Abstract: The scope of this article is to point out the features of European corporate bond market, in particular its development since the euro introduction. We structured our paper on chapters that present its economic importance, the implications of the common currency in respect to its...

The recent coronavirus disease 2019 (COVID-19) generated some non-routine problems, characterized by a high degree of uncertainty which makes difficult the solving by the full rational decision making models. In the field of finance, such problems are those associated to the fiscal and monetary...

This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz’s definition of value weighted return of a portfolio as the definition of market-based average return of trades...

This study of the co-movements of the transaction prices and trading volumes reveal that the mean correlation of prices, and trading volumes alike, among different housing sub-markets increases during the market boom. After a financial crisis, the correlations drop dramatically and stay low. The...

Rational bubbles are believed to be fragile and unable to explain the trading frenzy associated to price run-ups. With limited enforcement of credit contracts and endogenous debt limits designed to prevent default and allow for maximal credit expansion, a large class of bubbles can be introduced...

This paper examines the factors that contribute to credit spreads in the primary market for Japanese corporate bonds, especially when the Bank of Japan implemented unconventional monetary policy measures. The models of credit spreads based on the Treasury convenience yield hypothesis are...

Can the value of a cryptocurrency be uniquely determined by the fundamentals, such as the rule for money growth implicit in the design of the protocol? To answer this question, we construct a recursive asset-pricing model for a single fiat cryptocurrency, similar to actual Bitcoin. We think of...

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Contrary to the renowned irrelevance theory proposed by Modigliani and Miller in 1961, empirical evidence suggests that assets that pay dividends command a price premium, despite the fact that dividend payments are generally taxed more heavily than capital gains. In this paper, I use a...

We show how time-series of random market trade values and volumes completely describe stochasticity of stock returns. We derive equation that links up returns with current and past trade values and show how statistical moments of the trade values and volumes determine statistical moments of...