Using an extensive sample of environmental, social, and governance (ESG) ratings, we reexamine the corporate social responsibility (CSR) factor premium in developed equity markets between 2007 2019 show that its extent is contingent upon size effects. Consistent with novel market equilibrium, contend exponential growth socially responsible investment (SRI) has rendered risk-adjusted returns lar...

The study examines the asymmetric effect of oil price on exchange rate and stock using Nonlinear Autoregressive Distributive Lag (NARDL) technique time-series data spanning from January 1996 to September 2020. multivariate cointegration test showed evidence a long-run relationship among price, rate, price. linear Granger causality that is granger caused by cause rate. nonlinear nonlinearity BDS...

Currency crises that coincide with banking crises tend to share at least three elements. First, banks have a currency mismatch between their assets and liabilities. Second, banks do not completely hedge the associated exchange rate risk. Third, there are implicit government guarantees to banks and their foreign creditors. This paper argues that the "rst two features arise from banks' optimal re...

This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US’s and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant markets’ indices, the second checks the hom...

This paper studies international portfolio ßows of US investors to examine the information structure of international equity markets. Based on a model of portfolio choice with both public and private information, we propose new empirical measures of trades due to private information. We show that these trades help explain the cross section of international equity returns, after controlling for ...

Established illiquidity measures are constructed for emerging markets in Africa and used to determine which best explain trading costs. Costs of equity are derived from an augmented CAPM for a sample of emerging financial markets generally ignored in the literature. These include: South Africa and Namibia, three countries in North Africa and four in SSA, plus London and Paris as examples of int...

This paper explains why public domestic debt composition in emerging economies can be risky, namely in foreign currency, with a short maturity or indexed. It analyses empirically the determinants of these risk sources separately, developing a new large dataset compiled from national sources for 33 emerging economies over 1994-2006. The paper finds that economic size, the breadth of the domestic...

This paper considers the main elements of the standard pattern of fi nancial liberalization that has become widely prevalent in developing countries. The theoretical arguments in favour of such liberalization are considered and critiqued, and the political economy of such measures is discussed. The problems for developing countries, with respect to fi nancial fragility and the greater propensit...