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This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries. By examining cash flow and discount rate news co-movements, we find that the financial and economic aspects of global market integration have diverged over...
Persistent link: https://www.econbiz.de/10012320303
In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study how much these phenomena are explained by the...
Persistent link: https://www.econbiz.de/10009490157
During the last two decades, the degree of openness of national financial systems has increased substantially. At the same time, asymmetries in information and other financial market frictions have remain prevalent. We study both empirically and theoretically the implications of the opening up...
Persistent link: https://www.econbiz.de/10010260621
Purpose - The purpose of this paper is to investigate the impact of foreign capital shifts on economic activities and asset prices in South Korea. Design/methodology/approach - The authors in this paper apply the Bayesian threshold vector autoregressive (TVAR) model to estimate the regimes of...
Persistent link: https://www.econbiz.de/10012515007
During the last two decades, the degree of openness of national financial systems has increased substantially. At the same time, asymmetries in information and other financial market frictions have remain prevalent. We study both empirically and theoretically the implications of the opening up...
Persistent link: https://www.econbiz.de/10014072512
Persistent link: https://www.econbiz.de/10010126726
Persistent link: https://www.econbiz.de/10009615836
Persistent link: https://www.econbiz.de/10003236294
with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the …
Persistent link: https://www.econbiz.de/10012783344
with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the …
Persistent link: https://www.econbiz.de/10012466855