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- Waldenström, Daniel, et al.
(författare)
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Contrasting ex post with ex ante assessments of historical events
- 2003
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this study we analyze two different ways of describing historical events and how they were perceived by contemporary actors. The first way is the historians' ex post analysis as represented in modern historical writing. The second way is the ex ante assessments of contemporary actors as reflected in financial price data collected from the time period in question. Specifically, we estimate structural breaks in government bond prices of the Nordic countries and Germany around World War II and contrast them with the events that historians claim were viewed as important by that period's contemporaries. We find large differences between the outputs of the two methods. For example, whereas historians describe the Scandinavians as feeling safe from the threat of war until a very late stage, the bond prices produce significant breaks signaling the opposite at a quite early stage. From a methodological point of view, we also introduce a systematic distinction between sudden and gradual structural breaks which provides an intuitive way of capturing peoples' responses to major political events.
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- Waldenström, Daniel
(författare)
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Essays in historical finance
- 2003
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This dissertation concentrates on the interplay between politics and financial markets using various empirical tools applied on historical financial statistics. The first essay examines the effect of stock transaction taxation on trading activity and asset prices, specifically focusing on the case of early 20th century Sweden. The main finding is that the tax substantially reduced trading as well as the level of asset prices. In the second essay, modern ex post historical writing is contrasted with the ex ante views of contemporaries which are estimated from historical price data. The specific case study is the events around World War II related to the Nordic countries and Germany. The comparisons point out considerable differences between the assessments of historical events in the ex post and ex ante approaches. The third essay is an empirical study of price controls on asset price movements and how these controls affect asset returns. The study finds that the controls have large significant effects which even may influence estimates of the long-run equity premium. Altogether, this raises concerns about the use of century-long series of asset returns without correcting for the impact of institutional variation and market constraints. Finally, the fourth essay examines the growth effects of international financial liberalization and integration using a large country- industry sample from the 1980s. The main result is that industries highly dependent on external financing do not experience higher value added growth in countries with liberalized financial markets. Liberalization does, however, increase the growth rates of both output and firm creation among externally dependent industries. These results are consistent both with increased competition and increased outsourcing.
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- Waldenström, Daniel
(författare)
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Taxing emerging stock markets : a beneficial policy? evidence from the Stockholm Stock Exchange, 1907-1939
- 2002
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Ingår i: Explorations in Economic History. - : Elsevier. - 1090-2457 .- 0014-4983. ; 39:1, s. 29-45
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- The question of whether financial markets should be taxed or not has been debated extensively. In this study, the gradual rise in public taxation of the Stockholm Stock Exchange during the first half of the 20th century is examined and evaluated. The empirical findings, focusing on trading volume and volatility, show that transaction taxes caused substantial crowding out of trading activity and led to lower asset prices. Hence, some support is given to the proponents of a more cautious policy of financial market taxation, especially in emerging stock markets. (C) 2001 Elsevier Science.
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| 5. |
- Waldenström, Daniel
(författare)
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The effect of price controls on financial assets : the case of World War II sovereign debt yields
- 2003
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper examines the impact of price controls on financial asset prices. Specifically, it is found that the controls on asset price movements practiced on the Copenhagen Stock Exchange during World War II affected the market yields on Danish sovereign debt downwards by between four and six percentage points in relation to the same yields traded on the unregulated Stockholm Stock Exchange. Moreover, when using the Stockholm yields in calculating a long-run Danish equity premium, the new estimates suggest that previous figures overestimated the premium by roughly half a percentage point. These findings raise serious concerns about examining century-long series of asset returns without taking the effect from varying institutional constraints into account.
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