Assymetric information and the pricing of sovereign eurobonds: India 1990–1992
Tài liệu tham khảo
Akerlof, 1970, The market for lemons: Quality, uncertainty and the market mechanism, Quarterly Journal of Economics, 84, 488, 10.2307/1879431
Altunbas, 2003, Developing country economic structure and the pricing of syndicated credits
Arrow, 1963, Uncertainty and the welfare economics of medical care, American Economic Review, 53, 941
Bancel, 2001, European managerial perceptions of the net benefits of foreign stock listings, European Financial Management, 7, 213, 10.1111/1468-036X.00153
Barone, 1991, Term structure estimation using the Cox, Ingersoll and Roll Model: The case of Italian treasury bonds, The Journal of Fixed Income, 1, 87, 10.3905/jfi.1991.408028
Blanchard, 1989
Bradley, 1991, Neglected factors in the pricing of eurodollar bonds, Journal of Portfolio Management, 17, 62, 10.3905/jpm.1991.409323
Brookefield, 2000, Credit agency regulation and the impact of credit ratings in the international bond market, The European Journal of Finance, 6, 311, 10.1080/13518470050195092
Brown, 1986, The empirical implications of the Cox Ingersoll and Ross Theory of the term structure of interest rates, Journal of Finance, 41, 617, 10.2307/2328491
Brown, 1994, The term structure of real interest rates and the Cox, Ingersoll, and Ross Model, Journal of Financial Economics, 35, 3, 10.1016/0304-405X(94)90016-7
Bouchet, 2003
Chambers, 1984, A new approach to estimation of the term structure of interest rates, Journal of Financial and Quantitative Analysis, 19, 233, 10.2307/2331088
Clark, 1999, Sovereign debt discounts and the unwillingness to pay, Revue Finance, 20, 185
Cox, 1985, An international general equilibrium model of asset prices, Econometrica, 53, 363, 10.2307/1911241
Cox, 1985, A theory of term structure of interest rates, Econometrica, 53, 385, 10.2307/1911242
Chen, 1992, Pricing interest rate options in a two-factor Cox–Ingersoll–Ross model of the term structure, Review of Financial Studies, 5, 613, 10.1093/rfs/5.4.613
Claes, 2002, Anatomy of the Eurobond market 1980–2000, European Financial Management, 8, 373, 10.1111/1468-036X.00194
De Munnik, 1994, Cross sectional versus time series estimation of term structure models: Empirical results for the Dutch bond market, Journal of Banking and Finance, 18, 997, 10.1016/0378-4266(94)00032-8
Delbaen, 1993, Consols in the CIR model, Mathematical Finance, 3, 125, 10.1111/j.1467-9965.1993.tb00082.x
Duffie, 2001, Modelling sovereign yield spreads: A case study of Russian debt
Gabbi, 2005, Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads, The European Journal of Finance, 11, 59, 10.1080/1351847032000143422
Gibbons, 1993, A test of the Cox, Ingersoll, and Ross Model of the term structure, Review of Financial Studies, 6, 619, 10.1093/rfs/6.3.619
Hand, 1992, The effect of bond rating agency announcement on bond and stock prices, Journal of Finance, 47, 733, 10.2307/2329121
Houston, 2002, Canadian manager perceptions of the US exchange listings: Recent evidence, Journal of International Financial Management and Accounting, 13, 235, 10.1111/1467-646X.00086
Hu, 2001, The estimation of transition matrices for sovereign credit ratings
Im, 1995, Testing for unit roots in heterogeneous panels
International Securities Market Association (ISMA), Weekly Eurobond Guide, Various issues.
Kmenta, 1990
McCulloch, 1971, Measuring the term structure of interest rates, Journal of Business, 44, 19, 10.1086/295329
Melnik, 1996, Industrial structure in the euro-credit underwriting market, Journal of International Money and Finance, 15, 623, 10.1016/0261-5606(96)82614-3
Nickell, 2000, Stability of rating transitions, Journal of Banking and Finance, 24, 203, 10.1016/S0378-4266(99)00057-6
Overbeck, 1997, Estimation in the Cox–Ingersoll–Ross Model, Econometric Theory, 13, 430, 10.1017/S0266466600005880
Liu, 1999, The independent impact of credit rating changes—The case of Moody's rating refinement on yield premiums, Journal of Business Finance and Accounting, 26, 337, 10.1111/1468-5957.00259
Pastorello, 2000, Statistical inference for the multifactor CIR model: An application to the Eurolire market, Statistica, 55, 133
Rhys, 2001, A binomial basis for the Cox, Ingersoll and Ross Model of the term structure of interest rates, Journal of Business Finance and Accounting, 28, 379, 10.1111/1468-5957.00378
Ricobelda, 1999, The term structure of interest rates in Spain, Investigaciones Economicas, 23, 451
Wakeman, 1978, Bond rating agencies and the capital markets
Wu, 1999, Are real exchange rates stationary based on panel unit root tests?, International Journal of Finance and Economics, 4, 243, 10.1002/(SICI)1099-1158(199907)4:3<243::AID-IJFE99>3.0.CO;2-#
Yamori, 2001, Japanese management views on overseas exchange listings: Survey results, Journal of International Financial Management and Accounting, 12, 286, 10.1111/1467-646X.00075
