G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:18:07+00:00The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
https://www.bankofcanada.ca/2006/12/working-paper-2006-44/
The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation.2006-12-01T15:52:11+00:00enThe Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation2006-12-01Financial marketsInternational topicsWorking Paper 2006-44 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-44.pdfThe Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on ValuationMichael R. KingDan SegalDecember 2006GG1G12G15Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
https://www.bankofcanada.ca/2006/11/working-paper-2006-43/
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.2006-11-04T15:45:09+00:00enEfficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets2006-11-04Financial marketsWorking Paper 2006-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-43.pdfEfficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky AssetsAlexander MelnikovYuliya RomanyukNovember 2006DD8D81GG1G10G12Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
https://www.bankofcanada.ca/2006/10/working-paper-2006-38/
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).2006-10-03T17:00:49+00:00enConditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence2006-10-03Financial marketsMarket structure and pricingWorking Paper 2006-38 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-38.pdfConditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and EvidenceFousseni Chabi-YoOctober 2006CC6C61GG1G12G13Can Affine Term Structure Models Help Us Predict Exchange Rates?
https://www.bankofcanada.ca/2006/08/working-paper-2006-27/
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.2006-08-02T15:35:26+00:00enCan Affine Term Structure Models Help Us Predict Exchange Rates?2006-08-02Econometric and statistical methodsExchange ratesInterest ratesWorking Paper 2006-27 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-27.pdfCan Affine Term Structure Models Help Us Predict Exchange Rates?Antonio Diez de los RiosAugust 2006EE4E43FF3F31GG1G12G15Benchmark Index of Risk Appetite
https://www.bankofcanada.ca/2006/05/working-paper-2006-16/
Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets.2006-05-02T12:10:41+00:00enBenchmark Index of Risk Appetite2006-05-02Economic modelsFinancial marketsWorking Paper 2006-16 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-16.pdfBenchmark Index of Risk AppetiteMiroslav MisinaMay 2006GG1G12