Scholarly Works, Finance, Insurance and Business Law
Permanent URI for this collection
Research articles, presentations, and other scholarship
Browse
Browsing Scholarly Works, Finance, Insurance and Business Law by Subject "business"
Now showing 1 - 3 of 3
Results Per Page
Sort Options
- Foreign currency - Denominated debt: An empirical examinationKedia, Simi; Mozumdar, Abon (University of Chicago Press, 2003-10)We examine the determinants of debt issuance in 10 major currencies by large U. S. firms. Using the fraction of foreign subsidiaries and tests exploiting the disaggregated nature of our data, we find strong evidence that firms issue foreign currency debt to hedge their exposure both at the aggregate and the individual currency levels. We also find some evidence that firms choose currencies in which information asymmetry between domestic and foreign investors is low. We find no evidence that tax arbitrage, liquidity of underlying debt markets, or legal regimes influence the decision to issue debt in foreign currency.
- Is time-series-based predictability evident in real time?Cooper, Michael; Gulen, Huseyin (University of Chicago Press, 2006-05)We show that out-of-sample tests used in the timeseries predictability literature may suffer from test size problems related to the common practice of exogenous specification of critical parameters, such as the choice of predictive variables, traded assets, and in-sample estimation periods. We perform specification searches across these parameters and find that rejections of the null hypothesis of no predictability are very sensitive to minor variations in parameter specification. We perform simulations to determine if the observed predictability in the data is real. The simulations suggest that much of the literature's out-of-sample evidence of time-series-based predictability is consistent with data snooping.
- Stock market openings: Experience of emerging economiesKim, E. Han; Singal, Vijay (University of Chicago Press, 2000-01)This article is an exploratory examination of the benefits and risks associated with opening of stock markets. Specifically, we estimate changes in the level and volatility of stock returns, inflation, and exchange rates around market openings. We find that stock returns increase immediately after market opening without a concomitant increase in volatility. Stock markets become more efficient as determined by testing the random walk hypothesis. We find no evidence of an increase in inflation or an appreciation of exchange rates. If anything, inflation seems to decrease after market opening as do the volatility of inflation and volatility of exchange rates.