Country Fund Discounts And The Mexican Crisis Of December 1994
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Country Fund Discounts And The Mexican Crisis Of December 1994
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Author : Jeffrey A. Frankel
language : en
Publisher:
Release Date : 2003
Country Fund Discounts And The Mexican Crisis Of December 1994 written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
It has been suggested that Mexican investors were the quot;front-runnersquot; in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper investigates whether data from three Mexican country funds provide evidence that supports the quot;divergent expectationsquot; hypothesis. We find that, right before the devaluation, Mexican country fund Net Asset Values (driven mainly by Mexican investors) dropped faster than their prices (driven mainly by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community.
Country Fund Discounts Asymmetric Information And The Mexican Crisis Of 1994
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Author : Jeffrey A. Frankel
language : en
Publisher:
Release Date : 2010
Country Fund Discounts Asymmetric Information And The Mexican Crisis Of 1994 written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
It has been suggested that Mexican investors were the front-runners in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper uses data from three Mexican country funds to investigate the hypothesis of divergent expectations. We find that, right before the devaluation, Mexican fund Net Asset Values (mainly driven by Mexican investors) dropped faster than Mexican country fund prices (mainly driven by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community. More generally, the paper proposes an asymmetric information approach that differs from the existing explanations of country fund discounts.
Recent Turmoil In Emerging Markets And The Behavior Of Country Fund Discounts
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Author : Mr.Charles Frederick Kramer
language : en
Publisher: International Monetary Fund
Release Date : 1995-07-01
Recent Turmoil In Emerging Markets And The Behavior Of Country Fund Discounts written by Mr.Charles Frederick Kramer and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-07-01 with Business & Economics categories.
This paper argues that recent movements in closed-end emerging markets funds present a strong challenge to the leading explanations of the behavior of closed-end country fund prices. In particular, closed-end funds dedicated to Mexico and other Latin American stock markets developed large premia after the December 1994 devaluation of the Mexican peso and the subsequent financial crisis. The so-called “investor sentiment hypothesis” could explain these events only by suggesting that investors became very optimistic about emerging markets stocks, and especially Mexican stocks; this possibility seems unlikely given the facts surrounding the devaluation. We argue instead that a sensible explanation for recent dynamics of closed-end country funds is that investors in these funds are loss-averse, implying that they do not want to realize paper losses on their closed-end fund shares. This works to put a drag on the downward movement in closed-end fund prices.
Country Fund Discounts And The Mexican Crisis Of December 1994
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Author : Jeffrey A. Frankel
language : en
Publisher:
Release Date : 1996
Country Fund Discounts And The Mexican Crisis Of December 1994 written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Capital movements categories.
Country Fund Discount Asymmetric Information And The Mexican Crisis Of 1994
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Author : Jeffrey A. Frankel
language : es
Publisher:
Release Date : 1996
Country Fund Discount Asymmetric Information And The Mexican Crisis Of 1994 written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Recent Turmoil In Emerging Markets And The Behavior Of Country Fund Discounts
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Author : Charles Kramer
language : en
Publisher:
Release Date : 2006
Recent Turmoil In Emerging Markets And The Behavior Of Country Fund Discounts written by Charles Kramer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
This paper argues that recent movements in closed-end emerging markets funds present a strong challenge to the leading explanations of the behavior of closed-end country fund prices. In particular, closed-end funds dedicated to Mexico and other Latin American stock markets developed large premia after the December 1994 devaluation of the Mexican peso and the subsequent financial crisis. The so-called quot;investor sentiment hypothesisquot; could explain these events only by suggesting that investors became very optimistic about emerging markets stocks, and especially Mexican stocks; this possibility seems unlikely given the facts surrounding the devaluation. We argue instead that a sensible explanation for recent dynamics of closed-end country funds is that investors in these funds are loss-averse, implying that they do not want to realize paper losses on their closed-end fund shares. This works to put a drag on the downward movement in closed-end fund prices.
Country And Currency Risk Premia In An Emerging Market
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Author : Ian Domowitz
language : en
Publisher:
Release Date : 1999
Country And Currency Risk Premia In An Emerging Market written by Ian Domowitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to identify currency and country risk premia. We show that shoc ks in equity and debt market returns translate into long-term increases in the premium demanded by investors with respect to currency and country factors. Country and currency premia help explain equity returns and closed-end fund discounts. Additional evidence is provided showing that investors did not anticipate the magnitude or timing of the currency devaluation of December 1994 and the subsequent financial crisis.
Crisis Management In Argentina During The 1994 95 Mexican Crisis
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Author : Eduardo J. J. Ganapolsky
language : en
Publisher: World Bank Publications
Release Date : 1998
Crisis Management In Argentina During The 1994 95 Mexican Crisis written by Eduardo J. J. Ganapolsky and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Kriser categories.
The Mexican crisis of 1994-95 had strong spillover effects on Argentina. The Argentine government successfully announced a series of policies to mitigate the contagion effects. This paper studies how capital markets reacted to each policy announcement and news. Capital markets welcomed announcements that demonstrated a firm commitment to the currency board. The agreement with the IMF, the dollarization of reserve deposits in the central bank, and changes in reserve requirements had a strong positive impact on market returns. After a period of higher volatility, the appointment of a new finance minister significantly decreased the variance of stock and bond returns, while lower reserve requirements increased the volatility of interest rates.
Country Fund Discounts Asymmetric Information And The Mexican Crisis Of 1994
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Author : Jeffrey A. Frankel
language : en
Publisher:
Release Date : 1996
Country Fund Discounts Asymmetric Information And The Mexican Crisis Of 1994 written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Country funds categories.
It has been suggested that Mexican investors were the front-runners in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper uses data from three Mexican country funds to investigate the hypothesis of divergent expectations. We find that, right before the devaluation, Mexican fund Net Asset Values (mainly driven by Mexican investors) dropped faster than Mexican country fund prices (mainly driven by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community. More generally, the paper proposes an asymmetric information approach that differs from the existing explanations of country fund discounts.
Country Funds And Asymmetric Information
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Author :
language : en
Publisher: World Bank Publications
Release Date :
Country Funds And Asymmetric Information written by and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.