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on Financial Markets |
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Issue of 2012‒06‒05
three papers chosen by |
| By: | Sohnke M. Bartram (Warwick University); John Griffin (University of Texas at Austin); David T. Ng (Cornell University and Hong Kong Institute for Monetary Research) |
| Abstract: | We develop a simple measure of international ownership linkages and show that this measure is of similar importance as the traditional effects coming from country and industry fundamentals. International ownership linkages are not explained by omitted country/industry variations, wealth effects or other explanations like liquidity, investment style, or fund flows. We find that ownership linkages are a summary measure of investment locale that links investor capital around the world. Beyond the level of foreign ownership, the specific ownership composition of a stock is an important facet of international equity returns - a finding which has important implications for diversification. |
| Keywords: | Institutional Ownership, Asset Management, Portfolio Diversification, International Finance, Comovement |
| JEL: | G3 F4 F3 |
| Date: | 2012–05 |
| URL: | http://d.repec.org/n?u=RePEc:hkm:wpaper:122012&r=fmk |
| By: | Sudipto Bhattacharya; Georgy Chabakauri; Kjell G. Nyborg |
| Abstract: | We develop a model of securitized (Originate, then Distribute) lending, in which both publicly observed aggregate shocks to values of securitized loan portfolios, and later some asymmetrically observed discernment of varying qualities of subsets thereof, play crucial roles. We nd that originators and potential buyers of such assets may dier in their preferences over their timing of trades, leading to a reduction in the aggregate surplus accruing from securitization. In addition, heterogeneity in sellers' selected timing of trades { arising from dierences in their ex ante beliefs { coupled with initial leverage choices based on pre-shock prices, may lead to nancial crises, implying uncoordinated asset liquidations inconsistent with any inter-temporal market equilibrium. We consider and contrast two mitigating regulatory interventions: leverage restrictions, and ex ante specied resale price guarantees on securitized asset portfolios. We show that the latter tool performs strictly better than the former, by ensuring not only bank survival, but also enhanced social surplus arising from securitized lending. It does so by inducing a more coordinated market equilibrium, that does not lead to interim leverage buildup to support a \cherry picking" seller trading strategy. |
| Date: | 2012–05 |
| URL: | http://d.repec.org/n?u=RePEc:fmg:fmgdps:dp704&r=fmk |
| By: | Jair Ojeda-Joya; José E. Gómez-González |
| Abstract: | We study the determinants of sovereign default risk in Colombia by focusing on different time spans of risk which are indicated by yield spreads of government bonds with different maturities. Cointegration regressions are performed to analyze whether the drivers of short-run default risk are different from those of long-run default risk. Our results show that government indebtedness indicators are important determinants of default risk for yield spreads of bonds with maturities shorter than 7 years. In contrast, increases in investment and output growth indicators lower default risk at all maturities. A lower current account balance or a higher exchange rate volatility increase default risk for maturities lower than 10 years. Finally, an openness indicator is found to have positive effects on default risk for maturities longer than 7 years. This last effect is probably due to the increasing external vulnerability that results when a country becomes more integrated to the global economy. |
| Date: | 2012–05–21 |
| URL: | http://d.repec.org/n?u=RePEc:col:000094:009603&r=fmk |