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Cross-Stock Market Spillovers Through Variance Risk Premiums and Equity Flows
Hattori, Masazumi - 2018
We estimate variance risk premiums (VRPs) in the stock markets of major advanced economies (AEs) and emerging market economies (EMEs) over 2007-15 and decompose the VRP into variance-diffusive risk premium (DRP) and variance-jump risk premium (JRP). Daily VAR analysis reveals significant...
Persistent link: https://www.econbiz.de/10012927613
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008689040
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2011
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10009355200
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Short-Run Pain, Long-Run Gain : The Effects of Financial Liberalization
Kaminsky, Graciela; Schmukler, Sergio L. - 2021
We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging market economies since 1973. We also construct an algorithm to identify booms and busts in stock...
Persistent link: https://www.econbiz.de/10013318025
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008699195
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Determinants of financial stress and recovery during the Great Recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
Persistent link: https://www.econbiz.de/10008779817
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Real effects of stock underpricing
Hau, Harald; Lai, Sandy - 2012 - May 28, 2012
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007--2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably...
Persistent link: https://www.econbiz.de/10009554205
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The role of equity funds in the financial crisis propagation
Hau, Harald; Lai, Sandy - 2011
The early stage of the recent ?financial crisis was marked by large value losses for bank stocks. This paper identifies the equity funds most affected by this valuation shock and examines its consequences for the non-financial stocks owned by the respective funds. We find that (i) ownership...
Persistent link: https://www.econbiz.de/10009313028
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The Role of Equity Funds in the Financial Crisis Propagation
Hau, Harald - 2016
The early stage of the 2007-08 financial crisis was marked by large value losses for bank stocks. This paper identifies the equity funds most affected by this valuation shock and examines its consequences for the nonfinancial stocks owned by the respective funds. We document three key empirical...
Persistent link: https://www.econbiz.de/10013008729
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Stock Market Listing and the Persistence of Bank Performance Across Crises
Garel, Alexandre - 2020
This paper examines whether stock market listing influences the persistence of bank performance across crises. We find … a private-to-public transition between the two crises underperform in the 2007-08 crisis, especially if they are top …-to-public transition, banks increase risk in a way that makes them more vulnerable to crises …
Persistent link: https://www.econbiz.de/10012853103