Results 111 to 120 of about 2,264 (148)

Investor behavior, information disclosure strategy and counterparty credit risk contagion

Chaos, Solitons and Fractals, 2019
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Lei Wang, Shouwei Li, Tingqiang Chen
exaly   +3 more sources

Who neglects risk? Investor experience and the credit boom

Journal of Financial Economics, 2016
Abstract Many have argued that overoptimistic thinking on the part of lenders helps fuel credit booms. We use new micro-data on mutual funds’ holdings of securitizations to examine which investors are susceptible to such boom-time thinking. We show that firsthand experience plays a key role in shaping investors’ beliefs. During the 2003–2007 mortgage
Sergey Chernenko, Adi Sunderam
exaly   +4 more sources

Capital Flow Episodes Shocks, Global Investor Risk and Credit Growth

2017
• Show the importance of classifying capital flow episodes, separating between foreign and domestic investor activities • Understand the channels of transmission of capital waves and how they impact real economic activity and credit growth • Show how changes in global risk shocks impact capital flow surges, sudden stop episodes, credit growth
Nombulelo Gumata, Eliphas Ndou
exaly   +2 more sources

Do Investors Trade Industry Sector-Based Credit Risk Differently Than Systematic Credit Risk?

The Journal of Alternative Investments, 2021
The authors examine price discovery and informational flow between the industry sector-based subindices of the Markit CDX.NA.IG index and matched portfolios of stocks to ascertain whether they differ from the composite index and one another, possibly due to differing business risk and exposure to systematic factors or investor preferences.
William J. Procasky, Brian Petrus
openaire   +1 more source

A BEHAVIORAL STUDY ON THE PERCEPTION OF MARKET AND CREDIT RISK BY THE INVESTOR

Journal of International Finance Studies, 2012
The objective of this study is to analyze the perception of the individual regarding market risk and credit risk. The methodology used to obtain the data was an experiment involving a questionnaire carried out with 93 business administration from the Universidade Catolica de Brasilia.
Jose L. B. Fernandes, Alberto S. Matsumoto, Paulo César Chagas, Simone Muller Rocha   +3 more
openaire   +1 more source

Credit Risk Transfers: Investor and GSE Perspectives

The Journal of Structured Finance, 2014
In 2013, the government-sponsored enterprises (GSEs) began issuing credit risk transfer (CRT) transactions in order to transfer some of the credit risk on the mortgages they were guaranteeing to private investors. This article analyzes these CRT transactions from the investor and the GSE perspectives. The authors use two different approaches to project
Scott Anderson, Janet Jozwik
openaire   +1 more source

The Credit Risk Premium: Should Investors Overweight Credit, When, and By How Much?

The Journal of Investing, 2011
The authors revisit the case for maintaining a strategic overweight to corporate bonds in fixed income portfolios based on the notion of the credit risk premium. Using a series of excess returns to investment-grade corporate bonds going back to 1926, the authors find evidence of a positive risk premium of corporate bonds over Treasuries.
Bac Van Luu, Peiyi Yu
openaire   +1 more source

The asymmetric response of sovereign credit default swaps spreads to risk aversion, investor sentiment and monetary policy shocks

International Review of Economics and Finance
Abdallahi M'beirick, Samira Haddou
exaly   +2 more sources

Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market? [PDF]

, 2004
This paper aims to analyze risk premium of corporate bonds considering skewness as an additional risk factor under a portfolio selection framework. With skewness, risk premium can be expressed as a weighted average of beta-risk under the orthodox beta-CAPM and gamma-risk arising from skewness. We call the pricing model with gamma-risk gamma-CAPM.
Shinichi Nishioka, Naohiko Baba
openaire  

Assessing Risk on Subprime Mortgage Backed Securities: Did Credit Rating Agencies Misrepresent Risk to Investors?

SSRN Electronic Journal, 2011
The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime ...
openaire   +1 more source