Fulltext: english,
... international comparison over global and local models, still claim that when very small stocks are included into the model, the Gibbons, Ross, and Shanken (GRS) (1989) test rejects the hypothesis that the true intercepts are zero. Even when small stocks are discarded, global models do not explain re ...
... international comparison over global and local models, still claim that when very small stocks are included into the model, the Gibbons, Ross, and Shanken (GRS) (1989) test rejects the hypothesis that the true intercepts are zero. Even when small stocks are discarded, global models do not explain re ...
GCD Discount Rate - Global Credit Data
... Kong (Hong Kong Monetary Authority, 2006), the UK (Financial Services Authority, 2003, Bank of England, 2013), and the US (Office of the Comptroller of the Currency et al., 2003, 2007). The Prudential Regulation Authority (PRA) of the Bank of England (see Bank of England, 2013) expect ...
... Kong (Hong Kong Monetary Authority, 2006), the UK (Financial Services Authority, 2003, Bank of England, 2013), and the US (Office of the Comptroller of the Currency et al., 2003, 2007). The Prudential Regulation Authority (PRA) of the Bank of England (see Bank of England, 2013) expect ...
1 New Evidence on Sources of Leverage Effects in Individual Stocks
... It is well-known that negative stock return innovations increase the future volatility of equity returns more than positive ones.1 Black (1976) is widely credited as the first to document this phenomenon and attribute it to financial leverage. According to Black’s leverage effect hypothesis, decreas ...
... It is well-known that negative stock return innovations increase the future volatility of equity returns more than positive ones.1 Black (1976) is widely credited as the first to document this phenomenon and attribute it to financial leverage. According to Black’s leverage effect hypothesis, decreas ...
Using Markets to Inform Policy: The Case of the Iraq War
... Financial market-based analysis of the expected effects of policy changes has traditionally been exclusively retrospective. In this paper, we demonstrate by example how prediction markets make it possible to use markets to prospectively estimate policy effects. We exploit data from a market trading ...
... Financial market-based analysis of the expected effects of policy changes has traditionally been exclusively retrospective. In this paper, we demonstrate by example how prediction markets make it possible to use markets to prospectively estimate policy effects. We exploit data from a market trading ...
Is the Willingness to Take Financial Risk a Sex
... us to discriminate between the gross impact of gender (i.e. when individual risk preferences are not taken into account) and the incremental impact of gender (i.e. when risk preferences are controlled for). The formal test of the impact relies on the econometric analysis. The effect of gender on the ...
... us to discriminate between the gross impact of gender (i.e. when individual risk preferences are not taken into account) and the incremental impact of gender (i.e. when risk preferences are controlled for). The formal test of the impact relies on the econometric analysis. The effect of gender on the ...
Does Financial Distress Risk Drive the Momentum Anomaly?
... it-1 is the beta of Portfolio i estimated at the portfolio formation date, 10 ln(sizeit-1) is the natural logarithm of average market capitalization of common equity of stocks in Portfolio i at the portfolio formation date, and ln(B/Mit-1) is the natural logarithm of the average of B/M ratios of st ...
... it-1 is the beta of Portfolio i estimated at the portfolio formation date, 10 ln(sizeit-1) is the natural logarithm of average market capitalization of common equity of stocks in Portfolio i at the portfolio formation date, and ln(B/Mit-1) is the natural logarithm of the average of B/M ratios of st ...
NBER WORKING PAPER SERIES IS FINANCIAL GLOBALIZATION BENEFICIAL? Frederic S. Mishkin
... should be far lower to poor countries where it is higher. We sometimes see this happening and it does explain why there has been a big increase in the amount of capital that has moved to poor countries in recent years, but most capital instead flows from one rich country to another where the returns ...
... should be far lower to poor countries where it is higher. We sometimes see this happening and it does explain why there has been a big increase in the amount of capital that has moved to poor countries in recent years, but most capital instead flows from one rich country to another where the returns ...
Bank of America 2016 Dodd-Frank Act Annual Stress Test Results
... been prepared under generally accepted accounting principles (“GAAP”). The Stress Test Results present certain projected financial measures for Bank of America Corporation (“Bank of America”, “BAC”, or “the Company”) and Bank of America, National Association (“BANA”) under the hypothetical economic ...
... been prepared under generally accepted accounting principles (“GAAP”). The Stress Test Results present certain projected financial measures for Bank of America Corporation (“Bank of America”, “BAC”, or “the Company”) and Bank of America, National Association (“BANA”) under the hypothetical economic ...
Balance-Sheets: A Financial/Liability Approach
... items always have counterparts in other institutional units, sectors and countries. In cases of exceptional changes in balance-sheets there will thus be an immediate corresponding effect for the counterpart. Second that stocks are much bigger in money terms than transactions and subsequently relativ ...
... items always have counterparts in other institutional units, sectors and countries. In cases of exceptional changes in balance-sheets there will thus be an immediate corresponding effect for the counterpart. Second that stocks are much bigger in money terms than transactions and subsequently relativ ...
The growth of emerging economies and global macroeconomic
... before observing zj,t , both aggregate and idiosyncratic. This implies that the choice of labor is risky. To insure consumption smoothing, entrepreneurs have access to a market for non-contingent bonds at price qt . As we will see, bonds held by entrepreneurs are the liabilities issued by banks. Not ...
... before observing zj,t , both aggregate and idiosyncratic. This implies that the choice of labor is risky. To insure consumption smoothing, entrepreneurs have access to a market for non-contingent bonds at price qt . As we will see, bonds held by entrepreneurs are the liabilities issued by banks. Not ...
a PDF of the full article
... AMCs tend to distinguish market stress tests, which simulate the impact of turbulence on one or several markets on the fund’s net asset value, from liquidity stress tests, which simulate the impact of a high volume of redemption requests on the fund’s liabilities (possibly during a period of low mar ...
... AMCs tend to distinguish market stress tests, which simulate the impact of turbulence on one or several markets on the fund’s net asset value, from liquidity stress tests, which simulate the impact of a high volume of redemption requests on the fund’s liabilities (possibly during a period of low mar ...
Foreign Exchange Risk Mitigation for Power and Water Projects in
... and donor agencies—and as an aid for designing foreign exchange risk mitigation mechanisms for specific projects and countries. The occurrence of currency crises has coincided with sharp reductions in private investment in infrastructure in developing countries. Currency crises tend to have a negati ...
... and donor agencies—and as an aid for designing foreign exchange risk mitigation mechanisms for specific projects and countries. The occurrence of currency crises has coincided with sharp reductions in private investment in infrastructure in developing countries. Currency crises tend to have a negati ...
The Influence of Capital Structure and Macroeconomic Factor
... cause the cost of bankruptcy (bankruptcy cost) is greater. The trade off theory explaining the relationship between tax, bankruptcy risk and the use of a debt due to the decision taken by the company’s capital structure (Brealey and Myers, 1991). This theory is a balance between the advantages and d ...
... cause the cost of bankruptcy (bankruptcy cost) is greater. The trade off theory explaining the relationship between tax, bankruptcy risk and the use of a debt due to the decision taken by the company’s capital structure (Brealey and Myers, 1991). This theory is a balance between the advantages and d ...
synthetic zeros - SG Listed Products
... Synthetic Zeros are issued by SG Acceptance, a 100% subsidiary of Societe Generale. Insofar as payments are due by Societe Generale in its capacity as Guarantor, investors are ultimately exposed to Counterparty Risk on Societe Generale. This means that receiving your capital back and any return owed ...
... Synthetic Zeros are issued by SG Acceptance, a 100% subsidiary of Societe Generale. Insofar as payments are due by Societe Generale in its capacity as Guarantor, investors are ultimately exposed to Counterparty Risk on Societe Generale. This means that receiving your capital back and any return owed ...