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European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
Bailouts Contagion DCC GARCH Dynamic correlation Equity markets Financial crises
2016/1/27
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH...
Corporate cash flows are highly volatile and strongly procyclical. We examine the assetpricing implications of the sensitivity of corporate cash flows to economic shocks within a
continuo...
Agency Costs of Free Cash Flow and the Effect of Shareholder Rights on the Implied Cost of Equity Capital
the effect of shareholder rights the cost of equity the impact of agency problems forecast biases
2011/10/13
In this paper, we examine the effect of shareholder rights on reducing the cost of equity and the impact of agency problems from free cash flow (FCF) on this effect. We find that firms with strong sha...
Brazilian Market Reaction to Equity Issue Announcements
Brazilian stock market SEOs event study market volatility GARCH
2009/9/25
We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before,...