- Full text
- Tijdschrift
- Nummer 1
- Artikel
- Is Opacity also a Risk Factor in the Euro Area?
Volume 2016 : 1
Introduction
The ECB's involvement in securitisation
Commendation, Caution and Concern – The Proposal for Common Rules on Securitization and a framework for Simple and Transparent Securitization
Commendation, caution and concern – Belgian law and policy making affecting the Belgian ABS market
Who Needs Securitisation and Covered Bonds?
Report of panel discussion: How to set up an active market in Belgium?
The Belgian Covered Bond market: an overview
Comment Solvabilité II renforce la résilience du secteur de l'assurance
How Solvency II brings about systemic risk?
Een korte bespreking van de nieuwe wet “Solvency II”
Het denkkader van de monetaire politiek
Is Opacity also a Risk Factor in the Euro Area?
Quelle est la qualité des ratings souverains non sollicités?
Analyse des prospectus d'émission de “green bonds”
The evolving trade finance landscape requires educational excellence
Introduction
The ECB's involvement in securitisation
Commendation, Caution and Concern – The Proposal for Common Rules on Securitization and a framework for Simple and Transparent Securitization
Commendation, caution and concern – Belgian law and policy making affecting the Belgian ABS market
Who Needs Securitisation and Covered Bonds?
Report of panel discussion: How to set up an active market in Belgium?
The Belgian Covered Bond market: an overview
Comment Solvabilité II renforce la résilience du secteur de l'assurance
How Solvency II brings about systemic risk?
Een korte bespreking van de nieuwe wet “Solvency II”
Het denkkader van de monetaire politiek
Is Opacity also a Risk Factor in the Euro Area?
Quelle est la qualité des ratings souverains non sollicités?
Analyse des prospectus d'émission de “green bonds”
The evolving trade finance landscape requires educational excellence
Jaar
2016
Volume
2016
Nummer
1
Pagina
71
Taal
Engels
Rechtscollege
Referentie
J. ANNAERT e.a., “Is Opacity also a Risk Factor in the Euro Area?”, BFW 2016, nr. 1, 71-77
Samenvatting
Gilbert et al. (2014) show that the ability of CAPM to price assets correctly depends on the data frequency used. High frequency data such as daily returns result in a larger degree of mispricing. They argue that this result arises since opaque firms' stock prices adjust slower to systematic information shocks than transparent firms. This paper provides evidence of the robustness of the Gilbert et al. (2014) findings to the euro area stock market over the period from 31 December 1979 to 31 December 2013. We confirm that augmenting CAPM with an opacity factor significantly reduces the pricing errors. Moreover, it turns out that the opacity factor plays an even more prominent role for European than for US data.
Geachte bezoeker
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