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  • 1
    Electronic Resource
    Electronic Resource
    The Cost of Capital of Cross-listed Firms (2004)
    Oxford, UK; Malden, USA : Blackwell Publishing Ltd/Inc.
    European financial management 10 (2004), S. 0 
    Details
    ISSN: 1468-036X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper analyses the cost of capital of firms with foreign equity listings. Our purpose is to shed light on the question whether international and domestic asset pricing models yield a different estimate of the cost of capital for cross-listed stocks. We distinguish between (i) the multifactor ICAPM of Solnik (1979) and Sercu (1980) including both the global market portfolio and exchange rate risk premia and (ii) the single factor domestic CAPM. We test for the significance of the cost of capital differential in a sample of 336 cross-listed stocks from nine countries in the period 1980–99. Our hypothesis is that the cost of capital differential is substantial for firms with international listings, as these are often large multinationals with a strong international orientation. We find that the asset pricing models yield a significantly different estimate of the cost of capital for only 12% of the cross-listed companies. The size of the cost of capital differential is around 50 basis points for the US, 80 basis points for the UK and 100 basis points for France.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1354-7798.2004.00259.x
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Tail Estimates and the Ems Target Zone (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 2 (1994), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Characteristically, distributions of exchange-rate returns are fat-tailed. We use a nonparametric tail-index estimator based on extreme value theory for seven EMS currencies between April 1979 and October 1991. We find that the behavior of the Belgian franc, the Danish Krone, the French franc, and the Italian lira has become significantly less fat-tailed over time. We attribute this to the decline in the exchange-rate variance as observed in the EMS, which according to the target-zone literature should lead to a convergence of fixed exchange-rate behavior to that of floating rates. A comparison of tail estimates for the Deutsche mark and dollar exchange rates supports this notion.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1994.tb00037.x
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Interest expectations and exchange rates news (1998)
    Springer
    Empirical economics 23 (1998), S. 525-534 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Exchange rates ; risk premia ; survey data ; JEL classification: F31
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, `news' and risk premia. “News” on interest differentials enters significantly in equations for the difference between the spot rate and the lagged forward rate for the British pound, Japanese yen, Spanish peseta and the US dollar. An unexpected rise in the interest rate differential tends to strengthen the domestic exchange rate. For each of these currencies, we also find significant effects of our ex-ante measure of the risk premium. In addition, we investigate the effect of lagged interest rate differentials as proxy for the risk premium and find that they do not capture time-varying risk premia as is widely suggested in the literature, but probably capture a peso-problem, learning about a policy change, a market-inefficiency or a combination of these factors.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050034
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  • 4
    Electronic Resource
    Electronic Resource
    Buffer stock money and pecking order financing: Results from an interview study among Dutch firms (1994)
    Springer
    De economist 142 (1994), S. 287-305 
    Details
    ISSN: 1572-9982
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary In the eighties The Netherlands has recorded a marked increase in the quantity of money. This development was notably attended by a rise in money balances of nonfinancial firms. In an attempt to trace the causes of this development, the Dutch central bank conducted a large-scale survey in 1991. The results corroborate previous econometric research on disaggregate Dutch money demand functions which identifies buffering of profits as the main cause of the increased money holdings by firms. The main contribution of the survey is that it reveals pecking order financing behaviour of firms as an important microeconomic reason for this buffer stock mechanism in firms' money holdings.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01431974
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  • 5
    Electronic Resource
    Electronic Resource
    The permanent income hypothesis, business cycles, and regime shifts: Evidence from eight countries (1994)
    Springer
    De economist 142 (1994), S. 307-325 
    Details
    ISSN: 1572-9982
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary We provide international evidence on the joint behavior of consumption and the real rate of interest and examine the rational expectations restrictions of the permanent income hypothesis. We extend the basic model to allow for independent effects of the stage of the business cycle or a regime shift after 1979. In our eight-country sample (using 1970s–1980s data) we find a small but internationally similar rate of intertemporal substitution once we allow for a regime shift affecting the average growth of consumption after 1979. The rational expectations restrictions are formally rejected, most prominently for the United Kingdom and Japan.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01431975
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    Paper (German National Licenses)
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  • 6
    Electronic Resource
    Electronic Resource
    Financial Market Competition: The Effects of Transparency (1998)
    Springer
    De economist 146 (1998), S. 463-473 
    Details
    ISSN: 1572-9982
    Keywords: financial markets ; transparency ; trading systems
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract European and US financial markets are faced with increased competition for order flow. Fundamental in the competition process is the organization of the trading process, since this directly influences the performance and trading costs of those markets. In this paper we examine the effects of public quote disclosure and the disclosure of transaction information on market liquidity and price efficiency. Our results indicate a clear trade-off between efficiency and liquidity. These findings could explain why a variety of co-existing trading structures can be optimal among competitive financial markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1003299912449
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    Paper (German National Licenses)
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  • 7
    Electronic Resource
    Electronic Resource
    The Dynamics of Short-Term Interest Rate Volatility Reconsidered (1997)
    Springer
    Review of finance 1 (1997), S. 105-130 
    Details
    ISSN: 1573-692X
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we present and estimate a model of short-term interest rate volatility that encompasses both the level effect of Chan, Karolyi, Longstaff and Sanders (1992) and the conditional heteroskedasticity effect of the GARCH class of models. This flexible specification allows different effects to dominate as the level of the interest rate varies. We also investigate implications for the pricing of bond options. Our findings indicate that the inclusion of a volatility effect reduces the estimate of the level effect, and has option implications that differ significantly from the Chan, Karolyi, Longstaff and Sanders (1992) model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009714314989
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  • 8
    Electronic Resource
    Electronic Resource
    Exchange rate expectations and risk premia in the European Monetary System: 1985–1991 (1994)
    Springer
    Open economies review 5 (1994), S. 347-360 
    Details
    ISSN: 1573-708X
    Keywords: EMS expectations ; credibility ; risk premia
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using a new set of survey data on EMS exchange rates, we investigate exchange rate expectations and risk premia between December 1985 and August 1991 to assess credibility of the system. It appears that the EMS—with the exception of the Italian lira—had become credible since early 1990. Moreover, one of the core predictions of the target zone literature—the inverse correlation between the position of the spot rate in the fluctuation band with its expected change—is corroborated for several currencies in the period after April 1990. Although the system appeared to be more credible, the persistence of interest differentials suggested the existence of risk premia. For four out of six currencies we find a significant relationship between the risk premium and the inflation differential relative to Germany.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01000719
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  • 9
    Electronic Resource
    Electronic Resource
    Betting on the EMS (1993)
    Springer
    Open economies review 4 (1993), S. 151-173 
    Details
    ISSN: 1573-708X
    Keywords: efficient markets ; fixed exchange rate systems ; realignments ; peso problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Two speculative strategies within the European Monetary System are empirically evaluated. The potential profitability of speculating on a currency's devaluation at a realignment crucially depends on being able to predict timing and magnitude of the parity change. Such opportunity has been eliminated from the system since 1983. For the reverse strategy of “borrowing low, investing high,” the evidence since 1983 suggests significant profitable opportunities for the weaker EMS countries — Belgium, Denmark, France and Italy — unconditional on knowledge of the timing of realignments. We conclude that this is due to a “peso problem” type of premium.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01000517
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    Paper (German National Licenses)
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  • 10
    Electronic Resource
    Electronic Resource
    Inflation Dynamics and Monetary Strategies: Evidence from Six Industrialized Countries (1998)
    Springer
    Open economies review 9 (1998), S. 21-38 
    Details
    ISSN: 1573-708X
    Keywords: credibility ; monetary policy ; inflation targeting ; structural breaks
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we address the issue whether a switch to inflation targeting can help build monetary policy credibility and can substitute for a track record of low inflation. To this end, we empirically evaluate the success of inflation targeting in Canada, New Zealand and the United Kingdom and investigate to what extent the joint dynamic processes of inflation and nominal interest rates in these three countries have experienced a structural break at the time of the regime switch to inflation targeting. The experience of Canada, New Zealand and the United Kingdom is matched with the United States, Australia and Germany. We find that the effectiveness of the direct inflation targeting approach to quickly increase low-inflation credibility so far is ambiguous and that this strategy is not clearly superior to intermediate monetary strategies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008223206085
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