Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we document local currency depreciations ahead of unscheduled, public, sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower...

This paper provides evidence of deliberate private-information disclosure within banks' international business networks. Using supervisory trade-level data, we show that banks with closer ties to a target advisor in a takeover buy more stocks of the target ffrm prior to the deal announcement,...

I build a model where creditworthy countries may use fiscal austerity to communicate their ability to repay sovereign debt and show that the signaling channel is active only for high levels of asymmetric information. The model generates a negative association between the amount of public...

The authors conducted a global study of the long-term issuer ratings of nonfinancial firms from Standard and Poor's Ratings Services (S&P) for the period 1998–2003. Specifically, they focused on the solicited versus unsolicited ratings and sample-selection bias in the analysis. Unlike the...

This article presents in a rigorous manner a methodological approach for the calculation of the discount rate in emerging markets. This calculation requires a robust estimation of country risk. In addition, it requires to identify explicitly and rigorously the academic relationship between the...

Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...

In this paper we analyze the impact of consistency upon the accuracy of corporate values estimates provided by multiple-based valuation methods. Based on a sample with more than 6,000 firm years from German firms we find consistent multiple definitions generally to outperform inconsistent ones....

When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through an Ornstein-Uhlenbeck (OU) process.Market makers provide...

We introduce Kinetic Component Analysis (KCA), a state-space application that extracts the signal from a series of noisy measurements by applying a Kalman Filter on a Taylor expansion of a stochastic process. We show that KCA presents several advantages compared to other popular noise-reduction...

The multi-leveled processes taking place in crowdfunding, when tapping a large heterogeneous crowd for resources, and the often fundamentally different intentions of individual crowd members in the case of highly desirable social ventures with little prospect for economic gains, may lead to a...