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We use the spreads of emerging market bonds traded in secondary markets to study investors’ perception of country risk. Speci...cally, we ask whether investors apply the “sovereign ceiling,” which says that no ...rm is more creditworthy than its government. To do this we compare the...
Persistent link: https://www.econbiz.de/10011070545
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Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We...
Persistent link: https://www.econbiz.de/10004979532
This paper derives a dynamic version of the international CAPM. The exchange-rate risk factors and intertemporal hedging factors are derived endogenously in a model that builds upon Campbell (1993). We provide a theoretical foundation for empirical risk factors often used in international asset...
Persistent link: https://www.econbiz.de/10011070518
This paper examines the link between capital market governance (CMG) and several key measures of market performance. Using detailed data from individual stock exchanges, we develop a composite CMG index that captures three dimensions of security laws: the degree of earnings opacity, the...
Persistent link: https://www.econbiz.de/10010921213
Using firm-level data from 46 countries, we investigate the relation between corruption – the misuse of public office for private gains – and international corporate values. Our analysis shows that firms from more (less) corrupt countries trade at significantly lower (higher) market...
Persistent link: https://www.econbiz.de/10010921288
We study information transmission to a decision maker from an advisor who values a reputation for incorruptibility in the presence of a third party who offers unobservable payments/bribes. While it is common to ascribe negative effects to such bribes, we show that given reputational concerns,...
Persistent link: https://www.econbiz.de/10005014612
Identity theft is made possible by the nature of modern payment systems. In the modern economy, sellers are willing to offer goods and services to strangers in exchange for a promise to pay, provided the promise is backed up by data that link the buyer to a specific account or credit history....
Persistent link: https://www.econbiz.de/10005560913
We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds issued by emerging market firms and bonds issued by their...
Persistent link: https://www.econbiz.de/10005712770
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