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dc.contributor.authorWaldenström, Danielen
dc.date.accessioned2012-03-28T13:05:34Z-
dc.date.available2012-03-28T13:05:34Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x585en
dc.subject.jelF34en
dc.subject.jelG15en
dc.subject.jelG18en
dc.subject.jelN20en
dc.subject.jelN24en
dc.subject.jelN44en
dc.subject.ddc330en
dc.subject.keywordSovereign risken
dc.subject.keywordInvestor heterogeneityen
dc.subject.keywordMarket segmentationen
dc.subject.keywordDomestic debten
dc.subject.keywordPolitical economyen
dc.subject.keywordHistorical financeen
dc.subject.keywordCliometricsen
dc.subject.stwInternationale Kreditvergabeen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwAnlageverhaltenen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwInternationale Marktsegmentierungen
dc.subject.stwSchätzungen
dc.subject.stwDänemarken
dc.subject.stwSchwedenen
dc.titleDoes sovereign risk differ for domestic and foreign investors? Historical evidence from Scandinavian bond markets-
dc.typeWorking Paperen
dc.identifier.ppn47930128Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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