Academic literature on the topic 'Capital markets'

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Journal articles on the topic "Capital markets"

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Tokmazishvili, Mikheil. "CAPITAL MARKET CHALLENGES AND DEVELOPMENT PREREQUISITES IN GEORGIA." Globalization and Business 4, no. 8 (December 27, 2019): 60–67. http://dx.doi.org/10.35945/gb.2019.08.006.

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The­ article­ describes­ the­ challenges­ of­ capital­ markets,­ concepts­ of­ effects­ of­ capital­ markets›­ development­ on­ the­ economic­ growth,­ the­ current­ conditions­ of­ the­ capital­ market­ in­ Georgia,­ restricting­ and­ stimulating­ factors­ and­ preconditions­ necessary­ for­ the­ expansion­ of­ the­ capital­ market.­ Through­ comparative­ analysis,­ the­ problems­ and­ trends­of­development­of­capitalization­are­presented. The­ formation­ of­ capital­ market­ is­ a­ long­ process.­ It­ requires­the­formation­of­financial­instruments,­consolidated­ legal­or­model­norms,­market­infrastructure­and­institutions.­ In­ the­ developing­ countries,­ and­ moreover,­ in­ the­ Post- Soviet­ countries­ with­ least-developed­ economy­ and­ transformational­ law,­ the­ capital­ market­ is­ undeveloped­ considering­ the­ capacity­ of­ economy­ and­ its­ potential­ benefits.­The­banking­sector›s­ability­to­finance­the­economy­ is­ restricted,­ the­ demand­ on­ investment­ capital­ is­ wide,­ as­ a­ result,­ with­ the­ traditional­ bank­ financing,­ establishment­ and­ development­ of­ the­ capital­ market­ is­ considered­ with­ any­alternative. The­paper­analyzes­the­causes­that­impact­on­local­capital­ markets­ functioning­ and­ the­ prerequisites­ without­ which­ the­ capital­ market­ can­ not­ be­ formed­ and­ developed­ in­ Georgia.­ The­ characteristics­ of­ impact­ factors­ on­ the­ capital­ market­ through ­examining­of­economic­ literature ­are ­presented.­ The­ strong­ institutions­ and­ the­ well-functioning­ legal­ system­ are ­important­ for­ local­market­ development,­ as­they­ provide­ the­ protection­ of­ investors›­ rights,­ including­ the­ protection­ of­ minority­ interests­ and­ attracting­ investors.­ The­ studies­ show­ that­ the­ country,­ where­ the­ rights­ of­ shareholders are protected and the transaction is not expensive,­ has­ more­ developed­ local­ markets,­ however,­ there­is­the­different­view­about­the­need­for­regulating­the­ securities­market.­The­initial­studies­argued­that­the­securities­ market­ may­ not­ be­ regulated,­ but­ according­ to­ the­ recent­ researches,­the­regulation­is­essential­for­private­contractual­ framework­standardization­and­fraud­prevention.­Today­it­is­ widely­ recognized­ that­ the­ laws­ of­ securities­ are­ critical­ to­ the­development­of­the­capital­market; Finally,­ the­ article­ proposes­ the­ structure­ of­ market­ prerequisites­ that­ bases­ on­ several­ piles:­ macroeconomic­ stability,­ institutional­ and­ legal­ system,­ market­ size,­ market­ composition­and­pension­system,­transparency­and­financial­ infrastructure.­Despite­the­absence­of­institutional,­legal­and­ infrastructural­barriers,­many­economies­are­unable­to­attract­ investors­ in­ order­ to­ ensure­ the­ optimum­ level­ of­ capital­ market­and­efficient­liquidity.­In­this­regard,­the­compulsory­ pension­ systems­ are­ introduced,­ which­ is­ an­ opportunity­ to­ attract­ the­ long-term­ instruments­ of­ investment.­ It­ is­ the­ condition­of­the­development­of­the­local­bond­market.­With­ the­ liberalization­ of­ financial­ markets­ and­ in­ the­ effective­ regulatory­environment,­investments­in­the­state­bonds­that­ dominate­ in­ Georgia­ today­ will­ be­ added­ by­ expansion­ of­ the­corporate­private­bonds­market.­Similarly,­the­derivative­ markets­ cannot­ be­ developed­ without­ a­ well-developed­ market­and,­in­turn,­they­will­contribute­to­the­development­ of­ the­ capital­ market.­ Moreover,­ the­ bond­ market­ requires­ the­ well-developed­ money­ markets­ in­ order­ to­ encourage­ the­ monetary­ policy­ to­ ensure­ the­ stability­ of­ the­ percent­ rate­that­will­support­the­development­of­the­bond­market.
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Gupta, Jyoti. "Capital Markets." Journal of Transnational Management Development 1, no. 1 (June 13, 1994): 5–21. http://dx.doi.org/10.1300/j130v01n01_02.

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Baquero, Juan David Vega, and Miguel Santolino. "Capital flows in integrated capital markets: MILA case." Quantitative Finance and Economics 6, no. 4 (2022): 622–39. http://dx.doi.org/10.3934/qfe.2022027.

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<abstract><p>The FeldsteinHorioka1980 study on investment flows through the correlation of domestic saving and investment concluded that liberalization of capital markets does not necessarily lead to a movement of capital looking for a better allocation of resources, as classical theory would suggest. Ever since, literature has been prolific regarding this "puzzle", with arguments for and against this conclusion. This paper aims to analyze the issue from a different perspective. In recent years, the stock markets of Chile, Colombia, Mexico and Peru joined the Latin American Integrated Market through an agreement that allows investors in any of the participating markets to invest in the others as if they were investing locally. Compositional methods are used to assess the hypothesis of a potential flow of capital between markets generated by the creation of the joint market. First, cross-sectional methods for compositional data were used to test the hypothesis. As a result, it was not possible to find a change in the composition of the investment in the four markets produced by the creation of the joint market. Secondly, vector autoregressive models were estimated and tested for structural breaks in the parameters. However, these models were not found to be informative. In conclusion, it was not possible to reject the Felstein-Horioka hypothesis, supporting the idea that liberalization is not enough to generate capital flows between markets.</p></abstract>
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Evstigneeva, L., and R. Evstigneev. "Metamorphoses of Financial Capital." Voprosy Ekonomiki, no. 8 (August 20, 2013): 106–22. http://dx.doi.org/10.32609/0042-8736-2013-8-106-122.

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Financial capital is considered as a precondition of forming an integral market system. Based on financial capital a vertical market model is taking shape. It includes the following leading markets: strategic markets of financial capital, finance and money markets, markets of physical (cluster) capital, markets of social (consumers) capital. Markets of financial capital build the world reproduction model of synergetic character. Sustainability of the world market is maintained within the framework of the following types of big financial capital systems: cooperation of industrial and banking capital (Hilferding), international banks (Keynes), state monopoly of GDP (well known as far back, as in the USSR period). One can consider this framework as a political form of general equilibrium of the global market. A systemic function of financial capital is gathering power for ensuring endogenous evolution of economy and society on the principles of market self-organization. The authors believe this is the only way out of a deadlock for our economy and society.
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Charitou, Andreas, and Marios Panayides. "Market making in international capital markets." International Journal of Managerial Finance 5, no. 1 (February 20, 2009): 50–80. http://dx.doi.org/10.1108/17439130910932341.

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Santosa, Budi. "INTEGRASI PASAR MODAL KAWASAN CINA - ASEAN." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 14, no. 1 (June 1, 2013): 78. http://dx.doi.org/10.23917/jep.v14i1.162.

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This study aims to analyze the level of capital market integration ASEAN and China. Analysis tool used is Vector Error Correction Model (VECM). The results showed that capital markets of Malaysia, Philippines, Singapore, Thailand, and China have a positive effect on Indonesian capital markets, but the Indonesian capital market does not affect the capital markets of other countries. Singapore capital market has a positive effect on capital markets of Indonesia, Malaysia, Thailand, and China, except for the Philippines. China's capital market only affects the capital market in Singapore. Singapore capital market and China have complete integration because both affect each other. Philippine capital market only affects Indonesian capital market. Indonesian capital market is easily influenced by the fluctuation in capital markets in the ASEAN region and China. Singapore capital market is in a strong position. While the Philippine capital market are relatively more segmented.
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Fowler, David, Michael J. Robinson, and Brian F. Smith. "Canadian Capital Markets." Journal of Finance 49, no. 2 (June 1994): 763. http://dx.doi.org/10.2307/2329178.

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Hostetter, Tyler. "The capital markets." International Journal of Economics and Accounting 6, no. 2 (2015): 168. http://dx.doi.org/10.1504/ijea.2015.069917.

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Burn, Lachlan. "Capital Markets Union and regulation of the EU’s capital markets." Capital Markets Law Journal 11, no. 3 (July 2016): 352–86. http://dx.doi.org/10.1093/cmlj/kmw011.

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Callagher, Lisa Jane, Peter Smith, and Saskia Ruscoe. "Government roles in venture capital development: a review of current literature." Journal of Entrepreneurship and Public Policy 4, no. 3 (November 2, 2015): 367–91. http://dx.doi.org/10.1108/jepp-08-2014-0032.

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Purpose – Interest in venture capital markets continues to be of relevance to politicians and policy makers, recognizing the importance of government participation in venture capital market development. Yet advice regarding developing venture capital markets appears increasingly disparate. The paper aims to discuss these issues. Design/methodology/approach – The authors engage the assumptions that underpin three dominant policy approaches to the development of venture capital markets with regard to the role of governments in that process. The authors categorize existing empirical studies against three approaches and give examples of the different government policies associated with the various approaches. Findings – Direct and indirect approaches recognize the importance of active stock markets but largely ignore the dynamic processes of markets, asserting that the provision of capital, institutional changes, and financial incentives ex ante will cause a positive market reaction, regardless of the market’s context. The recent timed approached is purported as being more comprehensive in its awareness of the need to adapt to countries’ contexts and the need for varying policies at the different stages of market emergence. Research limitations/implications – Limited empirical research tests the voracity and limitations of the timed approach. The challenge in doing so is that evolutionary theories typically explain an event after it has occurred, thus its predictive power is often limited. Future research might investigate the efficacy of policy levers based on the timed approach. Practical implications – The authors highlight the need for the development of venture capital markets, rather than a venture capital industry. Originality/value – The authors extend the existing venture capital market development categories and evaluate each approach in terms of the efficacy of government’s roles in venture capital market development in light of the existing evidence of economic development and entrepreneurial activity.
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Dissertations / Theses on the topic "Capital markets"

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Ohnsorge, Franziska. "Self-selection, labour markets and capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63648.pdf.

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Rahman, Nafis. "Essays on capital markets." Thesis, University of British Columbia, 2016. http://hdl.handle.net/2429/59049.

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This thesis is a collection of three essays on capital markets. The first essay examines how signals of reputation with non-equity stakeholders affect the market reaction to accounting restatements. Using Corporate Social Responsibility (CSR) rating as a proxy for reputation with non-equity stakeholders, I find significantly less negative market reaction to restatements for firms with better reputation. I also find that high-CSR firms experience smaller earnings-decreases and need to engage in fewer reputation restoration activities. The results suggest that a significant portion of the market value loss triggered by restatements reflects an expectation that the restating firms will face a ‘worsening of terms’ in their future transactions with the non-equity stakeholders, and CSR reputation can dampen this effect. The second essay examines the impact of accounting restatements on the information content of analyst forecast revisions (FRIC). I find that following material restatements that are perceived to be intentional, FRIC increases significantly compared to the pre-restatement period level. The results suggest that investors increase their reliance on analysts when there is uncertainty about the firm and the credibility of management disclosure is compromised. Additional tests reveal that the effect is greater for analysts who are less likely to have close ties with the management. The third essay studies how misaligned language between the investor and the firm contributes to the foreign investor bias. In particular, we document a significant US institutional investor bias against firms located in Quebec relative to firms located in the Rest of Canada (ROC). The differential bias is surprising given that Quebec and the ROC share the same country, federal law, stock exchange, accounting standards, and regulatory filings are prepared in both English and French; and given that US institutional investors are sophisticated investors at close geographic proximity to both Quebec and the ROC. We also contrast the bias against Quebec firms with different levels of French versus English online presence, and we contrast the bias of institutional investors located in the UK versus France, to bolster our conclusion that incongruent languages are a major source of bias.
Business, Sauder School of
Accounting, Division of
Graduate
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Yu, Wayne Weifeng. "Essays on capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq23098.pdf.

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Mamaysky, Harry. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9180.

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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2000.
Includes bibliographical references.
The first two chapters of this dissertation study financial asset markets which are not "frictionless." The first chapter focuses on the effects of transaction costs. The second chapter focuses on the interaction between asymmetric information and strategic behavior. The third chapter empirically assesses the informativeness of certain types of price indicators based on technical analysis. In Chapter 1 ( co-authored with Andrew Lo and Jiang Wang) we propose a dynamic equilibrium model of asset pricing and trading volume with heterogeneous investors facing fixed transactions costs. We show that even small fixed costs can give rise to large "notrade" regions for each investor's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyer and seller, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997. Chapter 2 develops an equilibrium model of a dynamic asymmetric information economy. The model is solved under two circumstances: where the informed and uninformed sectors are both competitive, and where the informed sector is competitive and the uninformed sector consists of a single, strategic agent. The strategic uninformed agent, when facing the same signals as the uninformed competitive sector, manages to extract different information abo~t the state of the economy. I find that expected returns, return variability, and unexpected trading volume differ between the competitive and the strategic economies. Furthermore, this difference depends on the degree of informational asymmetry between the two sectors. In the strategic economy, less surplus is lost due to informational arbitrage by the informed sector. Interestingly, the presence of asymmetric information allows even the competitive uninformed agents to gain surplus from allocational trade. Finally, I examine the incentives of agents to become better informed, and find that sometimes both competitive and strategic agents are better off under worse information. Technical analysis, also known as "charting," has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis-the presence of geometric shapes in historical price charts is often in the eyes of the, beholder. In Chapter 3 ( co-authored with Andrew Lo and Jiang Wang), we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution-conditioned on specific technical indicators such as head-and shoulders or double-bottoms-we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.
by Harry Mamaysky.
Ph.D.
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Papanikolaou, Dimitris Ph D. Massachusetts Institute of Technology. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42335.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.
Includes bibliographical references (p. 153-161).
In the first chapter, I provide evidence that investment-specific technological change is a source of systematic risk. In contrast to neutral productivity shocks, the economy needs to invest to realize the benefits of innovations in investment technology. A positive shock to investment technology is followed by a reallocation of resources from consumption to investment, leading to a negative price of risk. A portfolio of stocks that produce investment goods minus stocks that produce consumption goods (IMC) proxies for the shock and is a priced risk factor. The value of assets in place minus growth opportunities falls after positive shocks to investment technology, which suggests an explanation for the value puzzle. I formalize these insights in a dynamic general equilibrium model with two sectors of production. The model's implications are supported by the data. The IMC portfolio earns a negative premium, predicts investment and consumption in a manner consistent with the theory, and helps price the value cross section. In the second chapter, based on joint work with Igor Makarov, we use heteroscedasticity of stock returns as an identification tool to isolate four robust factors in the U.S. industry returns. The first factor can be viewed as a proxy for economy wide demand shocks. The second factor is a portfolio of stocks producing investment goods minus stocks producing consumption goods (IMC). The third factor differentiates between cyclical vs. non-cyclical stocks. Finally, the fourth factor is consistent with a proxy for shocks to input good prices. The extracted factors are shown to be important in explaining the cross-section of expected returns. Unlike the CAPM or the Fama and French three factor model, they successfully price the cross-section of 48 industry portfolios and do a good job at explaining the 25 Fama and French size and book-to-market portfolios.
(cont.) The fourth ("input") factor is found to be a robust predictor of the value-weighted market portfolio. In the third chapter, based on joint work with Jiro Kondo, we propose a new foundation for the limits to arbitrage based on financial relationships between arbitrageurs and banks. Financially constrained arbitrageurs may choose to seek additional financing from banks who can understand their strategies. However, a hold-up problem arises because banks cannot commit to provide capital and have the financial technology to profit from the strategies themselves. Wary of this, arbitrageurs will choose to stay constrained and limit their correction of mispricing unless banks have sufficient reputational capital. Using the framework of stochastic repeated games, we show that this form of limited arbitrage arises when mispricing is largest and becomes more substantial as the degree of competition between banks intensifies and arbitrageur wealth increases.
by Dimitris Papanikolaou.
Ph.D.
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Makarov, Igor 1976. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36288.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2006.
Includes bibliographical references.
This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations is studied. In particular, it is proved that the model does not admit a finite number of state variables. A comparison of equilibria characterized by identical fundamentals but different information structure shows that the distribution of information has substantial impact on equilibrium prices and returns. In the second essay we explore several sources of serial correlation in returns of hedge funds and other alternative investments. We show that the most likely explanation is illiquidity exposure, i.e., investments in securities that are not actively traded and for which market prices are not always readily available. For portfolios of illiquid securities, reported returns will tend to be smoother than true economic returns, which will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio.
(cont.) For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smoothing coefficients vary considerably across hedge-fund style categories and may be a useful proxy for quantifying illiquidity exposure. In the third essay our objective is to study analytically the effect of borrowing constraints on asset returns. We explicitly characterize the equilibrium for an exchange economy with two agents who differ in their risk aversion and are prohibited from borrowing. In a representative-agenlt economly with CR.RA preferences, the Sharpe ratio of equity returns and the risk-free rate are linked by the risk aversion parameter. We show that allowing for preference hetterogeneity an(l imposing borrowing constraints breaks this link. We find that anll economy with borrowing constraints exhibits simultaneously a relatively high Sharpe ratio of stock returns and a relatively low risk-free interest rate, compared to both representative-agent and unconstrained heterogeneous-agent economies.
by Igor Makarov.
Ph.D.
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Chan, Wesley S. (Wesley Sherwin) 1974. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/28248.

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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2002.
Includes bibliographical references (p. 136-141).
(cont.) Slow information diffusion can cause return momentum. Institutions are thought to be more informed than individuals, and should eliminate return predictability. However, higher institutional ownership is associated with more momentum. Therefore, institutions either herd on returns or can have information before individuals. I find evidence of the latter. However, the effects are economically small, suggesting that aggregate data obscures differences between institutions. I divide institutions by trading aggressiveness. Aggressive institutions are more responsive to recent returns, and a strategy mimicking their trades generates even better performance. This confirms that some investors are more informed than others, but do not eliminate return predictability.
This thesis consists of three chapters, each about a separate aspect of how investors respond to information in equity markets. The first chapter concerns news and stock returns. Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effects. They are, however, mainly seen in smaller, more illiquid stocks. These findings support some integrated theories of investor over- and underreaction. The second chapter is joint work with Richard Frankel and S. P. Kothari. Models based on psychology can explain momentum and reversal in stock returns, but may be overfitted to data. We examine a typical basis for these models, representativeness, in which individuals predict the future based on how closely past outcomes fit certain categories. We use accounting performance to mimic possible investor-defined categories for firm performance. We test the idea that investors predictably bias their expectations about future operations by using these categories. We find little evidence that the sequence or trend of past accounting performance is related to future returns, and is therefore unlikely to bias investor expectations. The third chapter concerns how informational advantage differs between institutional investors.
by Wesley S. Chan.
Ph.D.
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Sodini, Paolo 1968. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/35489.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001.
Includes bibliographical references.
The thesis is composed of three chapters. The first chapter proposes that financial innovation induces endogenous changes in the composition of market participants, which can both increase the interest rate and reduce the risk premia earned on pre-existing assets. We consider an exchange economy with endogenous participation. Competitive investors can freely borrow and lend, but must pay a fixed entry cost to invest in risky assets. Security prices and the participation structure are jointly determined in equilibrium. We show existence and constrained optimality of equilibrium under general conditions, and then specialize to a CARA-normal framework with finitely many risk factors. The model reconciles a number of features that have characterized financial markets in the past three decades: substantial financial innovation; a sharp increase in investor participation; improved risk management practices; an increase in interest rates; and a reduction in the risk premium. In the second chapter, we study the effect of margin constraints on volatility and welfare in an intertemporal financial economy. We find that margin requirements do not necessarily reduce market volatility and can generate non-monotonic redistributive effects. The setup allows for full flexibility in setting margin requirements and is well suited to address regulatory issues. We study in detail two types of margin rules. The uniform rule, in which margin constraints are constant over time and states, and the practitioners' rule of tightening margin constraints in bear markets and relaxing them in bull market.
(cont.) The results are compared with the first best rule in which margin requirements are chosen just to prevent default. In the third chapter, we consider a framework with mean-variance investors that face margin and no short-selling constraints and can default on their pre-existing leveraged positions. Margin calls and portfolio rebalancing create spillover-contagion effects across markets. A negative shock in one specific asset can reduce prices of even uncorrelated assets with unchanged fundamentals. We test this result across different forms of margin contracts typically used in practice. Margin constraints can also generate a self-reinforcing mechanism that amplifies price movements and create discontinuity in the price schedule.
by Paolo Sodini.
Ph.D.
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Kogan, Leonid 1974. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 1999. http://hdl.handle.net/1721.1/28212.

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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 1999.
Includes bibliographical references (p. 231-237).
This thesis consists of three essays in capital markets. In the first essay, given a European derivative security with an arbitrary payoff function and a corresponding set of underlying securities on which the derivative security is based, we solve the optimal-replication problem: find a self-financing dynamic portfolio strategy-involving only the underlying securities-that most closely approximates the payoff function at maturity. By applying stochastic dynamic programming to the minimization of a mean-squared- error loss function under Markov state-dynamics, we derive recursive expressions for the optimal-replication strategy that are readily implemented in practice. The approximation error or ... of the optimal-replication strategy is also given recursively and may be used to quantify the "degree" of market incompleteness. To investigate the practical significance of these c-arbitrage strategies, we consider several numerical examples including path-dependent options and options on assets with stochastic volatility and jumps. In the second essay we study the tracking error, resulting from the discrete-time application of continuous-time delta-hedging procedures for European options. We characterize the asymptotic distribution of the tracking error as the number of discrete time periods increases, and its joint distribution with other assets. We introduce the notion of temporal granularity of the continuous time stochastic model that enables us to characterize the degree to which discrete time approximations of continuous time models track the payoff of the option. We derive closed form expressions for the granularity for a put or call option on a stock that follows a geometric Brownian motion and a mean-reverting process. These expressions offer insight into the tracking error involved in applying continuous-time delta hedging in discrete time. We also introduce alternative measures of the tracking error and analyze their properties. The third essay presents a general equilibrium model of financial asset prices with irreversible real investment. The focus is on the effects of the irreversibility of real investment on financial asset prices. The model shows how this irreversibility leads to time variation in volatility and systematic risk of stock returns. Changes in these variables are driven by real economic activity, in particular, by firms' investment decisions. Thus, systematic risk of stock returns and their volatility are affected by economy-wide and industry-specific shocks. Firm-specific variables, particularly market-to-book ratios, are linked to real activity and contain information about the dynamic behavior of stock returns. The model of this paper also provides a framework for analyzing futures prices. A comparison between the economy with irreversible investment and an identical economy without the irreversibility shows that all of these results should be attributed to the irreversibility of real investment.
by Leonid Kogan.
Ph.D.
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Schmidt, David E. "Capital markets and the market structure of foreign investments." Thesis, Aston University, 2010. http://publications.aston.ac.uk/15787/.

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Contrary to the long-received theory of FDI, interest rates or rates of return can motivate foreign direct investment (FDI) in concert with the benefits of direct ownership. Thus, access to investor capital and capital markets is a vital component of the multinational’s competitive market structure. Moreover, multinationals can use their superior financial capacity as a competitive advantage in exploiting FDI opportunities in dynamic markets. They can also mitigate higher levels of foreign business risks under dynamic conditions by shifting more financial risk to creditors in the host economy. Furthermore, the investor’s expectation of foreign business risk necessarily commands a risk premium for exposing their equity to foreign market risk. Multinationals can modify the profit maximization strategy of their foreign subsidiaries to maximize growth or profits to generate this risk premium. In this context, we investigate how foreign subsidiaries manage their capital funding, business risk, and profit strategies with a diverse sample of 8,000 matched parents and foreign subsidiary accounts from multiple industries in 38 countries.We find that interest rates, asset prices, and expectations in capital markets have a significant effect on the capital movements of foreign subsidiaries. We also find that foreign subsidiaries mitigate their exposure to foreign business risk by modifying their capital structure and debt maturity. Further, we show how the operating strategy of foreign subsidiaries affects their preference for growth or profit maximization. We further show that superior shareholder value, which is a vital link for access to capital for funding foreign expansion in open market economies, is achieved through maintaining stability in the rate of growth and good asset utilization.
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Books on the topic "Capital markets"

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Foley, Bernard J. Capital Markets. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6.

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1942-, Stapleton Richard C., ed. European capital markets. Amsterdam: Elsevier, 1992.

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Seifert, Werner G., Ann-Kristin Achleitner, Frank Mattern, Clara C. Streit, and Hans-Joachim Voth. European Capital Markets. London: Palgrave Macmillan UK, 2000. http://dx.doi.org/10.1057/9780230287068.

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Alam, Nafis, and Syed Aun R. Rizvi, eds. Islamic Capital Markets. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33991-7.

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Bacha, Obiyathulla Ismath, and Abbas Mirakhor, eds. Islamic Capital Markets. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118465158.

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Hassan, M. Kabir, and Michael Mahlknecht, eds. Islamic Capital Markets. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119206040.

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Krichene, Noureddine, ed. Islamic Capital Markets. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119199106.

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Slee, Robert T., ed. Private Capital Markets. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119200932.

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Robinson, Michael J. Canadian capital markets. London, Ontario: University of Western Ontario, Western Business School, 1993.

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C, Clemente Lilia, Mariano Roberto S, and Asian Securities Industry Institute. Conference, eds. Asian capital markets. Manila: Asian Securities Industry Institute, 1994.

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Book chapters on the topic "Capital markets"

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Foley, Bernard J. "Regulating Markets." In Capital Markets, 196–212. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_8.

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Achleitner, Ann-Kristin. "Capital Markets." In Handbuch Investment Banking, 473–583. Wiesbaden: Gabler Verlag, 2002. http://dx.doi.org/10.1007/978-3-663-10259-5_8.

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Achleitner, Ann-Kristin. "Capital Markets." In Handbuch Investment Banking, 373–473. Wiesbaden: Gabler Verlag, 1999. http://dx.doi.org/10.1007/978-3-322-99636-7_7.

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Orr, Bill. "Capital Markets." In The Global Economy in the 90s, 187–93. London: Palgrave Macmillan UK, 1992. http://dx.doi.org/10.1007/978-1-349-13009-2_9.

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Foley, Bernard J. "Introduction." In Capital Markets, 1–5. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_1.

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Foley, Bernard J. "The Role and Function of Capital Markets." In Capital Markets, 6–26. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_2.

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Foley, Bernard J. "Equities and Equity Markets." In Capital Markets, 27–74. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_3.

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Foley, Bernard J. "Bonds and Bond Markets." In Capital Markets, 75–113. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_4.

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Foley, Bernard J. "International Bond Markets." In Capital Markets, 114–43. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_5.

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Foley, Bernard J. "Markets for Derivatives." In Capital Markets, 144–73. London: Macmillan Education UK, 1991. http://dx.doi.org/10.1007/978-1-349-21426-6_6.

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Conference papers on the topic "Capital markets"

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Nazaruk, Alex, and Michael Rauchman. "Big data in capital markets." In the 2013 international conference. New York, New York, USA: ACM Press, 2013. http://dx.doi.org/10.1145/2463676.2486082.

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Koshiyama, Adriano, Nick Firoozye, and Philip Treleaven. "Algorithms in future capital markets." In ICAIF '20: ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3383455.3422539.

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Karkashadze, Nargiza, Tinatin Gugeshashavili, and Shura Ukleba. "Human Capital and Its Role in Modern Business." In Human Capital, Institutions, Economic Growth. Kutaisi University, 2023. http://dx.doi.org/10.52244/c.2023.11.25.

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The article “Human capital and its role in modern business” is aimed at determining the importance of human capital and its role in modern business, as well as its importance in developing the economy and society. The article also describes three levels of the competitiveness of human capital, such as nano, micro and macro levels, which form a multi-level cone of the competitiveness of human capital. The article highlights how important, under the conditions, is raise knowledge and form those professionals who will be able to invent, introduce and generate new innovative products, technologies and services, in particular regarding the role of marketing and marketers in the evolution of modern business. The article analyzes the education system in the world and gives a description of the 10 best educated countries, among which South Korea is ranked first, while the best education system in terms of efficiency is in Switzerland, Denmark, etc. The article also mentions the education system of Georgia, which has the best position in the Caucasus region. The paper analyzes the role of investment in education and provides the dynamics of statistical data for 2016-2023. The article focuses on who is a marketer and what role he has in business development, from which it is clear that this is a person who can promote the organization's products and services, develop effective marketing strategies, increase sales to meet customer needs, and thereby strengthen the company's financial stability and place in the market. The article provides an analysis of the results of the research, from which it is clear that 27.3% of the interviewed respondents believe that the level of qualification of marketers is inadequate, therefore, in their opinion, attention should be paid to the training of qualified specialists, in particular: improving the skills of developing marketing strategies; knowledge of foreign languages and issues of studying competition in the field. The article focused on the theoretical and practical experience of today's marketers, and the results in this regard are as follows: It is less possible to get practical experience in Georgia - 9.1%; Marketers often do not have enough experience - 18.5%; Successful marketers have good knowledge and skills -18.5%. Marketers working in modern successful companies really have theoretical and practical marketing experience - 53.9%. The article presents important considerations related to the company's interest in training highly qualified marketers: Usually, the company should be very interested in this, but in reality pays inadequate attention to the issue of raising their qualifications; As time goes by, companies are more aware of the need and necessity of marketing, so we believe that the company should constantly take care of raising their qualifications; The company is not interested in that; The company is rarely interested in that. Based on all of the above, in our opinion, it is important for the best marketer to have the following skills: Willingness to continuously study new marketing strategies; To know their customers and markets; To demonstration time management skills; To withstand a large workload; To study and understand their competitors; To set precise and effective goals; To constantly develop their skills. Considering the fact that most companies want to have business relations with foreign partners in order to strengthen their financial stability, it is necessary for a marketer to be proficient in a foreign language at a B2 level. Article in Georgian.
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Mansour, Lăcrămioara, Elena Cerasela Spătariu, and Cristina Elena Georgescu. "XBRL Standards – Mean of Improving Capital Market Information Process." In 9th BASIQ International Conference on New Trends in Sustainable Business and Consumption. Editura ASE, 2023. http://dx.doi.org/10.24818/basiq/2023/09/039.

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This article studies in a systematic way, based on specialized research literature, the benefits of the XBRL standardized reporting of the financial-accounting statements and the impact of its use on the company’s relationship with the capital markets. XBRL digital reporting standards emerged as a necessity for the development of economic processes in global markets, realizing the informational link between companies and stakeholders, including investors, through information technology. The paper uses, as a foundation, the research based on the analysis of the specialized literature, highlighting the benefits of XBRL reporting within the information process of the capital markets: reducing the costs of acquiring, accessing, processing and analysing information. The responses of these markets were immediate, the analysed studies demonstrated as immediate effects of the standards implementation, the improvement of the company image among investors, the increase of the entities market value and the increase of the capital markets ensemble efficiency. Our study is primarily addressed to companies, in substantiating the decision regarding of these reporting standards implementation.
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Inđić, Milica, Vera Mirović, Branimir Kalaš, and Miloš Pjanić. "Measuring the Impact of Geopolitical Risk on Capital Market in Selected Developed Countries." In 29th International Scientific Conference Strategic Management and Decision Support Systems in Strategic Management. University of Novi Sad, Faculty of Economics in Subotica, 2024. http://dx.doi.org/10.46541/978-86-7233-428-9_417.

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Shocks that cause uncertainty also inevitably have an impact on financial markets, in addition to the typical range of economic and financial considerations. Previous research shows that recent events like the COVID-19 pandemic, changes in oil prices, and the Russian-Ukrainian conflict have had an impact on the world financial market. The aim of the paper is to examine the impact of geopolitical risk on the capital markets of developed countries in the region of Asia and Oceania. The main research variables in the capital market are share trading and market capitalization. To measure the impact of geopolitical risk on capital market variables, in the period from 2005 to 2022, a panel regression analysis was applied. The observation period includes three major events that had a strong impact on the global capital markets, namely the global financial crisis, COVID-19, and the Russian-Ukrainian conflict. According to the findings, stock trading is negatively impacted, while market capitalization is positively impacted by geopolitical risk. Both influences are not significant. When making financial decisions, information about how the capital markets respond to geopolitical events can be helpful, especially for investors.
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Örnek, İbrahim, Selen Utlu, and Mustafa Baylan. "The Feldstein–Horioka Puzzle in Balkan Countries: A Panel Co-integration Analysis." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00894.

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As the capital markets of developing countries have become highly integrated into the global market in recent years, the determination of the degree of capital mobility has gained importance. The purpose of this study is to determine the degree of integration of capital markets 10 developing Balkan countries (Macedonia, Romania, Greece, Serbia, Croatia, Bosnia-Herzegovina, Bulgaria, Albania, Hungary and Slovenia) to integration of international capital markets the using of annual data in 1990-2012 period. Based on investment-saving co-integration, the degree of international capital mobility has tried to expose, using panel co-integration analysis. In the context of the results found, full capital mobility has not been observed in the countries concerned of during the period examined.
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Eskin, İlknur. "Ethical Violations: Insider Trading And Market Fraud In The Turkish Capital Markets." In 17th International Strategic Management Conference. European Publisher, 2022. http://dx.doi.org/10.15405/epsbs.2022.12.02.3.

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Revez, Catarina, Rui Dias, Nicole Horta, Paula Heliodoro, and Paulo Alexandre. "Capital Market Efficiency in Asia: An Empirical Analysis." In 6th International Scientific Conference – EMAN 2022 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eman.s.p.2022.49.

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This paper aims to test efficiency, in its weak form, in the capi­tal markets of the Philippines (PSEi), South Korea (KOSPI), Indonesia (JKSE), Thailand (SET), Malaysia (KLCI), China (SSEC) and Hong Kong (HSI) over the period from January 2, 2017, to February 17, 2022. The return series shows signs of deviation from the normality hypothesis, given the skewness and kurtosis coefficients. The results, therefore, support the conclusion that the random walk hypothesis is not supported by the indices, the values of the variance ratios are in all cases less than unity, implying that the returns are autocorrelated over time and there is mean reversion in all indices. The re­sults obtained allow for the rejection of the random walk hypothesis and the informational efficiency hypothesis of financial markets. These findings also open room for market regulators to pursue measures to ensure better infor­mation in these regional markets.
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Dias, Rui, Nicole Horta, Mariana Chambino, Paulo Alexandre, and Paula Heliodoro. "A Multiple Fluctuations and Detrending Analysis of Financial Market Efficiency: Comparison of Central and Eastern European Stock Indexes." In Eighth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/limen.2022.11.

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The analysis of stock market behaviour is still a very appealing topic because it can give investors information about where to invest their money. In this context, a dynamic investiga­tion of Austria’s (ATX), Serbia’s (BELEX 15), Hungary’s (BUX), Cro­atia’s (CROBEX), Russia’s (IMOEX), Czech Republic’s (PX PRAGUE), Slovenia’s (SBITOP), and Poland’s (WIG) capital markets is car­ried out from September 18th, 2017, to September 15th, 2022. The results suggest that most indexes are far from being absent of long-term dependency, which may be interpreted as inefficiency; that is, throughout the Tranquil period, the stock market indexes SBI TOP (0.59), AEX (0.54), WIG (0.54), PRAGUE (0.53), and BELEX 15 (0.52) exhibit dependence over time. The CROBEX (0.47) and BUX (0.44) indexes indicate anti persistence, however, the Russian market shows equilibrium (0.49 ≌ 0.0126), indicating that the ran­dom walk hypothesis is not rejected. When we look at the behav­iour of the markets under consideration during the Stress subpe­riod, we see that persistence was significantly higher in the capi­tal markets under analysis, except for the Russian market, which demonstrates some equilibrium. To conclude, we suggest that policymakers must take a comprehensive approach to improve the efficiency of international financial markets during times of stress due to uncertainty in the global economy and its influence on the memory properties of capital markets.
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"UNLISTED PROPERTY FUNDS: SUPPLYING CAPITAL TO DEVELOPING MARKETS?" In 15th Annual European Real Estate Society Conference: ERES Conference 2008. ERES, 2008. http://dx.doi.org/10.15396/eres2008_106.

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Reports on the topic "Capital markets"

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Obstfeld, Maurice, and Alan Taylor. Globalization and Capital Markets. Cambridge, MA: National Bureau of Economic Research, March 2002. http://dx.doi.org/10.3386/w8846.

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Gertner, Robert, David Scharfstein, and Jeremy Stein. Internal versus External Capital Markets. Cambridge, MA: National Bureau of Economic Research, June 1994. http://dx.doi.org/10.3386/w4776.

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Collins, William, and Jeffrey Williamson. Capital Goods Prices, Global Capital Markets and Accumulation, 1870-1950. Cambridge, MA: National Bureau of Economic Research, February 1999. http://dx.doi.org/10.3386/h0116.

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Collins, William, and Jeffrey Williamson. Capital Goods Prices, Global Capital Markets and Accumulation: 1870-1950. Cambridge, MA: National Bureau of Economic Research, May 1999. http://dx.doi.org/10.3386/w7145.

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Henderson, Brian, Narasimhan Jegadeesh, and Michael Weisbach. World Markets for Raising New Capital. Cambridge, MA: National Bureau of Economic Research, January 2004. http://dx.doi.org/10.3386/w10225.

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Aizenman, Joshua. Capital Markets Integration, Volatility and Persistence. Cambridge, MA: National Bureau of Economic Research, August 1995. http://dx.doi.org/10.3386/w5241.

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Schlingemann, Frederik, Rene Stulz, and Ralph Walkling. Corporate Focusing and Internal Capital Markets. Cambridge, MA: National Bureau of Economic Research, June 1999. http://dx.doi.org/10.3386/w7175.

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David, Joel, Espen Henriksen, and Ina Simonovska. The Risky Capital of Emerging Markets. Cambridge, MA: National Bureau of Economic Research, December 2014. http://dx.doi.org/10.3386/w20769.

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Desai, Mihir, C. Fritz Foley, and James Hines. A Multinational Perspective on Capital Structure Choice and Internal Capital Markets. Cambridge, MA: National Bureau of Economic Research, May 2003. http://dx.doi.org/10.3386/w9715.

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Evans, Daniel, Margaret Moten, Csilla Szabo, and Brian Macdonald. Social Network Analysis in Frontier Capital Markets. Fort Belvoir, VA: Defense Technical Information Center, June 2012. http://dx.doi.org/10.21236/ada565112.

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