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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

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

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

Long-run stock performance of German initial public offerings and seasoned equity issues

Stehle, Richard; Ehrhardt, Olaf; Przyborowsky, René - 2000

This paper deals with the long-run stock performance after initial 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 portfolios and matching stocks).

Persistent link: https://www.econbiz.de/10005840912

Price discovery from cross-currency and FX swaps: a structural analysis

Baba, Naohiko; Amatatsu, Yasuaki - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space models. Our main findings are that: (i) the currency...

Persistent link: https://www.econbiz.de/10009248829

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

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