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Measuring financial fragmentation in the euro area corporate bond market
Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - 2016
Persistent link: https://www.econbiz.de/10011566761
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Measuring financial fragmentation in the euro area corporate bond market
Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-19
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar...
Persistent link: https://www.econbiz.de/10011961260
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Bond market response to the collapse of prominent investment banks
Li, Si; Madura, Jeff; Richie, Nivine - In: The financial review : the official publication of the … 48 (2013) 4, pp. 645-670
Persistent link: https://www.econbiz.de/10010197661
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Financial market integration and asset prices
Sandulescu, Paula Mirela - 2020
My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors...
Persistent link: https://www.econbiz.de/10012508265
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Essays in empirical finance
Jankauskas, Tomas - 2023
Persistent link: https://www.econbiz.de/10014330066
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On the performance of timberland as an alternative asset
Mei, Bin - In: Journal of forest economics : JFE 37 (2022) 2, pp. 169-184
Persistent link: https://www.econbiz.de/10013345762
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Essays on financial integration and risk sharing among EMU members
Balli, Faruk - 2007
Persistent link: https://www.econbiz.de/10009696669
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Evaluating international consumption risk sharing gains : an asset return view
Lewis, Karen K.; Liu, Edith X. - In: Journal of monetary economics 71 (2015), pp. 84-98
Persistent link: https://www.econbiz.de/10011381612
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International financial market’s integration and modelling returns of risky assets
Hassene, Ben Mbarek - 2011
The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …
Persistent link: https://www.econbiz.de/10009711626
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International capital flows, returns and world financial integration
Evans, Martin D. D.; Hnatkovska, Viktoria - In: Journal of international economics 92 (2014) 1, pp. 14-33
Persistent link: https://www.econbiz.de/10010438457