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Financial crises and the global value premium : revisiting Fama and French
Yamani, Ehab A.; Swanson, Peggy Eubanks - In: Journal of international financial markets, … 33 (2014), pp. 115-136
Persistent link: https://www.econbiz.de/10011299862
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …
Persistent link: https://www.econbiz.de/10011731038
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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Equity Market Contagion During the Global Financial Crisis : Evidence from the World's Eight Largest Economies
Dungey, Mardi - 2015
and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to … advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion … effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a …
Persistent link: https://www.econbiz.de/10013013005
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Financial Crises and the Global Value Premium : Revisiting Fama and French
Yamani, Ehab Abdel-Tawab - 2020
This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the … global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH …
Persistent link: https://www.econbiz.de/10012856811
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LIBOR : Origins, Economics, Crisis, Scandal, and Reform
Hou, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10013055651
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When the Panic Broke Out : Covid-19 and Investment Funds' Portfolio Rebalancing Around the World
Affinito, Massimiliano; Santioni, Raffaele - 2021
To contribute to the understanding of investment funds' (IFs) behaviour, the paper exploits the exogenous shock of the COVID-19 pandemic and analyses more than 12 million security sales and purchases during the first four months of 2020 by over 20,000 IFs from more than 40 national jurisdictions...
Persistent link: https://www.econbiz.de/10013217674
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Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following...
Persistent link: https://www.econbiz.de/10013242872
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Determinants of Time Varying Co-Movements Among International Stock Markets During Crisis and Non-Crisis Periods
Asma, Mobarek - 2016
In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for...
Persistent link: https://www.econbiz.de/10012996921
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International Diversification During Financial Crises
Tai, Chu-Sheng - 2019
/methodology/approach – A conditional international CAPM with asymmetric multivariate GARCH-M specification is used to estimate international …
Persistent link: https://www.econbiz.de/10012862601