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Reaction of bank stock prices to the multiple events of the Brazilian debt crisis.

SelectedWorks Author Profiles:

Sridhar Sundaram

Document Type

Article

Publication Date

1997

ISSN

0960-3107

Abstract

Rather than assessing the market reaction to individual dates associated with the Brazilian debt crisis, eight significant dates associated with the crisis are studied simultaneously. The results show a systematic shift in the returns generating process, caused by the debt crisis. The beta of the money centre bank portfolio increased significantly subsequent to the agreement on the rescheduling of Brazilian debt, while the beta for banks without LDC debt decreased significantly after the agreement. Contagion effects associated with the announcement of the Citicorp loan loss reserves were also observed.

Comments

Citation only. Full-text article is available through licensed access provided by the publisher. Members of the USF System may access the full-text of the article through the authenticated link provided.

Language

en_US

Publisher

Routledge

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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