Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 4 of 4
Full-Text Articles in Business
Corporate Governance Ratings In Emerging Markets: Implications For Market Valuation, Internal Firm-Performance, Dividend Payouts And Policy, Edward Baker, Ben Godridge, Aron Gottesman, Matthew Morey
Corporate Governance Ratings In Emerging Markets: Implications For Market Valuation, Internal Firm-Performance, Dividend Payouts And Policy, Edward Baker, Ben Godridge, Aron Gottesman, Matthew Morey
CRIF Seminar series
This paper utilizes a new data set from AllianceBernstein that, unlike other corporate governance data, has country-level and monthly-updated firm-level governance ratings for 22 emerging markets countries for almost a five year period. With these data we examine the relationship of firm-level and country-level corporate governance on firm valuation, dividend payout, internal firm performance and other issues. We find a number of interesting results that have implications for corporations, investors and policymakers. First, we find there is a positive and significant relation between firm-level and country-level corporate governance ratings and market valuation. Second, we find this relation between governance and …
Searching For Balassa Samuelson In Post-War Data, Lein Lein Chen, Seungmook Choi, John Devereux
Searching For Balassa Samuelson In Post-War Data, Lein Lein Chen, Seungmook Choi, John Devereux
CRIF Working Paper series
The Balassa Samuelson effect is a central result in trade theory. It is also fundamental to our understanding of what occurs during economic growth. As it turns out, the positive relationship between real income and the price level predicted by Balassa Samuelson occurs only after 1970. Why does Balassa Samuelson hold for recent years but not earlier? We provide an empirical explanation for this puzzle. Our point of departure is the observation that measurement error in comparative GDP data biases standard tests against finding a Balassa Samuelson effect. Allowing for measurement error, we find that Balassa Samuelson is present in …
A Comparison Between Tests For Changes In The Adjustment Coefficients In Cointegrated Systems, Marco R. Barassi, Guglielmo Maria Caporale, Stephen G. Hall
A Comparison Between Tests For Changes In The Adjustment Coefficients In Cointegrated Systems, Marco R. Barassi, Guglielmo Maria Caporale, Stephen G. Hall
CRIF Seminar series
In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the recursive eigenvalues is not useful to detect a break in the adjustment coefficients, whilst recursive estimation of the coefficients can only indicate non-constancy, but not the exact breakpoint. Rolling estimation is found to perform better in detecting non-constancy in the parameters and their true value after the breakpoint. However, it only detects a region where the break …
Irving Fisher, Expectational Errors And The Uip Puzzle, Rachel Campbell, Kees Koedijk, James R. Lothian, Ronald Mahieu
Irving Fisher, Expectational Errors And The Uip Puzzle, Rachel Campbell, Kees Koedijk, James R. Lothian, Ronald Mahieu
CRIF Seminar series
In this paper, we first review Irving Fisher’s seminal work on UIP and on the closely related equation linking interest rates and inflation. Like Fisher, we find that the failures of UIP are tied in with individual episodes in which errors surrounding exchange-rate expectations have been persistent but in the end transitory. We find considerable commonality in deviations from UIP and PPP suggesting that both of these deviations are driven by a common factor. Using a dynamic latent factor model we find further that deviations from UIP are almost completely due to forecasting errors in exchange rates – a result …