Information Aggregation, Security Design, and Currency Swaps
نویسندگان
چکیده
منابع مشابه
Information Aggregation, Security Design and Currency Swaps
A security design model shows that multinational firms needing to finance their operations should issue different securities to investors in different countries in order to aggregate their disparate information about domestic and foreign cash flows. However, if the firm becomes bankrupt, investors may face uncertain costs of reorganizing assets in a foreign country and thus may value foreign as...
متن کاملInformation Aggregation, Currency Swaps, and the Design of Derivative Securities
A model of security design based on the principle of information aggregation and alignment is used to show that (i) ̄rms needing to ̄nance their operations should issue di®erent securities to di®erent groups of investors in order to aggregate their disparate information and (ii) each security should be highly correlated (closely aligned) with the private information signal of the investor to wh...
متن کاملSecurity Design and Information Aggregation in Markets
It has been well-recognized that markets can aggregate less-than-perfect information across market participants. With two differently designed securities, this work examines the impact of security design on the information aggregation ability of markets in laboratory experiments. Results show that markets with one security aggregate information significantly better than markets with the other s...
متن کاملNumerical Valuation of Cross-Currency Swaps and Swaptions
We investigate numerical valuation of cross-currency interest rate-based derivatives under Babbs' extended Vasicek-style model by numerical solution of the associated partial di erential equation (PDE) | in particular, we consider the terminable di erential (di ) swap. Firstly we precisely formulate, in terms of their cash ows, various types of single and cross-currency swaps and swaptions. We ...
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∗Corresponding author: Pascal François, HEC Montreal, Department of Finance, 3000 Cote-SteCatherine, H3T 2A7 Montreal, Canada. Mail to: [email protected]. We thank ING for kindly providing us with CTRS data, and Laurent Bodson for excellent research assistance. Financial supports from SSHRC (François) and Deloitte Luxemburg (Hübner) are gratefully acknowledged. All remaining errors are ours.
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 2002
ISSN: 0022-3808,1537-534X
DOI: 10.1086/339717