In this paper we consider the problem of project evaluation in internationally integrated cross border capital budgeting with political risk. The framework is multi-risk where the first risk is associated with the volatility of the investment's outcome and the second risk is political and is...

This paper models capital flows in a rich-poor, two country, two asset, dual-risk economy with decreasing absolute risk aversion. The first risk is asset specific. The second is political and dependent, i.e., related to particular asset outcomes. In this framework, we show the role of wealth in...

We use the performance of Indian Eurobonds over the period 1990-1992 to examine the sensitivity of India's creditworthiness to the Iraqi invasion of Kuwait on August 2, 1990. We also explore the related question of whether the changes in creditworthiness, measured as the effect of changes in...

In this paper we look at the Indian financial crisis of 1990-1992 that included three credit rating downgrades of two notches each in the short space of 9 months. We measure to what extent India's financial difficulties were the result of conditions prevailing on the international capital...

In the United Kingdom Financial Reporting Standard (FRS) 13 requires narrative and numerical disclosure of all financial instruments held or issued, in order to provide information about their impact on the entity's risk profile. FRS 13 came into force for March 1999 year-ends. Under FRS 13...

In this paper we use the Clark (1991) methodology to estimate the macroeconomic financial risk premium from 1985 to 1997 for Argentina, Brazil, Chile, Colombia, Mexico and Venezuela, the 6 Latin American countries with the largest stock markets, and test whether and to what extent it affects...

This paper compares the effect on firm value of different foreign currency (FC) financial hedging strategies identified by type of exposure (short or long term) and type of instrument (forwards, options, swaps and foreign currency debt). We find that hedging instruments depend on the type of...

This paper analyzes the Mexican peso crisis of 1994 in terms of false government signals and the agency conflict that pits national governments against international lenders when national governments have the power to use moratoriums, repudiation, or default to subordinate the claims of...

This paper uses the expected utility framework to examine the optimal hedging decision for commodities with mean reverting price processes. The derived results show that when commodity prices follow a mean reverting process, the optimal hedge ratio differs significantly from the classical...

We propose a theoretical framework for constructing a market proxy that corresponds to the ldquo;market portfoliordquo; of financial theory. We construct this proxy, analyze its determinants and test its efficiency and explanatory power over the period 1974-2003 with respect to the return...