G12 - Asset Pricing; Trading volume; Bond Interest Rates

• The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation

  Staff Working Paper 2006-44 Michael R. King, Dan Segal

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15

• Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets

  Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12

• Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

  Staff Working Paper 2006-38 Fousseni Chabi-Yo

  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).

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G12, G13

• Can Affine Term Structure Models Help Us Predict Exchange Rates?

  Staff Working Paper 2006-27 Antonio Diez de los Rios

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• Benchmark Index of Risk Appetite

  Staff Working Paper 2006-16 Miroslav Misina

  Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12