Results 131 to 140 of about 6,534 (244)
The Effects of Regulatory Office Closures on Bank Behavior
Journal of Money, Credit and Banking, EarlyView.Abstract We investigate if the decentralized structure of regulatory office networks influences supervisory outcomes and bank behavior. Following the closure of an office, banks previously supervised by that office increase their lending and risk‐taking.
IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE
wiley +1 more source
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
The Journal of Finance, EarlyView.ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA +2 more
wiley +1 more source
An Estimation Error Corrected Sharpe Ratio Using Bootstrap Resampling
, 2020 The Sharpe ratio is a common financial performance measure that represents the optimal risk versus return of an investment portfolio, also defined as the slope of the capital market line within the mean-variance Markowitz efficient frontier.
Ashok Sahai, Grant H Skrepnek
core
Cash Heterogeneity and the Payout Channel of Monetary Policy
The Journal of Finance, EarlyView.ABSTRACT This paper provides novel empirical evidence that cash‐rich firms have higher equity payouts and higher stock prices in response to expansionary monetary policy surprises. Stock prices rise despite weak cash‐flow, investment, and credit responses to monetary policy.
ALTAN PAZARBAŞI
wiley +1 more source
The Journal of Finance, EarlyView.ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley +1 more source
Journal of Personality, EarlyView.ABSTRACT Introduction Alexithymia refers to difficulties in experiencing and expressing emotions, differentiating them from bodily sensations, restricted imagination, and externally oriented thinking. Mood and affective symptoms are often confounded with alexithymia due to the typical assessment through self‐report.
Jiyeon Seo +4 more
wiley +1 more source
Investing in times of inflation fears: Diversification properties of investments in liquid real assets [PDF]
The financial crisis and the rescue measures taken by governments and central banks increased investors' interest in liquidity and in real assets supposed to offer a hedge against inflation.
Tegtmeier, Lars +4 more
core
Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +3 more
wiley +1 more source
PENENTUAN PORTOFOLIO SAHAM DI INDONESIA DENGAN MEMAKSIMUMKAN SHARPE RATIO
Investasi saham telah menjadi instrumen keuangan yang banyak dimanfaatkan untuk meraih keuntungan dalam jangka panjang. Namun, volatilitas harga saham yang fluktuatif dan volatil menuntut pentingnya manajemen risiko dalam penyusunan portofolio ...
Retno Budiarti +3 more
core +1 more source