Similar Search Results

Do stock price bubbles influence corporate investment?

Gilchrist, Simon (contributor); … - 2004 - [Elektronische Ressource]

Building on recent developments in behavioral asset pricing, we develop a model in which an increase in the dispersion of investor beliefs under short-selling constraints predicts a "bubble," or a rise in a stock's price above its fundamental value. Our model predicts that managers respond to...

Persistent link: https://www.econbiz.de/10001936312

Beyond pillar 3 in international banking regulation : disclosure and market discipline of financial firms ; proceedings of a conference cosponsored by the Federal Reserve Bank of N...

2004

Persistent link: https://www.econbiz.de/10002544727

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...

Persistent link: https://www.econbiz.de/10002101431

The impact of CEO turnover on equity volatility

Clayton, Matthew J. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752006

How do stock repurchases affect bank holding company performance?

Hirtle, Beverly J. (contributor) - 2001 - [Elektronische Ressource], draft March 2001

Using data from bank holding company regulatory reports, we examine the relationshipbetween stock repurchases and financial performance for a large sample of bank holding companies over the years 1987 to 1998. The primary result is that higher levels of repurchases in one year are associated...

Persistent link: https://www.econbiz.de/10001589572

Estimating probabilities of default

Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]

"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...

Persistent link: https://www.econbiz.de/10002521762

Are larger treasury issues more liquid? : Evidence from bill reopenings

Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001656398

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

Persistent link: https://www.econbiz.de/10001629622

One reason countries pay their debts : renegotiation and international trade

Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001629624

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

Persistent link: https://www.econbiz.de/10001752003