European Finance eJournal最新文献_第8页

Zombie Credit and (Dis-)Inflation: Evidence from Europe 僵尸信贷和(非)通胀:来自欧洲的证据

European Finance eJournal Pub Date : 2020-03-27 DOI: 10.2139/ssrn.3562737

V. Acharya, Matteo Crosignani, T. Eisert, Christian Eufinger

引用次数: 78

An Analysis of Sovereign Credit Risk Premia in the Euro Area: Are They Explained by Local or Global Factors? 欧元区主权信用风险溢价分析:是本地因素还是全球因素?

European Finance eJournal Pub Date : 2020-03-18 DOI: 10.2139/ssrn.3612941

Sara Cecchetti

{"title":"An Analysis of Sovereign Credit Risk Premia in the Euro Area: Are They Explained by Local or Global Factors?","authors":"Sara Cecchetti","doi":"10.2139/ssrn.3612941","DOIUrl":"https://doi.org/10.2139/ssrn.3612941","url":null,"abstract":"We study the determinants of sovereign credit risk in the euro area in a time period that includes the financial and sovereign debt crisis, as well as the unconventional monetary policy adopted by the European Central Bank. First, we detect the presence of commonality in sovereign credit spreads of different countries, justifying the search for the common factors that drive CDS prices. Building on the work of Longstaff et al. (2011), we employ the econometric model used in Cecchetti (2017) to decompose sovereign credit default swap spreads into expected default losses and risk premia, finding evidence of a significant contribution of the latter component. We use the model to understand to what extent the variations in CDS spreads and in the two embedded components of selected euro-area countries are more linked to local or euro area economic variables. The results point to the importance of both global and local factors, which have a greater impact on the risk premium component. Finally, we estimate the contribution of the objective probability and risk premium components of redenomination risk (as measured by the ISDA basis) to the related CDS spread components, detecting some differences between countries.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"18 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130915141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 28

The Decline of EMU Core Countries' Portfolio Equity Investments in the Euro Area: The Role of Stock Return Correlations 欧元区欧洲货币联盟核心国家证券投资的下降:股票收益相关性的作用

European Finance eJournal Pub Date : 2020-03-15 DOI: 10.2139/ssrn.3805118

Maela Giofré

{"title":"The Decline of EMU Core Countries' Portfolio Equity Investments in the Euro Area: The Role of Stock Return Correlations","authors":"Maela Giofré","doi":"10.2139/ssrn.3805118","DOIUrl":"https://doi.org/10.2139/ssrn.3805118","url":null,"abstract":"This paper investigates the effect of time-varying stock market correlations on the abrupt and persistent decrease of the reciprocal foreign investments by Euro area member countries after 2007. A strong stock market correlation reduces the diversification opportunities and it may therefore have affected the reciprocal investment by EMU countries. The 2007 represents both the outbreak of the global financial crisis and the beginning of the enlargement process. The two events have had a very different impact on the stock returns’ correlation among EMU members. While the enlargement to new countries has reduced the average returns’ correlation within the Euro area as a whole, the financial crisis and the sovereign debt crisis have led to an increase in stock returns’ correlation among old member states. We find that, among old EMU countries, core countries have been particularly affected by stock returns’ correlation. They reduced their equity investments both in foreign EMU core and in foreign EMU periphery economies after the crisis, with a particularly pronounced contraction witnessed by those country-pairs that displayed highly correlated asset returns. These results highlight the importance of the diversification motive for international portfolio investments and complement the institution-based explanation of the decline of the Euro area investments.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115353262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

ECB Language and Stock Returns – A Textual Analysis of ECB Press Conferences 欧洲央行语言与股票回报——欧洲央行新闻发布会文本分析

European Finance eJournal Pub Date : 2020-03-09 DOI: 10.2139/ssrn.3638215

Rouven Möller, Doron Reichmann

引用次数: 11

The Total Return and Risk to Residential Real Estate 住宅房地产的总收益与风险

European Finance eJournal Pub Date : 2020-02-29 DOI: 10.2139/ssrn.3549278

Piet Eichholtz, M. Korevaar, Thies Lindenthal, Ronan Tallec

引用次数: 27

The Shrinkage after the Enlargement? The Effect of Financial Crises and Enlargement on Stock Market Integration in the Euro Area 放大后的缩小?金融危机及其扩大对欧元区股票市场一体化的影响

European Finance eJournal Pub Date : 2020-02-21 DOI: 10.2139/ssrn.3542470

Maela Giofré, O. Sokolenko

引用次数: 2

Can European Electric Utilities Manage Asset Impairments Arising From Net Zero Carbon Targets? 欧洲电力公司能否应对净零碳排放目标带来的资产减值?

European Finance eJournal Pub Date : 2020-02-04 DOI: 10.2139/ssrn.3531724

Conor Hickey, John R. O'Brien, Ben Caldecott, C. McInerney, Brian Ó'Gallachóir

引用次数: 2

Funding the sun: New Paradigms for Financing Off-Grid Solar Companies 资助太阳能:资助离网太阳能公司的新范例

European Finance eJournal Pub Date : 2020-02-01 DOI: 10.2139/SSRN.3771502

D. Cogan, J. Coony, Alex Hazoury, Dana Rysankova, M. Cosgrove-Davies, Michel Rauchs, Tibor Kludovacz, Tania Ziegler, B. Zhang, R. Wardrop, Kieran Garvey, P. Rau, Martino Recanatini, F. Rostand

引用次数: 3

Does Diversification Matter for Economic Performance? An Empirical Analysis 多元化对经济表现有影响吗?实证分析

European Finance eJournal Pub Date : 2020-01-22 DOI: 10.2139/ssrn.3529894

Jorge H. F. Mota, Mário Coutinho dos Santos

{"title":"Does Diversification Matter for Economic Performance? An Empirical Analysis","authors":"Jorge H. F. Mota, Mário Coutinho dos Santos","doi":"10.2139/ssrn.3529894","DOIUrl":"https://doi.org/10.2139/ssrn.3529894","url":null,"abstract":"This paper examines several dimensions of the relationship between diversification and performance. Specifically, we investigate the link between related and unrelated diversification and performance. We also study the effect of the potential redeployment of ‘plastic’ assets on unrelated diversification. To investigate this, we estimated a dynamic panel on a data set of 2,396 diversified firms from the euro area, over the 2010-2017 sampling period. Empirical results indicate that an increase in the level of unrelated diversification, is significantly associated with an 0.32 percent improvement in performance, and related diversification with an 0.41 percent increase in performance. Additionally, we found that an increment in the level of asset plasticity is significantly associated with a 1.54 percent increase in the level of unrelated diversification, and a 0.84 percent increase in the level of related diversification. Overall, our findings contribute to the corporate diversification literature by documenting that both, related and unrelated diversification, impact positively performance. Moreover, providing evidence consistent with the intuition that asset plasticity may be a positive factor for unrelated and related diversification strategies.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114235351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Geography and Determinants of ADR Holdings 美国存托凭证持有的地理位置及其决定因素

European Finance eJournal Pub Date : 2020-01-12 DOI: 10.2139/ssrn.3517972

Anis Samet, W. Abdallah, A. A. Abdallah

引用次数: 2