Capital Markets

October, Saturday 29th | 11-13hs

Contributed Session CS37

Room 7

 
Chair: Sergio Schmukler, The World Bank
 
 

 

 Internationalization and the Evolution of Corporate Valuation

 

  

 

Session: Capital Markets

 

  

Presenter

 Sergio Schmukler, The World Bank

 

  

Author(s)

Sergio Schmukler, The World Bank

Ross Levine, University of Minnesota

 

  

 

 

We document the evolution of Tobin's q before, during, and after firms financially internationalize. Using new data on 9,096 firms across 74 countries over the period 1989-2000, we show that the evidence supports models stressing that internationalization facilitates corporate expansion through relaxing credit constraints, but challenges models stressing that internationalization produces an enduring effect on q by bonding firms to a better corporate governance system.

 

 

  Download this paper in PDF

 
 
 
 
 

 

 Modelling Dependence in Latin American Markets Using Copula Functions

 

  

 

Session: Capital Markets

 

  

Presenter

 Eduardo Pedreira, Research Department, BBVA and IESE Business School

 

  

Author(s)

Eduardo Pedreira, Research Department, BBVA and IESE Business School

Miguel Angel Canela, Universitat de Barcelona

 

  

 

 

Two important issues in the analysis of association among financial markets are the degree of dependence and the underlying shape commanding the cross-market dependencies. In the study presented in this paper, we approach the modelling by means of copulas. Both stages have been followed in modelling the dependence among the daily returns of six Latin American country indices. Our findings have important implications for portfolio risk management.

 

 

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 Estimating the Stochastic Discount Factor without a Utility Function

 

  

 

Session: Capital Markets

 

  

Presenter

 Joao Issler, EPGE- Fundaçao Getulio Vargas, Rio de Janeiro

 

  

Author(s)

Joao Issler, EPGE- Fundaçao Getulio Vargas, Rio de Janeiro

Fabio Araujo, Princeton University

Marcelo Fernandes, Queen Mary, University of London

 

  

 

 

We construct a novel consistent estimator of the stochastic discount factor (SDF) using panel data where the SDF is the serial correlation common feature in every asset return of the economy, depending exclusively on appropriate averages of asset returns, but not on preference representations. This allows its use in testing different preference specifications commonly employed in finance and macroeconomics, as well as investigating the existence of puzzles involving intertemporal substitution.

 

 

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 The Opportunity Cost of Equity in Latin America

 

  

 

Session: Capital Markets

 

  

Presenter

Ricardo Pasquini, Center for Financial Stability of Argentina

 

  

Author(s)

Ricardo Pasquini, Center for Financial Stability of Argentina

Martín Grandes, The American University of Paris, Co-Chairman of LACEA 2005

Demian Panigo, Paris-Jourdan Sciences Economiques, Universidad de La Plata, CIEL-PIETTE (CONICET) and Centre for Financial Stability of Argentina

 

  

Sponsor

The Tinker Foundation Scholarship

 

  

 

 

(Sorry, not available at this time).

 

 

  Download this paper in PDF