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Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?
Lettau, Martin (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590071
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Time-varying consumption correlation and the dynamics of the equity premium : evidence from the G-7 countries
Sarkar, Asani (contributor); Zhang, Lingjia (contributor) - 2004 - [Elektronische Ressource]
the equity premium, Sharpe ratio, and risk aversion are also generally countercyclical. These findings survive several …
Persistent link: https://www.econbiz.de/10002101478
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this …
Persistent link: https://www.econbiz.de/10001936329
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Modeling uncertainty : predictive accuracy as a proxy for predictive confidence
Rich, Robert W. (contributor); Tracy, Joseph S. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001751995
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Evaluating the riskiness of initial public offerings: 1980 - 2000
Peristiani, Stavros C. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752009
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The effect of state pension cut legislation on bank values
Mehran, Hamid; Cohen, Lee; Cornette, Marcia Millon; … - Federal Reserve Bank of New York - 2014
This study provides an empirical analysis of the impact of Wisconsin and Ohio pension cut legislation on values of banks operating in Wisconsin and Ohio, banks operating in other states in which pension cut legislation was being considered as Wisconsin and Ohio went through its legislative...
Persistent link: https://www.econbiz.de/10010823097
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Are bank holding companies a source of strength to their banking subsidiaries?
Ashcraft, Adam B. (contributor) - 2004 - [Elektronische Ressource]
I present evidence that the cross-guarantee authority granted to the FDIC by the Financial Institutions Reform, Recovery, and Enforcement Act of 1989 has unexpectedly strengthened the Federal Reserve's source-of-strength doctrine. In particular, I find that a bank affiliated with a multi-bank...
Persistent link: https://www.econbiz.de/10002128532
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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