Results 21 to 25 of about 2,455,955 (25)

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book [PDF]

arXiv, 2017
An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high-frequency data.
arxiv  

Investigating the Impact of Sovereign Credit Rating Downgrade on the US Equity Market [PDF]

arXiv
The primary objective of this study was to examine the impact of the US sovereign credit rating downgrade on its equity market. Utilizing the event study methodology, a sample of three most capitalized listed companies -- Microsoft, Apple, and Amazon -- and the equity market index -- S&P500 -- were used as the proxy for the overall equity market. Three
arxiv  

Transmission of distress in a bank credit network [PDF]

presented at the 4th World Congress on Social Simulation, Taipei, September 2012, 2012
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer simulation model to analyze the risk of insolvency of banks and defaults in a bank credit network.
arxiv  

The Debt-Inflation Channel of the German (Hyper-)Inflation [PDF]

arXiv
This paper studies how a large increase in the price level is transmitted to the real economy through firm balance sheets. Using newly digitized macro- and micro-level data from the German inflation of 1919-1923, we show that inflation led to a large reduction in real debt burdens and bankruptcies.
arxiv  

Robust Contracting for Sequential Search [PDF]

arXiv
A principal contracts with an agent who can sequentially search over projects to generate a prize. The principal knows only one of the agent's available projects and evaluates a contract by its worst-case performance. We characterize the set of robustly optimal contracts, all of which involve a minimum debt level, i.e., the agent only receives payment ...
arxiv