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International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10009636533
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Multimarket trading and the cost of debt
Petrasek, Lubomir - 2010
studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis … of crisis. Global issues are more liquid, as evidenced by several trade-based liquidity measures, but the liquidity …
Persistent link: https://www.econbiz.de/10009640328
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The high-yield segment of the corporate bond market
Bondt, Gabe de; Marqués, David - 2004
This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer...
Persistent link: https://www.econbiz.de/10009636536
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Interbank market integration, loan rates, and firm leverage
Ongena, Steven; Popov, Alexander - 2010
We study the effect of interbank market integration on small firm finance in the build-up to the 2007-2008 financial crisis. We use a comprehensive data set that contains contract terms on individual loans to 6,047 firms across 14 European countries between 1998:01 and 2005:12. We account for...
Persistent link: https://www.econbiz.de/10009640288
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An empirical study of liquidity and information effects of order flow on exchange rate
Breedon, Francis; Vitale, Paolo - 2004
proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow … indicate that the strong contemporaneous correlation between order flow and exchange rates is mostly due to liquidity effects …
Persistent link: https://www.econbiz.de/10009639485
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The stock market reaction to the 2005 non-tradable share reform in China
Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2011
During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS), shares typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis,...
Persistent link: https://www.econbiz.de/10009640778
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
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Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...
Persistent link: https://www.econbiz.de/10009636537
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Do demographic changes affect risk premiums?
Ang, Andrew; Maddaloni, Angela - 2003
We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic...
Persistent link: https://www.econbiz.de/10009639859
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455