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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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VPIN and the Flash Crash
Andersen, Torben G. - 2014
The Volume-Synchronized Probability of Informed trading (VPIN) metric is introduced by Easley, Lopez de Prado, and O'Hara (2011a) as a real-time indicator of order flow toxicity. They find the measure useful in monitoring order flow imbalances and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10013067703
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Financial Contagion Risk and the Stochastic Discount Factor
Piccotti, Louis R. - 2017
I provide evidence that financial contagion risk is an important source of the equity risk premium. Banks' contributions to aggregate financial contagion are estimated in a state space framework and linked to systemic risk. Greater bank connectedness today leads to increased systemic risk 3-12...
Persistent link: https://www.econbiz.de/10012973399
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
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Transparency through financial claims with fingerprints: a free market mechanism for preventing mortgage securitization induced financial crises
Gründl, Helmut; Post, Thomas - 2009
participants at each stage of the securitization process to obtain easily full information about the underlying original risks and …
Persistent link: https://www.econbiz.de/10010265673
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Instabile Finanzmärkte
Franke, Günter; Krahnen, Jan Pieter - 2009
Aufgabe darin besteht, glaubwürdige Information für Investoren bereitzustellen. Drei Determinanten der Instabilität werden … Eigenkapitalstandards und eine notwendige Risikobegrenzung auf Derivatemärkten. -- Financial Crisis ; Information ; Regulation ; Banking …
Persistent link: https://www.econbiz.de/10003864312
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Transparency through financial claims with fingerprints : a free market mechanism for preventing mortgage securitization induced financial crises
Gründl, Helmut; Post, Thomas - 2009
participants at each stage of the securitization process to obtain easily full information about the underlying original risks and …
Persistent link: https://www.econbiz.de/10003815243
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Information Spillover of Bailouts
Kim, Hugh Hoikwang - 2018
This paper investigates the information spillover effect of government bailouts. Analyzing money market funds' dynamic … variable approach. Overall, results show that investors extract useful information about financial institutions' underlying …
Persistent link: https://www.econbiz.de/10012938383
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Impact of the Dodd-Frank act on credit ratings
Dimitrov, Valentin; Palia, Darius; Tang, Leo - In: Journal of Financial Economics 115 (2015) 3, pp. 505-520
We analyze the impact of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) on corporate bond ratings issued by credit rating agencies (CRAs). We find no evidence that Dodd-Frank disciplines CRAs to provide more accurate and informative credit ratings. Instead, following...
Persistent link: https://www.econbiz.de/10011208260
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The impact of the financial crisis on transatlantic information flows : an intraday analysis
Dimpfl, Thomas; Peter, Franziska Julia - 2014
dynamic interactions between European and US stock markets. We are particularly interested in differences of information … bi-directional information transfer between the US and the European markets with a dominant flow from the US market …. During the crisis dynamic interactions increase. At the same time information flows from European markets increase. The US …
Persistent link: https://www.econbiz.de/10010240602