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Gambling for Dollars: Strategic Hedge Fund Manager Investment

Bernhardt, Dan; Nosal, Ed - Federal Reserve Bank of Chicago - 2013

Hedge fund managers differ in ability and investors want to distinguish good ones from bad. Via the design of their investment strategies, better fund managers want to ease this inference problem while worse fund managers want to complicate it. We impose only the minimal restrictions on the...

Persistent link: https://www.econbiz.de/10010735676

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

D'Amico, Stefania; Fan, Roger; Kitzul, Yuriy - Federal Reserve Bank of Chicago - 2013

In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...

Persistent link: https://www.econbiz.de/10010735678

Momentum Trading, Return Chasing and Predictable Crashes

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

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 earned abnormally high risk-adjusted returns —a...

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

On the Structural Interpretation of the Smets-Wouters “Risk Premium” Shock

Fisher, Jonas D. M. - Federal Reserve Bank of Chicago - 2014

This article shows that the "risk premium" shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed.

Persistent link: https://www.econbiz.de/10011093785

Too-Big-To-Fail: A Problem Too Big to Ignore

Evans, Charles L. - Federal Reserve Bank of Chicago - 2009

Remarks by Charles L. Evans, President and Chief Executive Officer, Federal Reserve Bank of Chicago European Economics and Financial Center London, England

Persistent link: https://www.econbiz.de/10010769207

The effect of personal bankruptcy law on small firms' access to credit

Berkowitz, Jeremy; White, Michelle J. - Federal Reserve Bank of Chicago - 1999

Persistent link: https://www.econbiz.de/10010723826

A real options approach to bankruptcy costs: evidence from failed commercial banks during the 1990s

Mason, Joseph R. - Federal Reserve Bank of Chicago - 2002

Persistent link: https://www.econbiz.de/10010723982

Measuring the individual-level effects of access to credit: evidence from payday loans

Skiba, Paige Marta; Tobacman, Jeremy - Federal Reserve Bank of Chicago - 2007

Persistent link: https://www.econbiz.de/10010724134

The dynamics of debtor-in-possession financing: bankruptcy resolution and the role of prior lenders

Dahiya, Sandeep; John, Kose; Puri, Manju; Ramirez, … - Federal Reserve Bank of Chicago - 2000

Persistent link: https://www.econbiz.de/10010724271

Negative effects of personal bankruptcy filing for homeowners: reduced credit access and lost option value

Long, Cheryl - Federal Reserve Bank of Chicago - 2005

Focusing on home owners, the paper discusses the reduction in a household’s credit access due to bankruptcy filing and … its two effects that may deter a household from filing for bankruptcy. Empirical evidence presented in the paper suggests … that a household with a bankruptcy record is about 30% more likely to lose home ownership and consequently the mortgage …

Persistent link: https://www.econbiz.de/10010724493