Economic, Financial, and Fundamental Global Risk in and Out of the EMU PDF Download
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Author: Wayne E. Ferson
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 60
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Book Description
We explore the different factors that drive expected returns in world markets. Our research offers two innovations. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset pricing models. We use a synthetic Euro excess return along with a Yen excess return to assess country equity sensitivities to currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental information in the factor proposed in Fama and French (1998). We find that a global price-to-book factor offers little additional explanatory power over and above a model that includes economic risk factors.
Author: Wayne E. Ferson
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 60
Get Book Here
Book Description
We explore the different factors that drive expected returns in world markets. Our research offers two innovations. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset pricing models. We use a synthetic Euro excess return along with a Yen excess return to assess country equity sensitivities to currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental information in the factor proposed in Fama and French (1998). We find that a global price-to-book factor offers little additional explanatory power over and above a model that includes economic risk factors.
Author: Wayne E. Ferson
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
We explore the different factors that drive expected returns in world markets. Our research offers two innovations. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset pricing models. We use a synthetic Euro excess return along with a Yen excess return to assess country equity sensitivities to currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental information in the factor proposed in Fama and French (1998). We find that a global price-to-book factor offers little additional explanatory power over and above a model that includes economic risk factors.
Author: Wayne E. Ferson
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
Author: Thomas Moser
Publisher: Springer Science & Business Media
ISBN: 1475751311
Category : Business & Economics
Languages : en
Pages : 324
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Book Description
This book is based on the conference "EMU and the Outside World", held at the Swiss Federal Institute of Technology (ETH), December 11, 1998. The conference was organized by the Swiss Institute for Business Cycle Research (KOF), which is supported jointly by the ETH and the Swiss Society for Business Cycle Research (SGK), an organization comprising representatives from private industry, the Swiss National Bank and public authorities. On the eve of the final stage of European Economic and Mone tary Union (EMU), Zurich seemed to be a particularly appropriate place for such a conference. On the one hand, given its location and economic and financial links with the euro area, Switzerland is one of the "outside coun tries" most affected by EMU. On the other hand, it was nowhere else than in Zurich where the vision of "a United States of Europe" was expressed for the first time by Winston Churchill in his speech on September 19, 1946. For many EMU is a step in that direction, whether welcome or not. Most of the papers appearing in this volume were presented at the con ference and have been revised and updated. Three contributions, chapter 11- 13, were commissioned specially for this publication. Besides the authors of the chapters, special thanks are due to Guido Boller, Robert McCauley, Umberto Schwarz, and Charles Wyplosz.
Author: Hubert Ooghe
Publisher: Springer Science & Business Media
ISBN: 1461513839
Category : Business & Economics
Languages : en
Pages : 441
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Book Description
The Economic and Business Consequences of the EMU A Challenge for Governments, Financial Institutions and Firms Hubert Ooghe Conference Chairman, Vlerick Leuven Gent Management School alld Ghent University EMU finally got under way on 1 st January 1999. Since then 11 European countries share a common currency, the Euro, and pursue a common monetary policy managed by the European Central Bank (ECB). After forty years of economic integration, Euroland has the wherewithal with which to enter the 21 st century. However monetary union has implications for nearly all areas of economic activity and decision-making. Throughout the academic world researchers are fully occupied with the theoretical analysis of the impact of the Euro and the effects of incorporating the new operational framework into their economic models. Businesses and government departments are concerned primarily with the practical implementation of the single currency. For all those who playa part in the economy, it is a question of making the most of the macro and micro economic opportunities offered by the Euro and minimising any threats. On 17th and 18th March 2000, after the EMU and Euro were in operation for one year, an international conference was held in Ghent (Belgium) on the economic consequences of the introduction of the EMU and the Euro for governments, financial institutions and firms.
Author: Ulrich Machold
Publisher: GRIN Verlag
ISBN: 3638161501
Category : Business & Economics
Languages : en
Pages : 18
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Book Description
Seminar paper from the year 2001 in the subject Economics - Monetary theory and policy, grade: 1.2 (A), Technical University of Berlin (European Center), course: The EU as a common economy, language: English, abstract: Within the last three years, the European financial landscape has undergone a rapid transformation that continues to astonish observers and market participants alike: Corporate and public euro bond markets have emerged whose issuing activities rival those of respective US dollar markets. Europe-wide indices have been firmly established. Institutional portfolios are being traded along pan-European sectoral rather than national lines. Cross-border mergers of banks and financial institutions on an unprecedented scale are drastically changing national banking landscapes as well as international financial structures and underlying all of this is the revolutionary emergence of a genuine European equity culture. Quite naturally, not all of these developments can be attributed to the eventual arrival of European Economic and Monetary Union (EMU). Many trends have had their precursors in the continuing liberalisation and de-regulation processes of the 1990s, as manifested in the 1992 Maastricht Treaty. However, historical data makes it difficult not to account for EMU as one major factor behind many of the most recent changes. In this paper, I will therefore argue that at least some of the above changes can best be explained by the effects of EMU. In several ways, the advent of the single currency has triggered an equilibrium shift in more than one field that would otherwise not have occurred. In order to do so, I shall first put EMU into perspective by briefly sketching its position within the wider framework of the process of European capital market integration by means of liberalisation. Second, I shall illustrate whether and to what extent the intended direct effects of EMU did in fact materialise, but also how further indirect effects go beyond these and contribute to explaining some seemingly less related developments. Last, I shall evaluate how integrated European capital markets in fact are compared to national markets, using the U.S. as a benchmark, and close with a brief discussion of potential normative implications.
Author: G. Constantinides
Publisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
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Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Author: Cheng-Few Lee
Publisher: Springer Nature
ISBN: 3030912310
Category : Business & Economics
Languages : en
Pages : 2746
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Book Description
The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.
Author: Compiled by the British Library of Political and Economic Science
Publisher: Psychology Press
ISBN: 9780415240093
Category :
Languages : en
Pages : 660
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Book Description
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences
Author: Hubert Ooghe
Publisher: Springer
ISBN: 9781461513841
Category :
Languages : en
Pages : 452
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Book Description
The European Monetary Union (EMU) got under way on 1 January 1999. Since then 11 European countries share a common currency, the Euro, and pursue a common monetary policy managed by the European Central Bank (ECB). After forty years of economic integration, Europe has the wherewithal with which to enter the 21st century. However monetary union has implications for nearly all areas of economic activity and decision-making. Throughout the academic world researchers are fully occupied with the theoretical analysis of the impact of the Euro and the effects of incorporating the new operational framework into their economic models. Businesses and government departments are concerned primarily with the practical implementation of the single currency. For all those who play a part in the economy, it is a question of making the most of the macro and microeconomic opportunities offered by the Euro and minimizing any threats. The Economic and Business Consequences of the EMU describes the economic consequences of the introduction of the EMU and the Euro for governments, financial institutions and firms. The volume, s aims are threefold: To make a first assessment after about a year=s experience with Economic and Monetary Union; To examine the impact of EMU and the introduction of the Euro in various areas of economic policy, involving both government and the corporate sector including the banking industry; To provide an insight into the challenges that the Euro offers for the coming years with respect both to macro-economic policy and the development of the financial markets and with respect to business management.
