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Three Empirical Essays In Financial Economics And International Finance
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Book Synopsis Three Empirical Essays in Financial Economics and International Finance by : Marek Kolar
Download or read book Three Empirical Essays in Financial Economics and International Finance written by Marek Kolar and published by . This book was released on 2008 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Finance and Financial Crises by : Peter Isard
Download or read book International Finance and Financial Crises written by Peter Isard and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Finance and Financial Crises: Essays in Honor of Robert P. Flood, Jr. contains the proceedings of a conference held in honor of Robert P. Flood, Jr. Bob Flood has made important contributions to many areas of economic analysis, including regime switching, speculative attacks, bubbles, stock market volatility, macro models with nominal rigidities, dual exchange rates, target zones, and rules versus discretion in monetary policy. Contributors were invited to address any of the topics or others of their choosing. The results include five papers on topics in international finance; two of these papers, as well as the panel discussion, focus on speculative attacks and financial crises. The other three take new directions in exploring topics in which existing models leave much to be desired.
Book Synopsis Three essays on empirical finance by : Tse-Chun Lin
Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Economics and Econometrics by : Canlin Li
Download or read book Essays in Financial Economics and Econometrics written by Canlin Li and published by . This book was released on 2002 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intervention, Interest Rates, and Charts by : Mr.Mark P. Taylor
Download or read book Intervention, Interest Rates, and Charts written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-11-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Book Synopsis Empirical Essays on Financial Economics by : Henrik Degrér
Download or read book Empirical Essays on Financial Economics written by Henrik Degrér and published by . This book was released on 2004 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Economics by :
Download or read book Three Essays in Financial Economics written by and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays in financial economics. In Chapter 1, motivated by the phenomenon that momentum profits vary substantially across different market states, I develop a model to connect market states and momentum profits, and test the model's empirical implications. The model applies the mechanism of overconfidence and self-attribution bias into a setting of multiple risky assets with correlated payoffs. The model generates a set of implications regarding the relation between market states and returns on the winner, loser, and momentum portfolios. These implications are consistent with empirical patterns in the literature and those newly documented in this chapter. Overall, this chapter unifies momentum, negative momentum profits under certain market states, and long-run reversals. In Chapter 2, I examine the strategic role of cash in industries with significant R&D, and the variation of cash holdings and R&D intensity across such industries. In the model, firms compete to innovate but must also finance to bring innovations to the market. The first successful launcher of a new product enjoys an advantage. Outside financing takes time. Cash holdings, R&D intensity, and industry concentration are determined endogenously in equilibrium. Both cash holdings and R&D intensity increase with the winner's advantage and time delay in outside financing, and decrease with entry costs. Empirical patterns of industry cash holdings and R&D intensity support the model predictions. In Chapter 3, I document that the TED spread is a significant negative predictor of value premium. Over 1990 to 2011, a 1% increase in lagged TED spread predicts a 3.3% decrease of CAPM-adjusted value premium, with an R-squared value of 8.2%. I then argue that this finding is consistent with the mechanism that equity expected returns become lower under tighter credit conditions through shareholders' strategic default. I incorporate this mechanism into a simple model of a levered firm and derive more testable hypotheses. Consistent with these hypotheses, I further find that the negative relationship between value premium and lagged TED spread comes mainly from value stocks, stocks with lower credit ratings, stocks with lower cash flows, and stocks with higher shareholders' bargaining power and higher liquidation costs.
Book Synopsis Essays in Financial Economics by : Haofei Zhang
Download or read book Essays in Financial Economics written by Haofei Zhang and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on financial markets, product markets, information markets, and their interaction. Chapter 1 offers an introduction of the essays and summarizes the main findings. Chapter 2 studies how product markets shape managerial short-termism (myopia). It shows that under market competition, managerial short-termism may arise endogenously as a means for firms to commit to competing aggressively. Such managerial short-termism is facilitated by financial markets as firms tie their managers' pay to the short-term stock prices. The following two chapters focus on the interaction between financial markets and information markets; both chapters demonstrate that information markets are crucial in determining asset prices and market quality in financial markets. Chapter 3 develops an information-sales model in which investors acquire uncertain skills to interpret purchased data, thereby changing the behavior of data sellers. It leads to several novel results (e.g., price informativeness increases with skill-acquisition costs), which help clarify certain empirical regularities. Chapter 4 examines sales of financial market information in an economy with two information sellers. In equilibrium, the two sellers form either orthogonal or overlapping clientele, depending on the similarity of the information to be sold. When the two sellers' information is very distinct and the sellers have relatively large bargaining power in sharing trading profits, investors' information purchase behavior exhibits complementarity, leading to the possibility of multiple equilibria.
Book Synopsis Three Essays on Empirical Asset Pricing in International Equity Markets by : Birgit Charlotte Müller
Download or read book Three Essays on Empirical Asset Pricing in International Equity Markets written by Birgit Charlotte Müller and published by Springer Gabler. This book was released on 2021-08-20 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Book Synopsis Three Essays in Financial Economics by : Gabriele Lattanzio
Download or read book Three Essays in Financial Economics written by Gabriele Lattanzio and published by . This book was released on 2019 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three essays in financial economics by : Thomas H. Noe
Download or read book Three essays in financial economics written by Thomas H. Noe and published by . This book was released on 1987 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Economics by : Biplab K. Ghosh
Download or read book Three Essays in Financial Economics written by Biplab K. Ghosh and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Economics by : Eung Jun Brandon Lee
Download or read book Three Essays in Financial Economics written by Eung Jun Brandon Lee and published by . This book was released on 2013 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 studies endogenous medium term cycles in a Schumpterian growth model. New firms are created by imitating existing firms and they drive the least productive firms out of business. In this manner, firm entry speeds up the process of creative destruction, reallocating economic resources from less to more productive firms. Furthermore, the rate of firm entry and intensity of reallocation are procyclical in this model, and therefore transient business cycle shocks are propagated into persistent medium term swings in productivity. While the model generates substantial amount of medium term cycles, their magnitudes are not as large as those found in the data. This is due to an endogenous tension arising from business stealing effect of Schumpeterian models that weakens the basic transmission mechanisms in this model. Chapter 2 develops a model of explicit marketplace competition between firms. Firms compete through technological innovation; a firm with superior technology captures larger market share and earns higher profits than its rival. Arrow's replacement effect in this model implies that industry followers have more to gain from innovations than leaders, and consequently followers invest more heavily than leaders. Therefore, followers derive higher proportions of their firm values from present value of growth opportunities, and this implies that technological leaders and laggards are value and growth firms, respectively. A novel, central empirical prediction of the model is that when realized return on the value-minus-growth portfolio is positive, value firms decrease their investments relative to growth firms, and vice versa. This prediction holds for capital expenditures, but not for R&D expenses in the data. Chapter 3 (joint with Yichuan Liu) presents three sets of empirical results pertaining to cross-sectional patterns in stock returns associated with various accounting ratios such as return on assets, return on equity, gross and net profit margins, and turnover ratios of accounts receivable and payable. First, we show that recent changes in these accounting ratios, rather than their levels, are responsible for large returns spreads. Second, we document fundamental momentum; long-short portfolios formed by sorting on recent changes in these accounting ratios have significant alphas after controlling for Fama-French three-factor and Carhart four-factor models. Third, we examine the findings of Chordia and Shivakumar (2006) who conclude that the well-known price momentum effect is a manifestation of earnings momentum. We find, on the contrary, that price momentum is not fully explained nor subsumed by earnings momentum.
Book Synopsis Essays in International Money and Finance by : James R Lothian
Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.
Book Synopsis Three Essays in Financial Economics by : Jose Vicente Martinez
Download or read book Three Essays in Financial Economics written by Jose Vicente Martinez and published by . This book was released on 2006 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Economics by : Kap-Soo Oh
Download or read book Three Essays in Financial Economics written by Kap-Soo Oh and published by . This book was released on 1986 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Financial Economics by : Dexin Zhou
Download or read book Three Essays on Financial Economics written by Dexin Zhou and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: