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dc.contributor.authorWaldenström, Danielen_US
dc.date.accessioned2012-03-28T13:05:34Z-
dc.date.available2012-03-28T13:05:34Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/56182-
dc.description.abstractThis paper shows that geographical investor heterogeneity strongly influences sovereign risk. While standard sovereign debt models mainly attribute the absence of sovereign defaults to foreign creditor retaliation, a new theoretical literature argues that domestic creditors also affect borrowing governments' default decisions through channels of domestic politics. This paper examines this controversy using a newly assembled dataset on cross-listed Scandinavian sovereign yields traded at markets that abruptly went from integration to segmentation by capital controls and World War II. The results strongly suggest that domestic and foreign bond investors assessed different sovereign risks whereas more standard explanations based on macroeconomic factors, portfolio choice or risk aversion added little explanatory value. The study also documents large effects on recorded asset prices from institutional trading constraints (e.g., price limits), an issue largely neglected by previous research in historical long-run asset returns.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 585en_US
dc.subject.jelF34en_US
dc.subject.jelG15en_US
dc.subject.jelG18en_US
dc.subject.jelN20en_US
dc.subject.jelN24en_US
dc.subject.jelN44en_US
dc.subject.ddc330en_US
dc.subject.keywordSovereign risken_US
dc.subject.keywordInvestor heterogeneityen_US
dc.subject.keywordMarket segmentationen_US
dc.subject.keywordDomestic debten_US
dc.subject.keywordPolitical economyen_US
dc.subject.keywordHistorical financeen_US
dc.subject.keywordCliometricsen_US
dc.subject.stwInternationale Kreditvergabeen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwInternationale Marktsegmentierungen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDänemarken_US
dc.subject.stwSchwedenen_US
dc.titleDoes sovereign risk differ for domestic and foreign investors? Historical evidence from Scandinavian bond marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn47930128Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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