Capital Inflows and Asset Prices: Evidence from Emerging Asia

Capital Inflows and Asset Prices: Evidence from Emerging Asia

The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that purpose we estimate a panel VAR on a set of Asian emerging market economies, for which the waves of inf...

Intermediation, Capital Immobility, and Asset Prices

We introduce intermediation frictions into a Lucas (1978) asset pricing model in order to study the effects of low capital in the intermediary sector on asset prices. Our model shows that low intermediary capital can increase risk premia, Sharpe ratios, volatility and comovement among intermediated assets. Reductions in intermediary capital also lead to a flight-to-quality in which intermediari...

Supply Matters for Asset Prices: Evidence from IPOs in Emerging Markets

Capital Asset Prices with and without Negative Holdings

INTRODUCTION* Following tradition, I deal here with the Capital Asset Pricing Model, a subject with which I have been associated for over 25 years, and which the Royal Swedish Academy of Sciences has cited in honoring me with the award of the Prize in Economic Sciences in Memory of Alfred Nobel. I first present the Capital Asset Pricing Model (hence, CAPM), incorporating not only my own contrib...

Capital Account Liberalization, Risk Sharing and Asset Prices

In the month that the capital account is liberalized, all publicly traded firms experience a 7 percent stock price revaluation. Firms whose shares become eligible for purchase by foreigners experience an additional revaluation that is directly proportional to their firmspecific reduction in aggregate risk— the covariance of the typical firm’s stock return with the local market is on average 30 ...