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Two forces have reshaped global securities markets in the last decade: Exchanges operate at much faster speeds and the trading landscape has become more fragmented. In order to analyze the positive and normative implications of these evolutions, we study a framework that captures (i)...
Persistent link: https://www.econbiz.de/10011084319
elections and global summits. We find that political uncertainty is priced in the option market in ways predicted by the theory …
Persistent link: https://www.econbiz.de/10011084633
We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market. The level of integration is a time-varying variable that depends on the market...
Persistent link: https://www.econbiz.de/10005123688
We provide new empirical evidence concerning the contentious debate over the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital regulations, alter financial institutions’...
Persistent link: https://www.econbiz.de/10011186617
characteristics of the institutions’ investment styles other than their investment horizons. We also show that the effect of …
Persistent link: https://www.econbiz.de/10008683532
Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...
Persistent link: https://www.econbiz.de/10011083673
The advent of the single currency within the European Union provides a natural experiment to measure how the cost of equity changes as globalization takes place. This is because the launch of the single currency has led to the elimination of currency-related restrictions on the composition of...
Persistent link: https://www.econbiz.de/10005666905
We examine the extent to which the profitability of the HML, SMB, and WML trading strategies can be linked to future GDP growth. Using a large cross-section of securities from ten developed markets, we find that the HML and SMB portfolios contain significant information about future GDP growth....
Persistent link: https://www.econbiz.de/10005791430
We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a …
Persistent link: https://www.econbiz.de/10005114153
The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...
Persistent link: https://www.econbiz.de/10005788933