Results 101 to 110 of about 2,365,855 (190)
Twin Defaults and Bank Capital Requirements
The Journal of Finance, EarlyView.ABSTRACT We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns.
CATERINA MENDICINO +4 more
wiley +1 more source
Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models. [PDF]
Entropy (Basel), 2022 Sheng Y, Ma D.
europepmc +1 more source
Journal of Management Studies, EarlyView.Abstract We analyse the behaviour of multinational enterprises (MNEs) within a host nation – Australia – during deglobalization (1914–79). Deglobalization is often portrayed as a drastic event to which MNEs respond swiftly, probably through withdrawal from host countries.
Pierre Van der Eng +4 more
wiley +1 more source
Uninformative news, limited attention and institutional investors
Journal of Risk and Insurance, EarlyView.Abstract Using the universe of transaction‐level data in the U.S. corporate bond market around uninformative downgrades, we find an abnormal increase in trading volume, abnormal bond returns, and a subsequent reversal. On the contrary, we do not find a reversal for abnormal bond returns associated with informative rating actions.
Maria Efthymiou +2 more
wiley +1 more source
Dynamic capital allocation in general insurance
Journal of Risk and Insurance, EarlyView.Abstract This paper provides a model for allocating capital to different insurance lines with varying development periods for a value‐maximizing insurance company. In our model, the company makes capitalization and exposure decisions considering its capital level and its relevant loss history.
Qiheng Guo +2 more
wiley +1 more source
On a dividend problem with random funding. [PDF]
Eur Actuar J, 2019 Strini JA, Thonhauser S.
europepmc +1 more source
Dividend Taxation and Intertemporal Tax Arbitrage [PDF]
We analyze the effects of changes in dividend tax policy using a life-cycle model of the firm, in which new firms first access equity markets, then grow internally, and finally pay dividends when they have reached steady state.
Anton Korinek, Joseph E. Stiglitz
core
The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification
The Manchester School, EarlyView.ABSTRACT We investigate the impact of changes in U.S. monetary policy on portfolio diversification. We build four different types of portfolios, including a U.S.‐only, a stock‐bond (60/40) portfolio, an international diversified stock portfolio, and an asset diversified portfolio.
Rong Huang +2 more
wiley +1 more source
Stock return predictability and stationarity of dividend yield [PDF]
This paper first investigates the stationarity of dividend yield and then analyzes the predictive ability of the adjusted dividend yield which removes structural changes and high persistence characteristics. Empirical results have found that the dividend
Kuang-Liang Chang
core