Buscar
Mostrando ítems 11-20 de 1758
Informational efficiency in distressed markets: The case of European corporate bonds
(Economic and Social Studies, 2014-08)
This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial ...
Credit Spreads in Illiquid Markets: Model and Implementation
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2012)
This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term ...
Perspectivas del financiamiento corporativo y el mercado de valores del PerúPerspectives on Corporate Finance and the Peruvian Stock Market
(Universidad Politécnica Salesiana, 2020)
Perspectivas del financiamiento corporativo y el mercado de valores del PerúPerspectives on Corporate Finance and the Peruvian Stock Market
(Universidad Politécnica Salesiana, 2020)
Corporate Credit Spreads and the Sovereign Ceiling in Latin America
(Taylor & Francis, 2017-02-28)
We exploit a panel of 72 US dollar-denominated bonds issued by Latin American publicly listed firms between 1996 and 2004, a period of regional financial crises, to answer the following three questions: (1) Is sovereign ...
A comparative analysis of the informational efficiency of the fixed income market in seven European countries
(North-holland, 2012-09)
This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the ...
The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
(Springer, 2018-02)
This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a ...
On the efficiency of sovereign bond markets
(Elsevier Science, 2012-09-15)
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and ...
Bond markets for Latin American debt in the 1990s
(ECLAC, 2000-11)
Introducción
During the 1990s the market for Latin America's debt grew in volume, types of instruments traded and number of investors and trade houses involved. Investors were drawn by high growthpotential and high yields ...
Capital flows to Latin America and the Caribbean: 2022 year-in-review and early 2023 developments
(ECLAC, 2023-03-02)
Latin American and Caribbean issuers placed US$ 64 billion in bonds on international bond markets in 2022, the smallest annual amount since 2008. In January 2023, sovereign and corporate bond issuers from the region placed ...