Similar Search Results

Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices

Chan-Lau, Jorge A. - 2006

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In...

Persistent link: https://www.econbiz.de/10014402251

Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Richards, Anthony J. - 1996

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

Persistent link: https://www.econbiz.de/10014398639

Interest Rate Rules, Endogenous Cycles, and Chaotic Dynamics in Open Economies

Zanna, Luis-Felipe - 2012

We present an extensive analysis of the consequences for global equilibrium determinacy in flexible-price open economies of implementing active interest rate rules, i.e., monetary rules where the nominal interest rate responds more than proportionally to inflation. We show that conditions under...

Persistent link: https://www.econbiz.de/10014396553

Interest rate rules, endogenous cycles, and chaotic dynamics in open economies

Airaudo, Marco; Zanna, Luis-Felipe - 2012

Persistent link: https://www.econbiz.de/10009614975

The Persistence of Corruption and Slow Economic Growth

Mauro, Paolo - 2002

There is increasing recognition that corruption has substantial, adverse effects on economic growth. But if the costs of corruption are so high, why don’t countries strive to improve their institutions and root out corruption? Why do many countries appear to be stuck in a vicious circle of...

Persistent link: https://www.econbiz.de/10014399729

Multiple Equilibria, Contagion, and the Emerging Market Crises

Masson, Paul R. - 1999

are consistent with observed phenomena, such as the greater volatility of financial asset prices than of macroeconomic …

Persistent link: https://www.econbiz.de/10014400937

The Information Content of Prices in Derivative Security Markets

Scott, Louis O. - 1991

expectations for future spot prices, and option prices are used to calculate the market’s expectations for future volatility of …

Persistent link: https://www.econbiz.de/10014395868

Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices

Medina Guzman, Juan Pablo - 2007

flexible prices. Second, under the optimal policy the volatility of non-tradable inflation is close to zero. Third, stabilizing …

Persistent link: https://www.econbiz.de/10014399992

Investment Banking and Security Market Development : Does Finance Follow Industry?

Anand, Bharat Narendra - 2001

Long-term relationships between business firms and investment banks are pervasive in developed security markets and there is evidence that better monitoring and information result from these relationships. Therefore, security markets should allocate resources better when an investment banking...

Persistent link: https://www.econbiz.de/10014401296

Media sentiment and international asset prices

Fraiberger, Samuel P.; Lee, Do; Puy, Damien; Rancière, … - 2018

We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known...

Persistent link: https://www.econbiz.de/10011978582