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Economics Makes Strange Bedfellows : Pensions, Trusts, and Hedge Funds in an Era of Financial Re-Intermediation
Verret, J. W. - 2009
In Strong Managers, Weak Owners, Professor Mark J. Roe articulates an expansive theory to explain the evolution of the … Article examines Professor Roe's theory. It will use the political influences that Roe credits with fragmentation to …
Persistent link: https://www.econbiz.de/10014210457
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Terrorist attacks and financial markets
Bonekamp, Bas; Veen, Tom van - 2017
This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...
Persistent link: https://www.econbiz.de/10011602465
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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GARCH modeling of robust market returns
Cuadro-Sáez, Lucía (contributor);  … - 2007
Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...
Persistent link: https://www.econbiz.de/10003481783
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Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - 2012
Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...
Persistent link: https://www.econbiz.de/10009521479
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High-speed technology trading innovations and capital market performance in Bulgaria
Stefanova, Julia - In: Financial studies 22 (2018) 2, pp. 6-37
. Overwhelmingly, empirical studies emphasize that HFT improves the quality of financial markets in terms of increased liquidity …, liquidity and market capitalization on the Bulgarian capital market following the global financial crisis, concluding that the …
Persistent link: https://www.econbiz.de/10011964945
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Terrorist Attacks and Financial Markets
Bonekamp, Bas - 2017
This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin (2016) on the stock indices of the...
Persistent link: https://www.econbiz.de/10012962114
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The BoC-BoE sovereign default database : what's new in 2019?
Beers, David; Leon-Manlagnit, Patrisha de - 2019
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its...
Persistent link: https://www.econbiz.de/10012104263
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Legal Institutions and Fragile Financial Markets
Chiu, Junmao; Chung, Huimin - 2023
This study investigates equity liquidity variation with a funding constraint across 38 countries and examines whether … equity liquidity. Our results show that firms from countries with more extensive disclosure requirements tend to have lower … liquidity shocks due to funding constraints, leading to higher firm value. This effect is stronger for ex-ante disclosures …
Persistent link: https://www.econbiz.de/10014348650
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Media Coverage and IPO Pricing Around the World
Chen, Yangyang - 2019
We study how media coverage impacts pricing of IPOs around the world. Higher media coverage in the pre-IPO period leads to lower IPO initial returns. The effect is mitigated in countries with better financial reporting quality, greater shareholder rights protection, and more stringent media...
Persistent link: https://www.econbiz.de/10012900781