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Open Access. Powered by Scholars. Published by Universities.®

Fordham University

2003

Articles 1 - 8 of 8

Full-Text Articles in Finance and Financial Management

Optimal Transaction Filters Under Transitory Trading Opportunities: Theory And Empirical Illustration, Ronald J. Balvers, Yangru Wu Dec 2003

Optimal Transaction Filters Under Transitory Trading Opportunities: Theory And Empirical Illustration, Ronald J. Balvers, Yangru Wu

CRIF Seminar series

If transitory profitable trading opportunities exist, filter rules are used in practice to mitigate transaction costs. The filter size is difficult to determine a priori. Our paper uses a dynamic programming framework to design a filter that is optimal in the sense of maximizing expected returns after transaction costs. The optimal filter size depends crucially on the degree of persistence of the profitable trading opportunities, on transaction cost, and on the standard deviation of shocks. We apply our theoretical results to foreign exchange trading by parameterizing the moving average strategy often employed in foreign exchange markets. The parameterization implies the …

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Stock Market Liberalization And The Information Environment, Kee-Hong Bae, Warren Bailey, Connie X. Mao Oct 2003

Stock Market Liberalization And The Information Environment, Kee-Hong Bae, Warren Bailey, Connie X. Mao

CRIF Seminar series

We study the associations between openness to foreign equity investors and the information environment facing emerging market firms. Changes in openness are reflected in legal, regulatory, and cross-listing events, the fraction of stock available to foreign investors, and the size of U.S. portfolio capital flows. The information environment is reflected in firm-specific return volatility and in indicators of information production, uncertainty, and disagreement related to earnings announcements. We find that information measures typically increase with openness to foreign equity investment, particularly in the form of security cross-listings and aggregate portfolio flows.

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The Economics Of International Monies, Gerald P. Dwyer Jr., James R. Lothian Sep 2003

The Economics Of International Monies, Gerald P. Dwyer Jr., James R. Lothian

CRIF Working Paper series

The purpose of this paper is to examine the history of international monies and the theory related to their adoption and use. We summarize the history of international monies, beginning with a discussion of the gold solidus introduced in the fourth century by the Emperor Constantine, continuing with the currencies of the Italian city states and ending with the currencies that have functioned as international monies from the early modern period to the present. We identify four key characteristics of these currencies: high unitary value; relatively low inflation rates for long periods; issuance by major economic and trading powers; and …

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Equilibrium Impact Of Value-At-Risk Regulation, Markus Leippold, Fabio Trojani, Paolo Vanini Jul 2003

Equilibrium Impact Of Value-At-Risk Regulation, Markus Leippold, Fabio Trojani, Paolo Vanini

CRIF Seminar series

We study the partial and general equilibrium implications of value-at-risk (VaR) regulation in continuous-time economies with intermediate expenditure, stochastic opportunity set, and heterogeneous attitudes to risk. Our findings show that because of an anticipatory effect of VaR constraints on the optimal hedging demand, the partial equilibrium incentives of VaR regulation can lead banks to increase their risk exposure in high-volatility states. In general equilibrium, VaR constraints can produce unambiguously lower interest rates and higher equity Sharpe ratios. The VaR impact on equity volatility and equity expected returns is ambiguous.

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Corporate Stability And Economic Growth, Kathy S. He, Randall Morck, Bernard Yeung Feb 2003

Corporate Stability And Economic Growth, Kathy S. He, Randall Morck, Bernard Yeung

CRIF Seminar series

Greater instability in a country's list of top corporations is associated with faster economic growth. This faster growth is primarily due to faster growth in total factor productivity in industrialized countries, and faster capital accumulation in developing countries. These findings are consistent with the view that economic growth is more closely tied to the rise of new large firms than to the prosperity of established large firms. Although a stable list of leading corporations is highly correlated with government size, it is unrelated to other possible policy goals, such as (successful) income equalization and avoiding economic crises, it is related …

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The Behavior Of Money And Other Economic Variables: Two Natural Experiments, James R. Lothian, Cornelia H, Mccarthy Jan 2003

The Behavior Of Money And Other Economic Variables: Two Natural Experiments, James R. Lothian, Cornelia H, Mccarthy

CRIF Working Paper series

Every once in a great while, history provides us with a natural experiment, an episode in which a major change in a key economic variable occurs that has no direct relation to the contemporaneous behavior of the variables that theory suggests it ought to effect.1 A classic example was the currency reform during the U.S. Civil War by the Confederacy in spring 1864. A second was provided by the massive inflow of specie from the New World to Spain in the sixteenth century. In the first of these examples, a rapidly growing money stock suddenly fell and a decline in …

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Real Exchange Rates Over The Past Two Centuries: How Important Is The Harrod-Balassa-Samuelson Effect?, James R. Lothian, Mark P. Taylor Jan 2003

Real Exchange Rates Over The Past Two Centuries: How Important Is The Harrod-Balassa-Samuelson Effect?, James R. Lothian, Mark P. Taylor

CRIF Seminar series

Using long-span data on the dollar-sterling and dollar-franc real exchange rates over the past two centuries, we apply the findings of various strands of the recent literature in order to examine the statistical and economic significance of the Harrod-Balassa-Samuelson effect (the effect of productivity differentials on real exchange rates) in a nonlinear context while allowing for shifts in volatility across nominal exchange rate regimes, and the implications for the speed of adjustment. The results indicate significant nonlinearity and volatility shifts corresponding broadly to the classical Gold Standard and Bretton Woods periods, as well as a statistically significant Harrod-Balassa-Samuelson effect, although …

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Does Opening A Stock Exchange Increase Economic Growth?, Scott L. Baier, Gerald P. Dwyer, Jr., Robert Tamura Jan 2003

Does Opening A Stock Exchange Increase Economic Growth?, Scott L. Baier, Gerald P. Dwyer, Jr., Robert Tamura

CRIF Seminar series

We examine the connection between the creation of stock exchanges and economic growth with a new set of data on economic growth that spans a longer time period than generally available. We find that economic growth increases relative to the rest of the world after a stock exchange opens. Our evidence indicates that increased growth of productivity is the primary way that a stock exchange increases the growth rate of output, rather than an increase in the growth rate of physical capital. We also find that financial deepening is rapid before the creation of a stock exchange and slower subsequently.

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