The Experts below are selected from a list of 120093 Experts worldwide ranked by ideXlab platform
Toni M Whited - One of the best experts on this subject based on the ideXlab platform.
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Equity Market misvaluation financing and investment
Review of Financial Studies, 2015Co-Authors: Missaka Warusawitharana, Toni M WhitedAbstract:We estimate a dynamic investment model in which firms finance with Equity, cash, or debt. Misvaluation affects Equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds flowing to and from these activities come from investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Our parameter estimates imply that misvaluation induces larger changes in financial policies than investment. The investment responses are strongest for small firms but nonetheless modest. Managers' rational responses to misvaluation increase shareholder value by up to 4%. Received January 7, 2014; accepted September 30, 2015 by Editor Leonid Kogan.
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Equity Market misvaluation financing and investment
Social Science Research Network, 2013Co-Authors: Missaka Warusawitharana, Toni M WhitedAbstract:We quantify how much nonfundamental movements in stock prices affect firm decisions. We estimate a dynamic investment model in which firms can finance with Equity or cash (net of debt). Misvaluation affects Equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds owing to and from these activities come from either investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Firms respond to misvaluation by adjusting financing more than by adjusting investment. Managers' rational responses to misvaluation increase shareholder value by up to 8%.
Campbell R Harvey - One of the best experts on this subject based on the ideXlab platform.
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the european union the euro and Equity Market integration
Journal of Financial Economics, 2013Co-Authors: Geert Bekaert, Campbell R Harvey, Christian T Lundblad, Stephan SiegelAbstract:At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to Equity Market integration in Europe. We use a simple and essentially model free measure of bilateral Market segmentation: two countries are segmented if there is a wide divergence in the valuations of their industries. We first establish that segmentation is significantly lower for EU versus non- EU members. Bilateral valuation differentials remain lower for EU members even after we control for several possible channels of integration, such as bilateral trade, direct investment positions, financial regulation, and interest rate differences. Importantly, we find that EU membership reduces Equity Market segmentation between member countries whether or not members have also adopted the Euro. The Euro adoption as well as the anticipation of the Euro adoption has minimal effects on Market integration.
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Emerging Equity Markets in a Globalizing World
SSRN Electronic Journal, 2013Co-Authors: Geert Bekaert, Campbell R HarveyAbstract:Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” Market buckets? We argue that the answer is still yes. While correlations between developed and emerging Markets have increased, the process of integration of these Markets into world Markets is incomplete. To some degree, this accounts for the disparity between emerging Equity Market capitalization in investable world Equity Market benchmarks versus emerging Market economies in the world economy. Currently, emerging Markets account for more than 30% of world GDP. However, they only account for 12.6% of world Equity capitalization. This incomplete integration along with the relatively small Equity Market capitalization should be taken into account in portfolio allocation. Other asset classes within emerging Markets (such as corporate bonds and currencies) are also viable.
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Equity Market liberalization in emerging Markets
Canadian Parliamentary Review, 2003Co-Authors: Geert Bekaert, Campbell R Harvey, Christian T LundbladAbstract:Equity Market liberalizations, if effective, lead to important changes in both the financial and real sectors as the economy becomes integrated into world capital Markets. The study of Market integration is complicated because one can liberalize in many ways and many countries have taken different routes. To study the effectiveness of particular liberalization policies, the sequencing of liberalizations, and the impact on the real economy, systematic methods must be developed to date the liberalization of emerging Equity Markets. We provide a synthesis of the current methods and show the impact of liberalization on the real sector. 2003 The Southern Finance Association and the Southwestern Finance Association. (This abstract was borrowed from another version of this item.)
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Equity Market Liberalization in Emerging Markets
SSRN Electronic Journal, 2002Co-Authors: Geert Bekaert, Campbell R Harvey, Christian T LundbladAbstract:Equity Market liberalizations, if effective, lead to important changes in both the financial and real sectors as the economy becomes integrated into world capital Markets. The study of Market integration is complicated because one can liberalize in many ways and many countries have taken different routes. To study the effectiveness of particular liberalization policies, the sequencing of liberalizations, and the impact on the real economy, systematic methods must be developed to date the liberalization of emerging Equity Markets. We provide a synthesis of the current methods and show the impact of liberalization on the real sector.
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emerging Equity Market volatility
Journal of Financial Economics, 1997Co-Authors: Geert Bekaert, Campbell R HarveyAbstract:Returns in emerging capital Markets are very different from returns in developed Markets. While most previous research has focused on average returns, we analyze the volatility of the returns in emerging Equity Markets. We characterize the time-series of volatility in emerging Markets and explore the distributional foundations of the variance process. Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital Market reform. We shed indirect light on the question of capital Market integration by exploring the changing influence of world factors on the volatility in emerging Markets. Finally, we investigate the cross-section of volatility. We use measures such as asset concentration, Market capitalization to GDP, size of the trade sector, cross-sectional volatility of individual securities within each country, turnover, foreign exchange variability and national credit ratings to characterize why volatility is different across emerging Markets.
Cathy Ning - One of the best experts on this subject based on the ideXlab platform.
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dependence structure between the Equity Market and the foreign exchange Market a copula approach
Journal of International Money and Finance, 2010Co-Authors: Cathy NingAbstract:This paper investigates the dependence structure between the Equity Market and the foreign exchange Market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists significant symmetric upper and lower tail dependence between the two financial Markets, and the dependence remains significant but weaker after the launch of the euro. Our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk.
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Dependence structure between the Equity Market and the foreign exchange Market–A copula approach
Journal of International Money and Finance, 2010Co-Authors: Cathy NingAbstract:This paper investigates the dependence structure between the Equity Market and the foreign exchange Market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists significant symmetric upper and lower tail dependence between the two financial Markets, and the dependence remains significant but weaker after the launch of the euro. Our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk.
Jeffrey Sohl - One of the best experts on this subject based on the ideXlab platform.
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the private Equity Market in the usa lessons from volatility
Venture Capital: An International Journal of Entrepreneurial Finance, 2003Co-Authors: Jeffrey SohlAbstract:Since the nadir of the early 1990s, the angel and venture capital Markets began a rapid recovery followed by a marked decline. These recent Market gyrations offer insights into the private Equity industry. During the rise, angel and venture capital investments soared, accompanied by rising deal valuations. For the first time since the study of angels was initiated, venture capital investments exceed, in total dollars, the amount of angel investments, although the number of deals remained larger in the angel Market. However, unsustainable trends inevitably return to normalcy and these changes have resulted in a restructuring of the Market. Angels are reasserting their fundamental role as the major source of seed capital for high growth entrepreneurial ventures. This paper examines the rise and the downturn in the private Equity Market, and identifies some of the causes for each. Current and future Market trends are also identified.
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The early-stage Equity Market in the USA
Venture Capital, 1999Co-Authors: Jeffrey SohlAbstract:As recently as 20 years ago the USA began a transition from a declining industrial and manufacturing economy to an emerging entrepreneurial/innovation-driven economy. With this transition, the early-stage Equity Market has also evolved. As the institutional venture capital industry continues to focus on later stage and larger investments, the private investor Market now provides the major source of seed and start-up capital. However, imperfections in the seed and start-up Market have led to Market inefficiencies for the high-growth firm. Two funding gaps appear to exist in the US Equity Market, both largely as a result of these Market inefficiencies. This paper provides a broad overview of the early-stage Equity Market for high-growth ventures in the USA. In light of the critical role of business angels in the early-stage Market, special attention will be given to this population. Also included is a discussion of angel Markets and recent trends in the early-stage Equity financing of entrepreneurial ventures.
Geert Bekaert - One of the best experts on this subject based on the ideXlab platform.
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the european union the euro and Equity Market integration
Journal of Financial Economics, 2013Co-Authors: Geert Bekaert, Campbell R Harvey, Christian T Lundblad, Stephan SiegelAbstract:At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to Equity Market integration in Europe. We use a simple and essentially model free measure of bilateral Market segmentation: two countries are segmented if there is a wide divergence in the valuations of their industries. We first establish that segmentation is significantly lower for EU versus non- EU members. Bilateral valuation differentials remain lower for EU members even after we control for several possible channels of integration, such as bilateral trade, direct investment positions, financial regulation, and interest rate differences. Importantly, we find that EU membership reduces Equity Market segmentation between member countries whether or not members have also adopted the Euro. The Euro adoption as well as the anticipation of the Euro adoption has minimal effects on Market integration.
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Emerging Equity Markets in a Globalizing World
SSRN Electronic Journal, 2013Co-Authors: Geert Bekaert, Campbell R HarveyAbstract:Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” Market buckets? We argue that the answer is still yes. While correlations between developed and emerging Markets have increased, the process of integration of these Markets into world Markets is incomplete. To some degree, this accounts for the disparity between emerging Equity Market capitalization in investable world Equity Market benchmarks versus emerging Market economies in the world economy. Currently, emerging Markets account for more than 30% of world GDP. However, they only account for 12.6% of world Equity capitalization. This incomplete integration along with the relatively small Equity Market capitalization should be taken into account in portfolio allocation. Other asset classes within emerging Markets (such as corporate bonds and currencies) are also viable.
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global crises and Equity Market contagion
National Bureau of Economic Research, 2012Co-Authors: Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud MehlAbstract:Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry Equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. We find statistically significant evidence of contagion from US Markets and from the global financial sector, but the effects are economically small. By contrast, there has been substantial contagion from domestic Equity Markets to individual domestic Equity portfolios, with its severity inversely related to the quality of countries' economic fundamentals and policies. This confirms the old "wake-up call" hypothesis, with Markets and investors focusing substantially more on country-specific characteristics during the crisis.
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Equity Market liberalization in emerging Markets
Canadian Parliamentary Review, 2003Co-Authors: Geert Bekaert, Campbell R Harvey, Christian T LundbladAbstract:Equity Market liberalizations, if effective, lead to important changes in both the financial and real sectors as the economy becomes integrated into world capital Markets. The study of Market integration is complicated because one can liberalize in many ways and many countries have taken different routes. To study the effectiveness of particular liberalization policies, the sequencing of liberalizations, and the impact on the real economy, systematic methods must be developed to date the liberalization of emerging Equity Markets. We provide a synthesis of the current methods and show the impact of liberalization on the real sector. 2003 The Southern Finance Association and the Southwestern Finance Association. (This abstract was borrowed from another version of this item.)
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Equity Market Liberalization in Emerging Markets
SSRN Electronic Journal, 2002Co-Authors: Geert Bekaert, Campbell R Harvey, Christian T LundbladAbstract:Equity Market liberalizations, if effective, lead to important changes in both the financial and real sectors as the economy becomes integrated into world capital Markets. The study of Market integration is complicated because one can liberalize in many ways and many countries have taken different routes. To study the effectiveness of particular liberalization policies, the sequencing of liberalizations, and the impact on the real economy, systematic methods must be developed to date the liberalization of emerging Equity Markets. We provide a synthesis of the current methods and show the impact of liberalization on the real sector.
