Stock Market Overreaction to Bad News in Good Times: A Rational
... change over time at random dates. It is assumed that θ(t) is not observable by investors, who therefore face a “signal extraction” problem. The signal is provided by the observed level of dividend D. The accurate estimation of θ (t) is important for investors in order to compute the expected future ...
... change over time at random dates. It is assumed that θ(t) is not observable by investors, who therefore face a “signal extraction” problem. The signal is provided by the observed level of dividend D. The accurate estimation of θ (t) is important for investors in order to compute the expected future ...
Official PDF , 31 pages
... exchange rate will influence employment. In the long run, real depreciation is likely to raise employment. But in the short run, the adjustment process may make the effects run the other way. These three linkages then mean that asset markets are internationally integrated and that this integration p ...
... exchange rate will influence employment. In the long run, real depreciation is likely to raise employment. But in the short run, the adjustment process may make the effects run the other way. These three linkages then mean that asset markets are internationally integrated and that this integration p ...
del06 zhang 2763869 en
... earn higher returns and to reduce risk via international portfolio diversification (Stulz, 2005). Caballero and Krishnamurthy (2001, 2003) investigate the dynamic interactions between domestic and international collateral constraints and show that limited financial development reduces the incentives f ...
... earn higher returns and to reduce risk via international portfolio diversification (Stulz, 2005). Caballero and Krishnamurthy (2001, 2003) investigate the dynamic interactions between domestic and international collateral constraints and show that limited financial development reduces the incentives f ...
application of the countercyclical capital buffer in lithuania
... using the main indicators. The credit-to-GDP gap has been chosen as the main indicator because of its credibility in predicting financial crises. Reference rates are set above 0 per cent where the credit-to-GDP ratio is significantly higher than its long-term development trend. Complementary indicat ...
... using the main indicators. The credit-to-GDP gap has been chosen as the main indicator because of its credibility in predicting financial crises. Reference rates are set above 0 per cent where the credit-to-GDP ratio is significantly higher than its long-term development trend. Complementary indicat ...
What can a lender learn from a loan application?
... payments. In 1992, the borrowers had obtained a home loan for about $53,000 to build a house. The borrowers had subsequently found it necessary to take out a series of loans, each one refinancing the last and for a larger amount, in order to meet interest and expenses. The case concerned a loan ent ...
... payments. In 1992, the borrowers had obtained a home loan for about $53,000 to build a house. The borrowers had subsequently found it necessary to take out a series of loans, each one refinancing the last and for a larger amount, in order to meet interest and expenses. The case concerned a loan ent ...
Supporting Credit Union Success
... The fact that there has been significant consolidation in the Canadian credit union system, and the forecast that this consolidation will continue leads some to conclude that it is inevitable that in time there will only be a few, very large, credit unions remaining in English Canada. The inevitabi ...
... The fact that there has been significant consolidation in the Canadian credit union system, and the forecast that this consolidation will continue leads some to conclude that it is inevitable that in time there will only be a few, very large, credit unions remaining in English Canada. The inevitabi ...
Fabozzi_Ch05_BMAS_7thEd
... The yield curve is the graphical depiction of the relation between the yield on bonds of the same credit quality but different maturities. Investors have typically constructed yield curves from observations of prices and yields in the Treasury market for two reasons: i. First, Treasury securities ...
... The yield curve is the graphical depiction of the relation between the yield on bonds of the same credit quality but different maturities. Investors have typically constructed yield curves from observations of prices and yields in the Treasury market for two reasons: i. First, Treasury securities ...
“The modeling of equilibrium of the reinsurance markets in Germany
... tion of peculiarities of reinsurance markets functioning in different countries with the goal of their further comparison and the formation of specific characteristics and stability intervals of the achieved equilibrium points. The goal of the paper is the formalization of demand and supply of the r ...
... tion of peculiarities of reinsurance markets functioning in different countries with the goal of their further comparison and the formation of specific characteristics and stability intervals of the achieved equilibrium points. The goal of the paper is the formalization of demand and supply of the r ...
China`s new monetary policy framework
... interest rates and provide an accommodative credit environment (see More onbalance-sheet easing needed amid shadow-banking consolidation, 15 April). In our view, these new monetary policy instruments could have important drawbacks to China’s policy reform and RMB internationalization (see PSL: Innov ...
... interest rates and provide an accommodative credit environment (see More onbalance-sheet easing needed amid shadow-banking consolidation, 15 April). In our view, these new monetary policy instruments could have important drawbacks to China’s policy reform and RMB internationalization (see PSL: Innov ...
The Handbook of Mortgage-Backed Securities, 7th Edition
... conducted with buyers relying substantially on the assessments of credit rating agencies, since no specific prospectus supplement was required to be made available until days after the offering. 20 ...
... conducted with buyers relying substantially on the assessments of credit rating agencies, since no specific prospectus supplement was required to be made available until days after the offering. 20 ...
Chapter 8
... Discount Period has Expired? • Net price Decrease (debit) accounts payable by $784 ($980 - $196) Recognize discount lost (debit Discounts Lost) for $16 Decrease (credit) cash by $800 ($784/0.98) ...
... Discount Period has Expired? • Net price Decrease (debit) accounts payable by $784 ($980 - $196) Recognize discount lost (debit Discounts Lost) for $16 Decrease (credit) cash by $800 ($784/0.98) ...
MUNICIPAL DEBT AND MARGINAL TAX RATES: IS
... the maximum Federal income tax rate of 39.1 percent during 2001, 38.6 percent during 2002, and 35.0 percent during the remainder of the sample period. Thus, these results are consistent with a scenario in which the marginal tax reflects both Federal and state income taxes. The estimated marginal tax ...
... the maximum Federal income tax rate of 39.1 percent during 2001, 38.6 percent during 2002, and 35.0 percent during the remainder of the sample period. Thus, these results are consistent with a scenario in which the marginal tax reflects both Federal and state income taxes. The estimated marginal tax ...
Evaluating the Net Benefits of Macroprudential Policy: A Cookbook
... Credit aggregates are useful to guide policy, especially to inform tightening of policy, by using appropriate thresholds. Two studies that examine thresholds are IMF (2011b) in the Global Financial Stability Report (GFSR) and Dell’Ariccia et al (2012).5 Comparing the GFSR threshold (3-5 percentage p ...
... Credit aggregates are useful to guide policy, especially to inform tightening of policy, by using appropriate thresholds. Two studies that examine thresholds are IMF (2011b) in the Global Financial Stability Report (GFSR) and Dell’Ariccia et al (2012).5 Comparing the GFSR threshold (3-5 percentage p ...
1. Recognizing accounts receivable. 2. Valuing accounts receivable
... the current period. • The amount of the adjusting entry to record expected bad debt losses for the current period is the difference between the required balance and the existing balance in the allowance ...
... the current period. • The amount of the adjusting entry to record expected bad debt losses for the current period is the difference between the required balance and the existing balance in the allowance ...
Private_Lending_Presentation_Apartments
... What experience do you have Investing? What would an investment with return of 8-9% or more do for your current investment goals long term and short term? ...
... What experience do you have Investing? What would an investment with return of 8-9% or more do for your current investment goals long term and short term? ...
Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR 218 WP/13/
... between banking sector risk, sovereign risk, corporate sector risk, growth, and credit for a large sample of banks and countries. Contingent Claims Analysis (CCA) serves to construct risk indicators for banks, respectively for banking systems, sovereigns, and corporate sectors, which we combine with ...
... between banking sector risk, sovereign risk, corporate sector risk, growth, and credit for a large sample of banks and countries. Contingent Claims Analysis (CCA) serves to construct risk indicators for banks, respectively for banking systems, sovereigns, and corporate sectors, which we combine with ...
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
... billion in assets, $5.5 billion in deposits and more than 200 offices principally in North Dakota, Minnesota, Nebraska, Iowa, Kansas, South Dakota, Wisconsin, and Wyoming. The Company will issue .6803 share of FBS common stock for each share of MFC's outstanding common stock at closing, subject to c ...
... billion in assets, $5.5 billion in deposits and more than 200 offices principally in North Dakota, Minnesota, Nebraska, Iowa, Kansas, South Dakota, Wisconsin, and Wyoming. The Company will issue .6803 share of FBS common stock for each share of MFC's outstanding common stock at closing, subject to c ...
Herman J. Bierens - Personal.psu.edu
... variance is modelled as a GARCH process. However, as mentioned earlier, the GARCH conditional variance specification for rebalanced credit spread portfolios is not plausible because of the vanishing memory. For this reason, we adopt an ARCH specification with limited memory. Empirical studies have p ...
... variance is modelled as a GARCH process. However, as mentioned earlier, the GARCH conditional variance specification for rebalanced credit spread portfolios is not plausible because of the vanishing memory. For this reason, we adopt an ARCH specification with limited memory. Empirical studies have p ...
- PNC.com
... Absolute and relative REIT performance in 2014 was very strong across all property types. For the year, the FTSE All Equity REIT Index generated a total return of 28.0% while the S&P 500 returned 13.7%. Looking at a 20-year history, REITs have consistently outperformed the S&P 500 while exhibiting o ...
... Absolute and relative REIT performance in 2014 was very strong across all property types. For the year, the FTSE All Equity REIT Index generated a total return of 28.0% while the S&P 500 returned 13.7%. Looking at a 20-year history, REITs have consistently outperformed the S&P 500 while exhibiting o ...
U.S. Small Caps: Outperformers during Rising Rate Environments
... • One possible reason for small-cap The truth about small caps and rising rates The conventional wisdom suggests that rising interest rates are detrimental to the performance of stocks in general and to small-cap stocks in particular, both in absolute terms and relative to large caps. There are many ...
... • One possible reason for small-cap The truth about small caps and rising rates The conventional wisdom suggests that rising interest rates are detrimental to the performance of stocks in general and to small-cap stocks in particular, both in absolute terms and relative to large caps. There are many ...
Financial Liberalization and Allocative Efficiency (April 2011)
... bottleneck in the input sector— systemic risk improves allocative e¢ ciency and brings resource allocation nearer to the Pareto-optimal level. Systemic risk also increases the present value of consumption that the economy can attain— even when we net out the …scal costs of bailout guarantees— as lon ...
... bottleneck in the input sector— systemic risk improves allocative e¢ ciency and brings resource allocation nearer to the Pareto-optimal level. Systemic risk also increases the present value of consumption that the economy can attain— even when we net out the …scal costs of bailout guarantees— as lon ...
Crouhy et al. - IME-USP
... structure of the ®rm. Default occurs when the value of the ®rmÕs assets falls below some critical level. Third, the actuarial approach as proposed by Credit Suisse Financial Products (CSFP) with CreditRisk+ and which only focuses on default. Default for individual bonds or loans is assumed to follow ...
... structure of the ®rm. Default occurs when the value of the ®rmÕs assets falls below some critical level. Third, the actuarial approach as proposed by Credit Suisse Financial Products (CSFP) with CreditRisk+ and which only focuses on default. Default for individual bonds or loans is assumed to follow ...
Credit rationing
Credit rationing refers to the situation where lenders limit the supply of additional credit to borrowers who demand funds, even if the latter are willing to pay higher interest rates. It is an example of market imperfection, or market failure, as the price mechanism fails to bring about equilibrium in the market. It should not be confused with cases where credit is simply ""too expensive"" for some borrowers, that is, situations where the interest rate is deemed too high. On the contrary, the borrower would like to acquire the funds at the current rates, and the imperfection refers to the absence of equilibrium in spite of willing borrowers. In other words, at the prevailing market interest rate, demand exceeds supply, but lenders are not willing to either loan more funds, or raise the interest rate charged, as they are already maximising profits.