Publications des institutions partenaires
Firms as liquidity providers: Evidence from the 2007-2008 financial crisis
Using a supplier-client matched sample, we study the effect of the 2007-2008 financial crisis on between-firm liquidity provision. Consistent with a causal effect of a negative shock to bank credit, we find that firms with high pre-crisis liquidity levels increased the trade credit extended to other corporations and subsequently experienced better performance as compared to ex-ante…
Institution partenaire
English / 01/07/2013
Do Policymakers Stick to Announced Forecasts of Interest Rates?
If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central banks with the longest history of publishing interest rate paths. We derive and…
Institution partenaire
English / 31/05/2013
Can You Outperform the Market Based on Fundamentals? : Evidence from Datastream Country Indices
We have investigated the regime-switching role of different price to earnings (P/E)
variants. Two-regime asset pricing models allow us to estimate critical levels above
and beyond markets exhibit different systematic risk and abnormal return. However,
whether the regime switch is from a less risky to a riskier state is highly dependent on the P/E variant and on the…
Institution partenaire
English / 14/03/2013
Monitoring and Corporate Disclosure: Evidence from a Natural Experiment
Using an experimental design that exploits exogenous reductions in coverage resulting from brokerage house mergers, we find that a reduction in coverage causes a deterioration in financial reporting quality. The effect of coverage on disclosure is more pronounced for firms with weak shareholder rights, consistent with a substitution effect between analyst monitoring and other…
Institution partenaire
English / 01/03/2013
Electricity Spot and Derivatives Pricing when Markets are Interconnected
Increasing interconnectivity between electricity wholesale markets requires an
efficient allocation scheme in order to provide access to scarce cross-border
transmission capacities. In both the US and Europe, existing schemes have
primarily induced economically inefficient interconnector use given that flows have
to be nominated prior to spot market clearing.…
Institution partenaire
English / 01/01/2013
Product Market Competition, Corporate Governance, and Firm Value: Evidence from the EU-Area
This paper investigates whether the valuation effect of corporate governance depends on the degree of competition in the companies' product markets in a large international sample covering 14 countries from the European Union (EU). Besides providing external validity of previous U.S.-centered studies, this paper uses more comprehensive and reliable measures of both product…
Institution partenaire
English / 01/01/2013
The Impact of Centrally Cleared Credit Risk Transfer on Banks' Lending Discipline
This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can transfer credit risk via central clearing at favorable regulatory conditions. Central clearing, however, reduces the lending discipline because the fact that only standardized…
Institution partenaire
English / 01/01/2013
Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals
Taking advantage of a trades-and-quotes database, the main stylized facts and dynamic properties of a time series related to spot precious metals, that is, gold, silver, palladium, and platinum, are documented. The behavior of spot prices, returns, volume, and selected liquidity measures is analyzed. A clear evidence of periodic patterns matching the trading hours of the most active…
Institution partenaire
English / 01/01/2013
Announcements of Interest Rate Forecasts: Do Policymakers Stick to Them?
If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central banks with the longest history of publishing interest rate paths. We derive and…
Institution partenaire
English / 01/01/2013
Management Influence on Investors: Evidence from Shareholder Votes on the Frequency of Say on Pay
The literature on shareholder voting has mostly focused on the influence of proxy advisors on shareholder votes. We exploit a unique empirical setting enabling us to provide a direct estimate of management's influence. Analyzing shareholder votes on the frequency of future say on pay votes, we find that a management recommendation for a particular frequency is associated with a…
Institution partenaire
English / 01/01/2013
Monetary Policy Effects on Long-term Rates and Stock Prices
This paper explains the effects of monetary policy surprises on long-term
interest rates and stock prices in terms of changes in expected inflation, real
interest rate and dividend growth, and relates these effects to markets' perceptions of economic shocks and Fed's information set. We analyze stock and bond futures price co-movements and relate them to…
Institution partenaire
English / 01/01/2013
Extreme Downside Liquidity Risk
We merge the literature on downside return risk with that on systematic liquidity risk and introduce the concept of extreme downside liquidity (EDL) risk. We show that the
cross-section of expected stock returns reflects a premium for EDL risk. Strong EDL risk stocks deliver a positive risk premium of more than 4% p.a. as compared to weak EDL risk stocks. The effect is more…
Institution partenaire
English / 01/01/2013
Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Indterst Parity
Arbitrage ensures that covered interest parity holds. The condition
is central to price foreign exchange forwards and interbank lending
rates, and reflects the efficient functioning of markets. Normally,
deviations from arbitrage, if any, last seconds and reach a few basis
points. But after the Lehman bankruptcy, arbitrage broke down.
By replicating…
Institution partenaire
English / 08/11/2012
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Models for realized covariance matrices may suffer from the curse of dimensionality as more traditional multivariate volatility models (such as GARCH and stochastic volatility). Within the class of realized covariance models, we focus on the Wishart specification introduced by C. Gourieroux, J. Jasiak, and R.
Sufana [2009. The Wishart autoregressive process of multivariate…
Institution partenaire
English / 01/10/2012
Contracts and Returns in Private Equity Investments
We analyze the relationship between contracts and returns in private equity (PE) investments. Contractual control in the form of covenants tends to be employed to identify good deals. Better quality fi?rms are more likely to have covenant-rich contracts, as they are less concerned by the constraints imposed by the covenants. PE investors appoint closer associates of the fund in deals…
Institution partenaire
English / 05/09/2012
An Alternative Three-factor Model for International Markets: Evidence from the European Monetary Union
In this paper, we construct the three-factor model introduced by Chen et al. (2010) for a European sample covering 10 countries from the European Monetary Union and the period from 1990 to 2006. Two key findings result. First, we show that the properties of the European factors are comparable to those of the U.S. factors. Second, we show that the alternative three-factor model's…
Institution partenaire
English / 01/07/2012
Is There Really No Conglomerate Discount?
Recent research questions the existence of a conglomerate discount. This study addresses two of the most important explanations for the conglomerate discount and finds evidence in support of an economically and statistically significant discount. The first explanation is that the risk-reducing effect of diversification increases debt value and consequently the use of the book value…
Institution partenaire
English / 01/02/2012
Disposition Effect and Mutual Fund Performance
This article finds strong evidence for the presence of the disposition effect among US mutual fund managers. The analysis can establish a link between the disposition effect and mutual fund characteristics as well as changes in the macroeconomic environment. Managers with a lower disposition effect are found to invest in larger equities with a higher trade volume, a higher past…
Institution partenaire
English / 03/01/2012
Information or Insurance? On the Role of Loan Officer Discretion in Credit Assessment
We employ a unique dataset of credit assessments for 3,756 small businesses by nine banks using an identical rating model to examine (i) to what extent loan officers use their discretion to smooth credit ratings of their clients, and (ii) to assess whether this use of discretion is driven by information about the creditworthiness of the borrower or by the insurance of clients against…
Institution partenaire
English / 01/01/2012
Decomposing Performance
We present a new methodology for decomposing the (risk-adjusted) performance in empirical finance. Our technique offers the same straightforward economic intuition and all the statistical benefits of the portfolio sorts approach, in particular robustness to cross-sectional correlation, and in addition resolves the major drawbacks of portfolio sorts. Most importantly, our regression-…
Institution partenaire
English / 01/01/2012
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