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Assymetric information and the pricing of sovereign eurobonds: India 1990-1992

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  • Clark, Ephraim
  • Lakshmi, Geeta

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 18 (2007)
Issue (Month): 1 ()
Pages: 124-142

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Handle: RePEc:eee:glofin:v:18:y:2007:i:1:p:124-142

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Web page: http://www.elsevier.com/locate/inca/620162

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  1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  2. Nobuyoshi Yamori & Taija Baba, 1999. "Japanese management views on overseas exchange listings: survey results," Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco 99-05, Federal Reserve Bank of San Francisco.
  3. Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262022834, December.
  4. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 44(1), pages 19-31, January.
  5. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 53-74, July.
  6. Brown, Roger H. & Schaefer, Stephen M., 1994. "The term structure of real interest rates and the Cox, Ingersoll, and Ross model," Journal of Financial Economics, Elsevier, Elsevier, vol. 35(1), pages 3-42, February.
  7. Huw Rhys & Mark Tippet, 2001. "A Binomial Basis for the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 28(3-4), pages 379-405.
  8. de Munnik, Jeroen F. J. & Schotman, Peter C., 1994. "Cross-sectional versus time series estimation of term structure models: empirical results for the Dutch bond market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 18(5), pages 997-1025, October.
  9. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 19(03), pages 233-252, September.
  10. Yener Altunbas & Blaise Gadanecz, 2004. "Developing Country Economic Structure and the Pricing of Syndicated Credits," Journal of Development Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(5), pages 143-173.
  11. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers, Bank of England 133, Bank of England.
  12. Chen, Ren-Raw & Scott, Louis O, 1992. "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(4), pages 613-36.
  13. Akerlof, George A, 1970. "The Market for 'Lemons': Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 84(3), pages 488-500, August.
  14. Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-58.
  15. Melnik, Arie L. & Plaut, Steven E., 1996. "Industrial structure in the Eurocredit underwriting market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(4), pages 623-636, August.
  16. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 733-52, June.
  17. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(1), pages 59-74.
  18. Wu, Jyh-Lin & Chen, Show-Lin, 1999. "Are Real Exchange Rates Stationary Based on Panel Unit-Root Tests? Evidence from Pacific Basin Countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 4(3), pages 243-52, July.
  19. David Brookfield & Phillip Ormrod, 2000. "Credit agency regulation and the impact of credit ratings in the international bond market," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(4), pages 311-331.
  20. Franck Bancel & Cusha Mittoo, 2001. "European Managerial Perceptions of the Net Benefits of Foreign Stock Listings," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 7(2), pages 213-236.
  21. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(03), pages 430-461, June.
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