International Investors, Exchange Rates and Equity Prices
نویسندگان
چکیده
منابع مشابه
International Prices and Exchange Rates
We survey the recent empirical and theoretical developments in the literature on the relation between prices and exchange rates. After updating some of the major findings in the empirical literature we present a simple framework to interpret this evidence. We review theoretical models that generate insensitivity of prices to exchange rate changes through variable markups, both under flexible pr...
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This article develops a framework that combines the economics behind the structural modeling of sovereign credit risk, corporate capital structure, and the equilibrium modeling of international asset pricing. The default decisions of the sovereign and the firm are derived optimally and embedded in a two-country, two-good consumption-based asset-pricing model with a representative risk-averse ag...
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Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size premium was reversed. Their findings suggest that a large fraction of the time variation in the size p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2389964