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| Registros recuperados: 20 | |
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| Reszat, Beate. |
| Japan's markets for money, capital and foreign exchange are among the biggest worldwide. For many years, Tokyo's role as the leading financial center in Asia has been unchallenged. However, recently, other places in the region such as Singapore and Hong Kong have invested heavily to strengthen their competitiveness, and countries like Malaysia and Thailand stand in line to follow their example. This raises two questions: First, how can the emergence of financial centers be explained in general? Second, what are Tokyo's longer-term prospects and how are they affected by the various influences? The study draws the attention to the role of evolutionary forces and the way by which micromotives and the interaction of many agents produces macrobehavior. In this... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Financial Economics; N25; G15; R12. |
| Ano: 2000 |
URL: http://purl.umn.edu/26371 |
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| Karolyi, G. Andrew; Liao, Rose C.. |
| We examine the motives for and consequences of 5,317 failed and completed cross-border acquisitions constituting $619 billion of total activity that were led by government-controlled acquirers over the period from 1990 to 2008. We benchmark this activity at the aggregate country level and also at the deal level with cross-border acquisitions involving corporate acquirers over the same period. We find that government-led deal activity is relatively more intense for geographically-closer countries, but also relatively less sensitive to differences in the level of economic development of the acquirer’s and target’s home countries, in the quality of their legal institutions and accounting standards, and to how stringent are restrictions on FDI flows in their... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Government-controlled Acquirers; Cross-Border Acquisitions; Financial Economics; G15; G34. |
| Ano: 2010 |
URL: http://purl.umn.edu/60686 |
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| Taing, Siv; Worthington, Andrew. |
| This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCHM) models are used to consider the impact of returns in other European markets on the returns in each market across each sector. The results indicate that there are relatively few significant interrelationships between sectors in different markets, with most of these accounted for by the larger markets in France, Germany and Italy.... |
| Tipo: Journal Article |
Palavras-chave: Risk and return; Volatility; Autoregressive conditional heteroskedasticity; C32; F36; G15. |
| Ano: 2005 |
URL: http://purl.umn.edu/37160 |
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| Shams, Rasul. |
| On January 1,1999 euro became the currency for 11 member states of the European Union. Since then the dollar-euro exchange rate has completed a full turning. Three years of depreciation of the euro followed by three years of appreciation without wild fluctuations asks for an explanation which would adequately account for the position of the euro as an emerging international currency. In this paper, first we present a concise summary of the theory of world money. Then we apply the theory to explain the development of the exchange rat of euro versus dollar in the subperiods 1999-2002 and 2002-2004. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Exchange Rates; Balance of Payments; International currency; Financial Economics; F3; F41; G15. |
| Ano: 2005 |
URL: http://purl.umn.edu/26228 |
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| Charoenrook, Anchada; Daouk, Hazem. |
| This paper contributes empirical evidence to the on-going debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for the analysis of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Short-sale constraints; Stock returns; Cost of capital; International finance; Financial Economics; G15; G12. |
| Ano: 2009 |
URL: http://purl.umn.edu/51180 |
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| Kugler, Peter; Weder, Beatrice. |
| This paper contributes to the debate about the puzzle of the Swiss Interest Rate Island. It starts out by establishing some stylized facts about the nature of the puzzle. First it shows that long run real returns on Swiss Euro Deposits have been significantly lower than in any other major currency. A decomposition of return differentials into deviations from uncovered interest rate parity and deviations from purchasing power parity reveals that the former contributes most to the puzzle. Two implications follow from these stylized facts: (i) since the puzzle is present in Euro Deposit rates it cannot be due to local factors such as banking secrecy, and (ii) solutions to the puzzle have to provide an explanation for a long run failure of uncovered interest... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Financial Economics; E43; E44; G15. |
| Ano: 2002 |
URL: http://purl.umn.edu/26190 |
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| Marshall, Pablo; Walker, Eduardo. |
| This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991-1998 period, results show that larger company stock prices –as measured by market capitalization– react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does. |
| Tipo: Journal Article |
Palavras-chave: Efficient market hypothesis; Cross-serial autocorrelation; Emerging markets; Financial Economics; G12; G15. |
| Ano: 2002 |
URL: http://purl.umn.edu/44293 |
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| Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo. |
| This paper builds a general test of contagion in financial markets based on bivariate correlation analysis a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a factor model of returns as theoretical framework, we nest leading contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests are conditional on a specific yet arbitrary assumption about the variance of country specific shocks. Our results suggest that, for a number of pairs of... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Contagion; Financial crisis; Correlation analysis; Financial Economics; F30; C10; G10; G15. |
| Ano: 2001 |
URL: http://purl.umn.edu/28420 |
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| Bortolotti, Bernardo; Fotak, Veljko; Megginson, William; Miracky, William. |
| This study describes the newly created Monitor-FEEM Sovereign Wealth Fund Database and discusses the investment patterns and performance of 1,216 individual investments, worth over $357 billion, made by 35 sovereign wealth funds (SWFs) between January 1986 and September 2008. Approximately half of the investments we document occur after June 2005, reflecting a recent surge of SWF activity. We document large SWF investments in listed and unlisted equity, real estate, and private equity funds, with the bulk of investments being targeted in cross-border acquisitions of sizeable but non-controlling stakes in operating companies and commercial properties. The average (median) SWF investment is a $441 million ($55 million) acquisition of a 42.3% (26.2%) stake in... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Sovereign Wealth Funds; International Financial Markets; Government Policy and Regulation; Financial Economics; G32; G15; G38. |
| Ano: 2009 |
URL: http://purl.umn.edu/50407 |
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| Du, Wen. |
| China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Integration; Wheat; Futures price; GARCH; China; Demand and Price Analysis; International Relations/Trade; G15; Q14. |
| Ano: 2004 |
URL: http://purl.umn.edu/20115 |
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| Antzoulatos, Angelos A.. |
| With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially from one day to the other, the yield should move in tandem with the German one and the corresponding spread should remain relatively stable. Yet, the yield exhibits a small but economically and statistically significant undershooting in response to changes in the German one, as a result of which the spread tends to decline when the latter increases, and vice-versa. We propose that the undershooting is the product of lagged adjustment in the European bond portfolios... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Benchmark Government Bonds; E.M.U.; Credit and Liquidity Premia; Bid/Ask Spread; Financial Economics; E43; F36; G11; G15. |
| Ano: 2002 |
URL: http://purl.umn.edu/26207 |
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| Faulk, Dagney; Giugale, Marcelo M.. |
| The paper reports on an analytical comparison between the foreign debt build-up that preceded the 1982 debt crisis in Latin America and the current debt accumulation process taking place in Eastern Europe. In the whole, Eastern Europe's debt position seems more sustainable than Latin America's in the early 1980s. While the former is equally indebted and shows higher country concentration (around Russia), greater potential for fiscal impact, and no superior macroeconomic environment, its debts are less globally significant, have better repayment terms, are supported by better repayment capacities (in turn due to larger trade openness and virtually no capital flights), and are accumulating at a slower pace in a much more favorable international economic... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Financial Economics; F34; G15. |
| Ano: 1997 |
URL: http://purl.umn.edu/18428 |
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| Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert. |
| We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive. Financial innovation can make both investors and... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Financial Innovation; Financial Fragility; Securities; Risks; Financial Economics; G; G11; G15; G2. |
| Ano: 2010 |
URL: http://purl.umn.edu/96496 |
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| Bernstein, Shai; Lerner, Josh; Schoar, Antoinette. |
| This paper examines the direct private equity investment strategies across sovereign wealth funds and their relationship to the funds’ organizational structures. SWFs seem to engage in a form of trend chasing, since they are more likely to invest at home when domestic equity prices are higher, and invest abroad when foreign prices are higher. Funds see the industry P/E ratios of their home investments drop in the year after the investment, while they have a positive change in the year after their investments abroad. SWFs where politicians are involved have a much greater likelihood of investing at home than those where external managers are involved. At the same time, SWFs with external managers tend to invest in lower P/E industries, which see an increase... |
| Tipo: Working or Discussion Paper |
Palavras-chave: General Finance; Countries & Regions; Financial Services; Financial Economics; G11; G15. |
| Ano: 2009 |
URL: http://purl.umn.edu/50460 |
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| Clark, Gordon L.; Monk, Ashby H.B.. |
| As representatives of nation-states in global financial markets, sovereign wealth funds (SWFs) share a common form and many functions. Arguably their form and functions owe as much to a shared (global) moment of institutional formation as they owe their form and functions to the hegemony of Anglo-American finance over the late 20th and early 21st centuries. We distinguish between the immediate future for SWFs in the aftermath of the global financial crisis, and two possible long-term scenarios; one of which sees SWFs becoming financial goliaths dominating global markets, while the other sees SWFs morphing into nation-state development institutions that intermediate between financial markets and the long-term commitments of the nation-state sponsors. If... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Sovereign Wealth Funds; Crisis; Market Performance; Long-term Investment; Financial Economics; D02; F36; G15. |
| Ano: 2010 |
URL: http://purl.umn.edu/98098 |
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| Registros recuperados: 20 | |
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