Canonical term-structure models with observable factors and the dynamics of bond risk premiums [PDF]
We study the dynamics of risk premiums on the German bond market, employing no-arbitrage term-structure models with both observable and unobservable state variables, recently popularized by Ang and Piazzesi (2003).
Marcello Pericoli, Marco Taboga
core
Analysis of Improved Bids in the Scope of a Risk Arbitrage Strategy
, 2011 Stephane Dieudonne +2 more
openalex +1 more source
A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
Autoregressive multifactor APT model for U.S. Equity Markets [PDF]
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
core +1 more source
Financial Statement Information and Equity Value: The Role of Real Options Characteristics
Financial Management, EarlyView.ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen +2 more
wiley +1 more source
New trading strategy in investment and a new anomaly: A study of the hedge funds from emerging and developed markets. [PDF]
Heliyon, 2023 Wong WK +4 more
europepmc +1 more source
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, EarlyView.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Financial stability, new macro prudential arrangements and shadow banking: regulatory arbitrage and stringent Basel III regulations [PDF]
Despite Basel III’s efforts to address capital and liquidity requirements, will the risks linked to regulatory arbitrage increase as a result of Basel III’s more stringent capital and liquidity rules? As well as Basel III reforms which are geared towards
Ojo, Marianne
core +1 more source
A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
, 2020 Martin Herdegen, Nazem Khan
openalex +1 more source
Geopolitical Risk and Domestic Bank Deposits
Financial Management, EarlyView.ABSTRACT We investigate the relationship between global geopolitical risk and bank deposit flows across a wide panel of European countries. Motivated by the pivotal role of deposit stability for financial intermediation and systemic resilience, we explore whether geopolitical shocks alter depositors’ portfolio choices.
Dimitris Anastasiou +3 more
wiley +1 more source