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The period under review – between 23 December 2015 and 26 January 2016 – saw the Brent crude price slide further by 12.7% from the previous period. During that period, there were days when the price dropped below $30 a barrel. Sberbank and VTB lost 8.3% and 12.6% respectively, thus dragging...
Persistent link: https://www.econbiz.de/10012998551
businesses in the new economy. The IPO market has triggered an intense competition between the USA and China. Russia’s stock …
Persistent link: https://www.econbiz.de/10013227129
We show that cross-border financial flows arise when countries differ in their abilities to use assets as collateral. Financial integration is a way of sharing scarce collateral. The ability of one country to leverage and tranche assets provides attractive financial contracts to investors in the...
Persistent link: https://www.econbiz.de/10012962544
This paper investigates the determinants of firms' decision to issue public debt in emerging Asian economies, using a novel database covering the period 1995 to 2007. We use comparable micro level panel of eight countries - China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and...
Persistent link: https://www.econbiz.de/10013141639
We propose a risk-based firm-type explanation on why stocks of firms with high relative short interest (RSI) have lower future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility risk. Consistent with this argument, we show that...
Persistent link: https://www.econbiz.de/10013037671
The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal...
Persistent link: https://www.econbiz.de/10013039417
The paper shows that issuing activity does not result in superior liquidity. Even the kinds of new issues that are supposed to be more liquid than others (IPOs backed by venture capital, new issues with high-prestige underwriters, severely underpriced IPOs) are just as liquid as their peer...
Persistent link: https://www.econbiz.de/10012904032
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance...
Persistent link: https://www.econbiz.de/10013149934
During the recent financial crisis, governments in many countries around the world took on the role of an agency responsible for calming down market upheavals. This global trend has found expression in the adoption of measures designed to save systemically important financial institutions, in...
Persistent link: https://www.econbiz.de/10013084325