Results 1 - 10 of 4,232

Interest Rate Derivatives Trade Repository by

by Clearing Relationships, Matter Craig Donner, Steve Letzler, Bari Trontz
"... National Securities Clearing Corporation (NSCC) has launched a new automated system for broker/dealers to electronically establish, monitor and update their relationships with Qualified Special Representatives (QSR) and correspondent clearing partners. These relationships allow NSCC to ensure that a ..."
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that a correspondent broker has authorized a QSR or Special Representative to submit locked-in equity data on its behalf. in this issue

The Equity Premium: A Puzzle

by Rajnish Mehra, Edward C. Prescott - Journal of Monetary Economics , 1985
"... Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equ ..."
Abstract - Cited by 1751 (40 self) - Add to MetaCart
Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely

Risks for the long run: A potential resolution of asset pricing puzzles

by Ravi Bansal, Amir Yaron - JOURNAL OF FINANCE , 1994
"... We model consumption and dividend growth rates as containing (i) a small long-run predictable component and (ii) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin’s (1989) preferences, can explain ke ..."
Abstract - Cited by 761 (63 self) - Add to MetaCart
key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price-dividend ratio

Do Domestic Firms Benefit from Direct Foreign Investment? Evidence from Venezuela

by Brian J. Aitken, Ann E. Harrison - AMERICAN ECONOMIC REVIEW , 1999
"... Governments often promote inward foreign investment to encourage technology “spillovers” from foreign to domestic firms. Using panel data on Venezuelan plants, we find that foreign equity participation is positively correlated with plant produc-tivity (the “own-plant” effect), but this relationship ..."
Abstract - Cited by 757 (5 self) - Add to MetaCart
Governments often promote inward foreign investment to encourage technology “spillovers” from foreign to domestic firms. Using panel data on Venezuelan plants, we find that foreign equity participation is positively correlated with plant produc-tivity (the “own-plant” effect), but this relationship

Corporate Ownership Around The World

by Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer , 1998
"... We present data on ownership structures of large corporations in 27 wealthy economies, making an effort to identify the ultimate controlling shareholders of these firms. We find that, except in economies with very good shareholder protection, relatively few of these firms are widely held, in contras ..."
Abstract - Cited by 1163 (30 self) - Add to MetaCart
We present data on ownership structures of large corporations in 27 wealthy economies, making an effort to identify the ultimate controlling shareholders of these firms. We find that, except in economies with very good shareholder protection, relatively few of these firms are widely held

Extreme Correlation of International Equity Markets

by François Longin, Bruno Solnik - JOURNAL OF FINANCE , 2001
"... Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that i ..."
Abstract - Cited by 414 (2 self) - Add to MetaCart
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation

The Consumption of Stockholders and Nonstockholders

by N. Gregory Mankiw, Stephen P. Zeldes - Journal of Financial Economics , 1991
"... Only one-fourth of U.S. families own stock. This paper examines whether the consumption of stockholders differs from the consumption of nonstockholders and. if so. whether these differences help explain the empirical failures of the consumption-based CAPivl. Household panel data are used to construc ..."
Abstract - Cited by 421 (4 self) - Add to MetaCart
Only one-fourth of U.S. families own stock. This paper examines whether the consumption of stockholders differs from the consumption of nonstockholders and. if so. whether these differences help explain the empirical failures of the consumption-based CAPivl. Household panel data are used

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
contingent-claims framework. In Section II, we discuss the data and define the proxies used. In Section III, we analyze our results. In Section IV, we provide evidence for the robustness of our results on several fronts. First, we repeat the analysis using transactions (rather than quotes) data to obtain

A new database on financial development and structure, Working paper

by Thorsten Beck, Aslı Demirgüç-kunt, Ross Levine - Journal of Financial Economics , 1999
"... The findings, interpretations, and conclusions expressed in this paper are entirely those of the author(s) and should not be attributed in any manner to the World Bank, to its affiliated organizations, or to members of its Board of Executive Directors or the countries they represent. The World Bank ..."
Abstract - Cited by 414 (21 self) - Add to MetaCart
does not guarantee the accuracy of the data included in this publication and accepts no responsibility whatsoever for any consequence of their use. A New Database on Financial Development and Structure iii Summary This paper introduces a new database of indicators of financial development and structure

The determinants of cross-border equity flows

by Richard Portes, Hélène Rey, Shan Jin Wei, Alan Winters - Journal of International Economics , 2005
"... We explore a new panel data set on bilateral gross cross-border equity flows between 14 countries, 1989-96. We show that a “gravity ” model explains international transactions in financial assets at least as well as goods trade transactions. Gross transaction flows depend on market size in both sour ..."
Abstract - Cited by 267 (9 self) - Add to MetaCart
We explore a new panel data set on bilateral gross cross-border equity flows between 14 countries, 1989-96. We show that a “gravity ” model explains international transactions in financial assets at least as well as goods trade transactions. Gross transaction flows depend on market size in both
Results 1 - 10 of 4,232