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On observe que, contrairement a ce que predit la theorie des crises de balance des paiements, les investisseurs internationaux se retirent tardivement et non precocement des pays presentant des desequilibres macroeconomiques evidents. Nous nous demandons si ce comportement peut etre explique par...
Persistent link: https://www.econbiz.de/10005661322
Cette etude mesure l'impact des tendances financieres internationales sur l'evolution des marches peripheriques europeens. Une analyse en composantes principales sur series chronologiques permet d'identifier trois facteurs communs aux marches obligataires, actions et monetaires des Etats-Unis,...
Persistent link: https://www.econbiz.de/10005661355
The aim of this paper is to construct theoretical models which help to shed light on the recent criticisms of volatile investment flows. We do not make any empirical attempt to establish the existence or gauge the importance of the adverse effects of volatile investment flows nor do we make any...
Persistent link: https://www.econbiz.de/10005661544
Using a portfolio balance model of exchange rate determination, this paper develops a theoretical explanation of why central banks do not make precise announcements of their exchange rate targets. In foreign exchange markets, where it is common knowledge that the central bank intervenes to...
Persistent link: https://www.econbiz.de/10005661690
We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by the...
Persistent link: https://www.econbiz.de/10005661851
This paper investigates whether investors' domestic experience helps them enter foreign markets. We show that investors first invest in domestic securities and only some time later they invest abroad in foreign securities. We also show that investors who trade more often in the domestic market...
Persistent link: https://www.econbiz.de/10008483882
Using new data for the universe of firms covered in Amadeus, we reconstruct the portfolios of shareholders who hold equity stakes in private and publicly-traded European firms. We find great heterogeneity in the degree of portfolio diversification across large shareholders. Exploiting this...
Persistent link: https://www.econbiz.de/10008484459
In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are: (a) that market-wide liquidity determines liquidity of individual stocks; (b) that liquidity varies with firm size; (c) that sectoral-based liquidity affects...
Persistent link: https://www.econbiz.de/10008486516
We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of...
Persistent link: https://www.econbiz.de/10008486974
This paper examines the impact of securities regulation and exchange listing standards on the valuation of venture capital-backed IPOs in Canada and the United States. We use a sample of IPOs in both countries matched by size and sector over the 1986-2007 period. The data strongly indicate...
Persistent link: https://www.econbiz.de/10008487262