The costs of sovereign default : evidence from Argentina / Benjamin Hébert, Jesse Schreger. [recurso electrónico]
Tipo de material: TextoDetalles de publicación: Boston, Mass. : Harvard University. Harvard Business School, 2015Descripción: 1 recurso en línea (67 p.)Tema(s): Clasificación CDD:- 21 336.340982
Tipo de ítem | Biblioteca actual | Signatura topográfica | Estado | Fecha de vencimiento | Código de barras | |
---|---|---|---|---|---|---|
Libro electrónico | Biblioteca Manuel Belgrano | Recurso en línea (Navegar estantería(Abre debajo)) | Disponible |
We estimate the causal effect of sovereign default on the equity returns of Argentine firms. We identify this effect by exploiting changes in the probability of Argentine sovereign default induced by legal rulings in the case of Republic of Argentina v. NML Capital. Because the legal rulings affected the probability of Argentina defaulting on its debt, independent of underlying economic conditions, these rulings allow us to study the effect of default on firm performance. Using both standard event study methods and a Rigobon (2003) heteroskedasticity-based identification strategy, we find that an increase in the probability of sovereign default causes a significant decline in the Argentine equity market. A 1% increase in the risk-neutral probability of default causes a 0.55% fall in the US dollar value of index of Argentine American Depository Receipts (ADRs). Extrapolating from these estimates, we conclude that the recent Argentine sovereign default episode caused a cumulative 33% drop in the ADR index from 2011 to 2014. We find suggestive evidence that banks, exporters, and foreign-owned firms are particularly affected.
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