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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

The crime of 1873 : back to the scene

Velde, François R. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001761385

The pitfalls in inferring risk from financial market data

Bliss, Robert R. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658371

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 … earned abnormally high risk-adjusted returns —a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return and (2 …

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