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Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An
Campa, Jose M.; Chang, Kevin; Refalo, James F. - IESE Business School, Universidad de Navarra - 2000
the credibility of the "crawling peg" and target zone ("maxiband") regimes governing the exchange rate. Since we do not …. The paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior … credibility of the regime. We also test whether devaluation intensities estimated from these option prices can be explained by …
Persistent link: https://www.econbiz.de/10005021807
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Price efficiency and short selling
Saffi, Pedro; Sigurdson, Kari - IESE Business School, Universidad de Navarra - 2008
This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...
Persistent link: https://www.econbiz.de/10005021733
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Herd behavior towards the market index: Evidence from 21 financial markets
Wang, Daxue - IESE Business School, Universidad de Navarra - 2008
This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of...
Persistent link: https://www.econbiz.de/10005021810
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Non-linear adjustment of import prices in the European Union
Campa, Jose M.; Gonzalez, Jose M.; Sebastia, Maria - IESE Business School, Universidad de Navarra - 2008
This paper focuses on the non-linear adjustment of import prices in national currency to shocks in exchange rates and foreign prices measured in the exporters' currency of products originating outside the euro area and imported into European Union countries (EU-15). The paper looks at three...
Persistent link: https://www.econbiz.de/10005021702
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Sources of gains from international portfolio diversification.
Campa, Jose M.; Fernandes, Nuno - IESE Business School, Universidad de Navarra - 2004
This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of thirty-six countries and thirty-nine industries over the last three decades. Country factors have remained relatively stable over the sample period, while industry...
Persistent link: https://www.econbiz.de/10005021794
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Are anomalies still anomalous? An examination of momentum strategies in four financial markets
Wang, Daxue - IESE Business School, Universidad de Navarra - 2008
In this paper we test the profitability of momentum strategies in the United Kingdom, Germany, Japan and China over the period 1991 to 2006 and sub-periods. Both RSS (Relative Strength Strategies) and WRSS (Weighted Relative Strength Strategies) are used to form the momentum portfolios. We find...
Persistent link: https://www.econbiz.de/10005021805
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Exchange rates and trade: How important is hysteresis in trade?
Campa, Jose M. - IESE Business School, Universidad de Navarra - 2000
This paper looks at the responsiveness of a country's export supply to exchange rate changes and measures its quantitative importance by breaking down export adjustments between changes in output levels by existing exporters (intensive margin) and movements due to changes in the number of...
Persistent link: https://www.econbiz.de/10005030176
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Shareholder value creation in Europe. Eurostoxx 50: 1997-2003
Fernandez, Pablo; Villanueva, Alvaro - IESE Business School, Universidad de Navarra - 2004
2003 was a good year for the shareholders of the companies in the Euro Stoxx 50: the shareholder value creation of these 50 companies was €150,016 million. The companies that created most value for their shareholder were Siemens (€18,778 million), Telefonica (15,382) and BSCH (12,443). The...
Persistent link: https://www.econbiz.de/10005021695
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Levered and unlevered Beta
Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2003
We prove that in a world without leverage cost the relationship between the levered beta ( L) and the unlevered beta ( u) is the No-costs-of-leverage formula: L = u + ( u - d) D (1 - T) / E. We also analyze 6 alternative valuation theories proposed in the literature to estimate the relationship...
Persistent link: https://www.econbiz.de/10005021700
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Rentabilidad y creación de valor de 125 empresas españolas en 2008 (hasta el 17 de septiembre)
Fernandez, Pablo; Bermejo, Vicente J. - IESE Business School, Universidad de Navarra - 2008
En 2008 (hasta el 17 de septiembre), la rentabilidad de la bolsa española fue -25,9%, y hubo nueve empresas (entre 125) con rentabilidad positiva. Las 125 empresas destruyeron valor para sus accionistas por importe de 267 millardos de euros. Considerando conjuntamente 2007 y 2008 (hasta el 17...
Persistent link: https://www.econbiz.de/10005021701