Sovereign spreads can be broken up into two components: the expected loss from default and the risk premium, with the latter reflecting how investors price the risk of unexpected losses. We show that the risk premium is often the larger part of the spread

We examine the effect of firm credit rating downgrades on the pricing and structure of syndicated bank loans following rating downgrades in the firms' countries of domicile. We find that the sovereign ceiling policies used by credit rating agencies create a disproportionally adverse impact on...

We quantify the differences between market and regulatory assessments of bank portfolio risk, showing that larger differences significantly reduce corporate lending rates. Specifically, to entice borrowers, banks reduce spreads by approximately 4.1% following a one standard deviation increase in...

Do market comovements affect international portfolio investment? We examine whether there are systematic changes made to the holdings of equities listed on U.S. stock exchanges by foreign fund managers when their home markets become more correlated with the U.S. We concentrate on international...

In this paper, we use a set of complementary techniques to examine the time-varying level of integration of European government bond markets. We consider daily bond returns and prices over the 1998-2003 period. Strong contemporaneous and dynamic linkages are found between individual European...

This paper examines the stock return performance of the IPO stocks which are listed on the Growth Enterprise Market (GEM) in Hong Kong. By using several benchmarks, over 3 years, this paper finds that the results produced are sensitive to the benchmark employed. The two factors causing the...

Basel III has introduced new liquidity standards to directly enhance asset liquidity and funding stability within deposit taking institutions. We investigate the links between asset liquidity and funding stability as measured under the Basel III regulatory framework and US banks' deposit funding...

How does the sovereign credit ratings history provided by independent ratings agencies affect domestic financial sector development and international capital inflows to emerging countries? We address this question utilizing a comprehensive dataset of sovereign credit ratings from Standard and...