macroeconomic fundamentals can have important asset pricing implications. …
Persistent link: https://www.econbiz.de/10005858023
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Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032