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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...
Persistent link: https://www.econbiz.de/10011460780
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Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …
Persistent link: https://www.econbiz.de/10012060201
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The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
King, Michael R.; Osler, Carol; Rime, Dagfinn - 2013
, the impact on market liquidity, and the changing process of price discovery. We also outline potential microstructure …
Persistent link: https://www.econbiz.de/10012143824
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Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009
This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …
Persistent link: https://www.econbiz.de/10005868531
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Financial Integration And Domestic Sovereignty In European Stock Markets
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
n this study, we examine the level of stock market integration and the impact of sovereign risk on the pricing of European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing for partial market integration in which sovereign risk...
Persistent link: https://www.econbiz.de/10005859116
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Long-run stock performance after intial public offerings and seasoned equity issues in the German capital market
Stehle, Richard; Erhardt, Olaf; Przyborowsky, René - Universität <Berlin, Humboldt-Universität> / … - 2000
We estimate the long-run stock performance after intial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolio and matching stocks). In addition we present the...
Persistent link: https://www.econbiz.de/10005863243
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The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Merton’s ICAPM. The systematic pricing of credit riskis...
Persistent link: https://www.econbiz.de/10005857973
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Market and Currency Risk Premia during Financialand Political Crises : An Asset Pricing Perspective
Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This empirical study analyzes market and currency risk premia during financial and political crises within the theoretical framework of the international asset pricing model of Adler and Dumas (1983). The econometric specification extends the multivariate GARCH approach of De Santis and Gerard...
Persistent link: https://www.econbiz.de/10005858143
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International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its...
Persistent link: https://www.econbiz.de/10005858383
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Endogenous Acquisition of Information and The Equity Home Bias
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper investigates the extent to which differences in information costs can explain the equity home bias puzzle. In a model where the cost of acquiring information regarding the Foreign asset is higher than for the Home asset, we show that–if cost functions are convex–the expected size of...
Persistent link: https://www.econbiz.de/10005858507