Similar Search Results

Conditional Asset Pricing in Emerging Stock Markets

Drobetz, Wolfgang; Stürmer, Susanne; Zimmermann, Heinz - 2001

Stock returns in emerging markets are to some extent predictable onthe basis of proper instrument variables. We show that local informationis more important than global information to capture emergingstock market returns. This is an indication for at least partial segmentationof emerging stock...

Persistent link: https://www.econbiz.de/10005866748

Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …

Persistent link: https://www.econbiz.de/10005868531

09/11 on the USD/EUR Foreign Exchange Market

Mende, Alexander - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2005

We study the relationship between foreign exchange trading activity and volatility on theUSD/EUR foreign exchange market on the basis of a unique data set around the events of09/11/2001. We find that volatility and bid-ask spreads are by far larger at that time, but theshock is not persistent....

Persistent link: https://www.econbiz.de/10005867597

EXPLAINING LAUNCH SPREADS ON STRUCTURED BONDS

Firla-Cuchra, Macij T. - University <Oxford> / Department of Economics - 2005

on spreads and delineate the opposing effects of liquidity and marketsegmentation. Finally, we show that other factors …

Persistent link: https://www.econbiz.de/10005870195

WHY ARE SECURITIZATION ISSUES TRANCHED?

FIRLA-CUCHRA, MACIEJ; Jenkinson, Tim - University <Oxford> / Department of Economics - 2005

Securitisations usually involve creating multiple tranches of a single issue with different characteristics, placed on the market as separate securities. Various theoretical explanations have been advanced to explain such tranching. This paper provides the first systematic testing of such...

Persistent link: https://www.econbiz.de/10005870196

Duration, trading volume and the price impact oftrades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - Manchester Business School - 2007

This paper examines the price impact of trading intensity on an emerging futures market. Utilizing anovel volume-augmented duration model of price discovery, the intensity effect is decomposed intoliquidity and information components for the MexDer 28-day interest rate futures contract. We...

Persistent link: https://www.econbiz.de/10005870368

The real estate risk premium:A developed/emerging country panel data analysis

D’Argensio, John-John; Laurin, Frédéric - Center for Operations Research and Econometrics … - 2008

The objective of this paper is to identify the determinants of office capitalization rates for a panel of 52countries (developed and emerging countries) between 2000 and 2006. Our assumption, based on a CapitalAsset Pricing Model, is that the capitalization rate should be at least proportional...

Persistent link: https://www.econbiz.de/10005868743

International Bond Risk Premia

Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...

Persistent link: https://www.econbiz.de/10009305251

Long-run stock performance after intial public offerings and seasoned equity issues in the German capital market

Stehle, Richard; Erhardt, Olaf; Przyborowsky, René - Universität <Berlin, Humboldt-Universität> / … - 2000

We estimate the long-run stock performance after intial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolio and matching stocks). In addition we present the...

Persistent link: https://www.econbiz.de/10005863243

The Dispersion Effect in International Stock Returns

Leippold, Markus; Lohre, Harald - Swiss National Centre of Competence in Research North … - 2008

We find that stocks exhibiting high dispersion in analysts’ earnings forecasts do not onlyunderperform in the U.S. but also in many European countries. Testing for the dispersioneffect in many countries calls for adequate multiple testing controls and we show that theU.S. dispersion effect...

Persistent link: https://www.econbiz.de/10005868983