Default Option Exercise over the Financial Crisis and Beyond
... borrowers in response to government and lender policy aimed at crisis amelioration. While those and other papers are suggestive of dynamic shifts in borrower default option exercise over the 2000s financial crisis and beyond, few systematic analyses have been undertaken. In this paper, we apply micr ...
... borrowers in response to government and lender policy aimed at crisis amelioration. While those and other papers are suggestive of dynamic shifts in borrower default option exercise over the 2000s financial crisis and beyond, few systematic analyses have been undertaken. In this paper, we apply micr ...
Competition, Reach for Yield, and Money Market Funds
... of competitive pressure for money market funds? To answer these questions, I propose a tournament model of money market funds and test its predictions on the 2002–2008 period. “Reach for yield” refers to the tendency to buy riskier assets in order to achieve higher returns. Recently, there has been ...
... of competitive pressure for money market funds? To answer these questions, I propose a tournament model of money market funds and test its predictions on the 2002–2008 period. “Reach for yield” refers to the tendency to buy riskier assets in order to achieve higher returns. Recently, there has been ...
Momentum, Business Cycle and Time
... t, all NYSE-AMEX stocks on the monthly CRSP files with returns for months t – 6 through t – 1 are ranked into deciles based on their formation period (t – 6 through t – 1) returns. Decile portfolios are formed by weighting equally all firms in the decile rankings. The momentum strategy designates wi ...
... t, all NYSE-AMEX stocks on the monthly CRSP files with returns for months t – 6 through t – 1 are ranked into deciles based on their formation period (t – 6 through t – 1) returns. Decile portfolios are formed by weighting equally all firms in the decile rankings. The momentum strategy designates wi ...
Introduction to Credit Risk Modeling, An
... loss potentially arising from the engagement by means of some credit risk management instrument (e.g., a so-called credit derivative). Admittedly, we intentionally exaggerated in our description, but situations like the one just constructed happen from time to time and it is never easy for a credit ...
... loss potentially arising from the engagement by means of some credit risk management instrument (e.g., a so-called credit derivative). Admittedly, we intentionally exaggerated in our description, but situations like the one just constructed happen from time to time and it is never easy for a credit ...
The Dark Side of Trading - The University of Chicago Booth School
... factors, however, that confound this prediction. For example, the large presence of what is collectively known as noise traders can lead prices away from fundamentals, whiplashing them in temporary swings and reversals (Campbell, Grossman, and Wang 1993). The interplay of these two opposing forces ...
... factors, however, that confound this prediction. For example, the large presence of what is collectively known as noise traders can lead prices away from fundamentals, whiplashing them in temporary swings and reversals (Campbell, Grossman, and Wang 1993). The interplay of these two opposing forces ...
Measuring and explaining the volatility of capital flows towards
... Global Financial Stability Report (IMF, September 2007) uses a similar approach for a sample of developed and emerging countries. They conclude that financial openness and institutional quality are negatively correlated with the volatility of capital inflows. Alternatively, Bekaert and Harvey (1997) f ...
... Global Financial Stability Report (IMF, September 2007) uses a similar approach for a sample of developed and emerging countries. They conclude that financial openness and institutional quality are negatively correlated with the volatility of capital inflows. Alternatively, Bekaert and Harvey (1997) f ...
The Impact of Enterprise Risk Management on the Marginal Cost of
... portfolio (risk-portfolio) as opposed to managing individual risk separately. It is this aspect of ERM that forms the premise of this paper. We hypothesize that ERM adoption lowers the marginal cost (MC) of reducing risk, which creates incentives for profit-maximizing firms to reduce total risk whil ...
... portfolio (risk-portfolio) as opposed to managing individual risk separately. It is this aspect of ERM that forms the premise of this paper. We hypothesize that ERM adoption lowers the marginal cost (MC) of reducing risk, which creates incentives for profit-maximizing firms to reduce total risk whil ...
Do Cash Flows of Growth Stocks Really Grow Faster?
... persistently higher returns on equity than value stocks, even five years after they are sorted into portfolios. Third, in standard firm-level regressions of future dividend growth rates on the bookto-market ratios, the coefficients are highly negative, even for dividend growth rates ten years in the fut ...
... persistently higher returns on equity than value stocks, even five years after they are sorted into portfolios. Third, in standard firm-level regressions of future dividend growth rates on the bookto-market ratios, the coefficients are highly negative, even for dividend growth rates ten years in the fut ...
The Cross-Sectional Dispersion of Stock Returns, Alpha
... “… lower than commonly supposed” and that hedge funds are significantly riskier than more conventional investments. Fung, Xu and Yau [2004] also report negative average alphas for hedge funds, and Pojarliev and Levich [2008] find negative mean risk-adjusted alphas among a sample of currency managers ...
... “… lower than commonly supposed” and that hedge funds are significantly riskier than more conventional investments. Fung, Xu and Yau [2004] also report negative average alphas for hedge funds, and Pojarliev and Levich [2008] find negative mean risk-adjusted alphas among a sample of currency managers ...
MSCI Announces the Results of the 2012 Annual Market
... the lack of currency convertibility in Korea and Taiwan is not aimed at influencing monetary policy principles that have been in place for a long period. Rather, it is aimed at ensuring that a potential reclassification of the country indices to Developed Markets only happens when all operational ...
... the lack of currency convertibility in Korea and Taiwan is not aimed at influencing monetary policy principles that have been in place for a long period. Rather, it is aimed at ensuring that a potential reclassification of the country indices to Developed Markets only happens when all operational ...
Momentum Strategies in Futures Markets and Trend
... futures markets and commodity trading advisors (CTAs), a subgroup of the hedge fund universe that was one of the few profitable hedge fund styles during the financial crisis of 2008, hence attracting much attention and inflows in its aftermath.1 Following inflows over the subsequent years, the size ...
... futures markets and commodity trading advisors (CTAs), a subgroup of the hedge fund universe that was one of the few profitable hedge fund styles during the financial crisis of 2008, hence attracting much attention and inflows in its aftermath.1 Following inflows over the subsequent years, the size ...
Further Evidence on the Relation between Analysts` Forecast
... to the positive relation implied by the overpricing argument, we find a negative (positive) relation between consensus (lack of consensus) and future returns. This finding also increases understanding of L’Her and Suret’s (1996) evidence that increases in dispersion coincide with decreases in stock ...
... to the positive relation implied by the overpricing argument, we find a negative (positive) relation between consensus (lack of consensus) and future returns. This finding also increases understanding of L’Her and Suret’s (1996) evidence that increases in dispersion coincide with decreases in stock ...
Comovement Among Stocks with Similar Book-to
... flows. An alternative view, contradictory to standard asset pricing theory, is that shifting investor sentiment unrelated to fundamentals gives rise to common variation in returns. Barberis and Shleifer (2003) develop a model in which the shifting sentiment of “style investors”, investors who alloca ...
... flows. An alternative view, contradictory to standard asset pricing theory, is that shifting investor sentiment unrelated to fundamentals gives rise to common variation in returns. Barberis and Shleifer (2003) develop a model in which the shifting sentiment of “style investors”, investors who alloca ...
THREE ESSAYS ON INVESTMENTS AND CORPORATE
... I would like to thank my friends, colleagues, and the faculty members who have supported me throughout the process of completing my dissertation. I am most grateful to Douglas O. Cook, my dissertation chair, for sharing his research expertise and guidance throughout the dissertation process. I appre ...
... I would like to thank my friends, colleagues, and the faculty members who have supported me throughout the process of completing my dissertation. I am most grateful to Douglas O. Cook, my dissertation chair, for sharing his research expertise and guidance throughout the dissertation process. I appre ...
Analyst Recommendations, Mutual Fund Herding, and
... flow-driven mutual fund trading is associated with future return reversals, it does not explain ...
... flow-driven mutual fund trading is associated with future return reversals, it does not explain ...
Regulatory guidance – Integrated risk
... 13. There is no one set formula for what IRM should look like. It will be determined by, and will be proportionate to, the trustees’ scheme objective and the employer’s objectives, in the light of their needs and circumstances. 14. Trustees should consider introducing IRM wherever the scheme lies wi ...
... 13. There is no one set formula for what IRM should look like. It will be determined by, and will be proportionate to, the trustees’ scheme objective and the employer’s objectives, in the light of their needs and circumstances. 14. Trustees should consider introducing IRM wherever the scheme lies wi ...
Risk Aversion and Clientele Effects
... foundation of asset pricing theory and the definition of capital market integration – i.e. that a unit of risk exposure in one market commands the same compensation as a unit of risk exposure in another. While investor preferences are an important bridge that joins risk exposure and returns, only li ...
... foundation of asset pricing theory and the definition of capital market integration – i.e. that a unit of risk exposure in one market commands the same compensation as a unit of risk exposure in another. While investor preferences are an important bridge that joins risk exposure and returns, only li ...
Option Trading, Reference Prices, and Volatility Kelley Bergsma
... days, where option turnover is used for weighting to be more reflective of option trader framing. In the spirit of Barber and Odean (2008), we use International Securities Exchange (ISE) data to calculate the sell-buy imbalance as close sell volume-open buy volume and de-trend the series by subtrac ...
... days, where option turnover is used for weighting to be more reflective of option trader framing. In the spirit of Barber and Odean (2008), we use International Securities Exchange (ISE) data to calculate the sell-buy imbalance as close sell volume-open buy volume and de-trend the series by subtrac ...
research paper series Research Paper 2007/33
... A rise in the volatility of firms’ earnings streams has been documented throughout the world in recent years1. According to Comin and Philippon (2005), this may be due to increased competition in product markets, which might in turn follow from deregulation, increases in R&D investment, and higher u ...
... A rise in the volatility of firms’ earnings streams has been documented throughout the world in recent years1. According to Comin and Philippon (2005), this may be due to increased competition in product markets, which might in turn follow from deregulation, increases in R&D investment, and higher u ...
An Empirical Analysis of Capital Structure and Abnormal Returns
... investment patterns and leverage. They show that firms with diversified investments have higher leverage than firms with more focused investments. This study investigates neither the determinants of multiple capital structure choices nor changes in capital structures over time. Our main goal is to ...
... investment patterns and leverage. They show that firms with diversified investments have higher leverage than firms with more focused investments. This study investigates neither the determinants of multiple capital structure choices nor changes in capital structures over time. Our main goal is to ...
Essays on international capital flows and macroeconomic stability
... standing of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country D ...
... standing of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country D ...
The Size and Specialization of Direct Investment Portfolios
... project quality implies that choosing from a large pool of potential projects is necessary to extract a high value from investments. We show that when opportunities are sufficiently heterogeneous and investors are sufficiently constrained in how much they can observe, the number and specialization o ...
... project quality implies that choosing from a large pool of potential projects is necessary to extract a high value from investments. We show that when opportunities are sufficiently heterogeneous and investors are sufficiently constrained in how much they can observe, the number and specialization o ...
University of Groningen An evaluation of the accounting rate of
... The relationship between firm size and firm profitability is a time-honored topic. Previous studies of the effect of size on profitability have provided some interesting propositions, for example, large firms are also relatively profitable firms (see Baumol, 1959). For investigating the effects of s ...
... The relationship between firm size and firm profitability is a time-honored topic. Previous studies of the effect of size on profitability have provided some interesting propositions, for example, large firms are also relatively profitable firms (see Baumol, 1959). For investigating the effects of s ...
Pulling the Trigger: Default Option Exercise over the Business Cycle*
... those controls, we also find that borrower default propensities are sensitive to measures of consumer sentiment, where our sentiment measure is orthogonalized to indicators of economic activity.2 We also ...
... those controls, we also find that borrower default propensities are sensitive to measures of consumer sentiment, where our sentiment measure is orthogonalized to indicators of economic activity.2 We also ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.