Marchés financiers: working papers (RePEc, 17/11/2010)

Source : NEP (New Economics Papers) | RePEc

  • Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
Date: 2010-10-21
By: Nektarios Aslanidis
Isabel Casas (School of Economics and Management and CREATES, Aarhus University)
8000 Aarhus C, Denmark
Keywords: Semiparametric Conditional Correlation Model, Nonparametric Correlations, DCC, Local Linear Estimator, Portfolio Evaluation.
JEL: C14
  • Solicited and Unsolicited Credit Ratings: A Global Perspective
Date: 2010
By: Winnie P. H. Poon
Kam C. Chan
They conducted a global study of the long-term issuer ratings of nonfinancial firms from Standard and Poor’s Ratings Services (S&P) for the period 1998–2003. Specifically, they focused on the solicited versus unsolicited ratings and sample-selection bias in the analysis. Unlike the literature, they adopted an improved method using Wooldridge’s instrumental-variable approach to mitigate the concern of specification errors in Heckman’s model. They found that the probability of seeking a long-term issuer rating is positively related to the size and profitability of the firm, and negatively related to the growth opportunities and debt levels of the firm. The credit rating is positively related to the sovereign rating, size, and profitability of the issuer, and negatively related to the debt ratio of the issuer. Consistent with the literature, they found sample-selection bias in credit ratings. Their f indings suggest that the firms with solicited ratings seem to be more profitable, more liquid, and have lower leverage than the issuers with unsolicited ratings. After controlling for sample-selection bias and some key financial ratios, they found that unsolicited firms, on average, seem to have lower long-term issuer ratings. [ADBI Working Paper 244]
Keywords: global, financial, Standard, Poor’s Ratings Services, Wooldridge, Heckman
  • The euro area interbank market and the liquidity management of the eurosystem in the financial crisis
Date: 2010
By: Hauck, Achim
Neyer, Ulrike
This paper develops a theoretical model which explains several stylized facts observed in the euro area interbank market after the collapse of Lehman Brothers in 2008. The model shows that if costs of participating in the interbank market are high, the central bank assumes an intermediary function between liquidity surplus banks and liquidity deficit banks and thereby replaces the interbank market. From a policy perspective, we argue that possible measures of the Eurosystem to reactivate the interbank market may conflict, inter alia, with monetary policy aims. —
Keywords: Liquidity,Monetary Policy Instruments,Interbank Market,Financial Crisis
JEL: E52
  • Size, value and liquidity: Do they really matter on an emerging stock market?
Date: 2010
By: Lischewski, Judith
Voronkova, Svitlana
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in a gap in the asset pricing literature and draw attention to these previously overlooked markets. In addition to analyzing the importance of the most prominent risk-factors such as market, size and book-to-market value, we investigate whether liquidity plays a role in pricing Polish stocks. To test this conjecture we use the largest array of liquidity measures that has been used in the literature to date. We take advantage of a hand-collected dataset covering the longest period studied so far in case of the this market. Our results support existing evidence for developed markets with regard to the market, size, and book-to-market f actor. However, in contrast to studies on other emerging markets, we do not find convincing evidence in favour of the liquidity risk premium on the Polish stock market. This result is robust across various liquidity measures and time periods. Analyzing specific characteristics of the Polish market, we consider possible explanations behind this finding. —
JEL: G10

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