Similar Search Results

Mandatory Disclosure and Financial Contagion

Alvarez, Fernando; Barlevy, Gadi - Federal Reserve Bank of Chicago - 2014

This paper analyzes the welfare implications of mandatory disclosure of losses at financial institutions when it is common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning that banks not hit by shocks may still suffer losses...

Persistent link: https://www.econbiz.de/10010765415

Momentum Trading, Return Chasing and Predictable Crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - Federal Reserve Bank of Chicago - 2014

remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return and (2 …We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has …

Persistent link: https://www.econbiz.de/10011119888

Human Capital and Long-Run Labor Income Risk

Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2013

This review article examines the role of labor income risk in determining the value of a person’s human capital. We … to assess the value and risk of pension promises. Finally, we discuss how to enrich the environment with heterogeneity in …

Persistent link: https://www.econbiz.de/10010735414

A Portfolio-Balance Approach to the Nominal Term Structure

King, Thomas B. - Federal Reserve Bank of Chicago - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a “portfolio balance” mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a...

Persistent link: https://www.econbiz.de/10011027196