Results 11 to 20 of about 87,674 (48)
Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets
The Review of financial studiesWe propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—generates several new predictions: (i) skewness has a
Joost Driessen +2 more
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NMIMS Management ReviewWe examine the roles of Gold and Bitcoin as a hedge, a safe haven, and a diversifier against the coronavirus disease 2019 (COVID-19) pandemic and the Ukraine War.
Anoop S Kumar +2 more
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The ECB's Asset Purchase Programme: An Early Assessment
Social Science Research Network, 2016 This paper analyses the effects of the European Central Bank's expanded asset purchase programme (APP) on yields and on the macroeconomy, and sheds some light on its transmission channels.
Philippe Andrade +4 more
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Price Rigidities and Credit Risk
Social Science Research NetworkWe develop a capital structure model in which firms feature differential flexibility in adjusting output prices. Inflexible-price firms have lower profits and higher cash flow volatility, leading in equilibrium to lower financial leverage, shorter debt ...
Patrick Augustin +3 more
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Short Selling Around News in International Stock Markets
Review of Asset Pricing StudiesThis paper examines global sources of short sellers’ informational advantage by analyzing their trading around public news releases in 38 countries.
Arseny Gorbenko
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Long-term Investors, Demand Shifts, and Yields
Social Science Research NetworkI exploit a Dutch reform in the regulatory discount curve that makes the liabilities of pension funds and insurance companies (P&Is) more sensitive to changes in 20-year interest rates but less so to longer maturity rates.
Kristy A.E. Jansen
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Monetary Policy, Segmentation, and the Term Structure
Social Science Research NetworkWe develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. As in the preferred habitat tradition, habitat investors and arbitrageurs trade bonds of various maturities.
Rohan Kekre, M. Lenel, F. Mainardi
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Social Science Research NetworkThe slope carry consists of taking a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry is a long (short) position in countries with high (low) short-term rates.
S. Andrews +3 more
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Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
, 2002 Y. Amihud
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Optimal Inference for Spot Regressions
Social Science Research NetworkBetas from return regressions are commonly used to measure systematic financial market risks. “Good” beta measurements are essential for a range of empirical inquiries in finance and macroeconomics.
Tim Bollerslev, Jia Li, Yuexuan Ren
semanticscholar +1 more source