We extend the work of Bernanke and Kuttner (2005) by examining the impact of monetary shocks and policy tools on aggregate stock and bond returns as well as the stock returns of financial institutions during the recent period of Quantitative Easing (QE) in the U.S. Specially, we test for the...

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...

The purpose of the current paper is to examine the level (degree) of competition, risk-taking behavior and efficiency with respect to the US commercial banks (large, medium, and small). The Lerner Index is used to measure competition in the US banking sector. In the next step, the Gruben et al...

This paper finds that dividend signaling hypothesis is able to explain the phenomenon of assets concentration in short and medium investments in Islamic Interest-Free banking (IIFBs). In this paper a dividend signaling model framework has been introduced, where in the process of maintaining a...

This paper finds that the dividend signaling hypothesis is able to explain the phenomenon of asset concentration in short- and medium-term investments in the Islamic interest-free banking system. To maintain a stable dividend payout, managers of Islamic banks will prefer to invest in instruments...