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Security fungibility and the cost of capital: evidence from global bonds

Miller, Darius P.; Puthenpurackal, John J. - 2005

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...

Persistent link: https://www.econbiz.de/10011604472

Determinants of International Credit Allocation : An Analysis of U.S. Lending by Japanese Banks

Shrieves, Ronald E. - 2014

The central issues addressed are the extent and causes of interdependency between Japanese banks' domestic and US lending. We examine hypotheses that domestic and US credit allocations by Japanese banks during the late 1980s and early 1990s are related through their mutual dependence on capital...

Persistent link: https://www.econbiz.de/10013048455

The Direct Regulation of Potential Systemic Risk of Hedge Funds in the U.S. before and after the Dodd-Frank Act

Nabilou, Hossein - 2014

This article compares the direct regulation of hedge funds in the U.S. prior to the Dodd-Frank Act with the direct regulatory measures to address potential systemic risks of hedge funds ensued in its aftermaths. The direct regulation involves regulatory measures focusing immediately on the...

Persistent link: https://www.econbiz.de/10013054911

The U.S. Left Behind : The Rise of IPO Activity Around the World

Doidge, Craig - 2011

During the past two decades, there has been a dramatic change in IPO activity around the world. Though vibrant IPO activity, attributed to better institutions and governance, used to be a strength of the U.S., it no longer is. IPO activity in the U.S. has fallen compared to the rest of the world...

Persistent link: https://www.econbiz.de/10013128002

Foreign Exchange Exposure and Cost of Equity for US Companies : Local Versus Global CAPM

Dolde, Walter - 2018

For U.S. firms with extreme foreign exchange (FX) exposure levels, we ask whether the single-factor global CAPM yields significantly different cost of equity estimates from the local CAPM. For a sample of U.S. firms from 2000-2007, we find a clear and statistically significant relation between...

Persistent link: https://www.econbiz.de/10012940696

Stress testing U.S. leveraged corporates in a COVID-19 world

Caceres, Carlos; Cerdeiro, Diego A.; Pan, Dan; Suchanan … - 2020

and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding … from corporate debt write-downs appear to be a fraction of banks' capital buffers and, given the size of the leveraged … modest. Corporate stresses could, however, amplify the current economic downturn-as firms cut investment spending and reduce …

Persistent link: https://www.econbiz.de/10012392538

Intermediary balance sheets and the treasury yield curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022

We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...

Persistent link: https://www.econbiz.de/10013432953

Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects

Grammig, Joachim; Melvin, Michael; Schlag, Christian - 2001

We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with...

Persistent link: https://www.econbiz.de/10010316285

Consumption risk sharing over the business cycle: the role of small firms' access to credit markets

Hoffmann, Mathias; Shcherbakova, Iryna - 2009

Consumption risk sharing among U.S. federal states increases in booms and decreases in recessions. We find that small firms' access to credit markets plays an important role in explaining this stylized fact: business cycle fluctuations in aggregate risk sharing are more pronounced in states in...

Persistent link: https://www.econbiz.de/10010264555

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290