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A Model of Anomaly Discovery
Liu, Qi; Lu, Lei; Sun, Bo; Yan, Hongjun - Federal Reserve Board (Board of Governors of the … - 2015
distinguish between risk- and mispricing-based anomalies. …
Persistent link: https://www.econbiz.de/10011268463
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …
Persistent link: https://www.econbiz.de/10010787051
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The Replacement of Safe Assets: Evidence from the U.S. Bond Portfolio
Bertaut, Carol C.; Tabova, Alexandra M.; Wong, Vivian - Federal Reserve Board (Board of Governors of the … - 2014
The expansion in financial sector "safe" assets, largely in the form of structured products from the U.S. and the Caribbean, in the lead-up to the global financial crisis has by now been fairly well documented. Using a unique dataset derived from security-level data on U.S. portfolio holdings of...
Persistent link: https://www.econbiz.de/10011075153
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Returns to Active Management: The Case of Hedge Funds
Kazemi, Maziar; Islamaj, Ergys - Federal Reserve Board (Board of Governors of the … - 2014
question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …
Persistent link: https://www.econbiz.de/10010892321
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The Real Effects of Credit Line Drawdowns
Berrospide, Jose M.; Meisenzahl, Ralf R. - Federal Reserve Board (Board of Governors of the … - 2015
Do firms use credit line drawdowns to finance investment? Using a unique dataset of 467 COMPUSTAT firms with credit lines, we study the purpose of drawdowns during the 2007-2009 financial crisis. Our data show that credit line drawdowns had already increased in 2007, precisely when disruptions...
Persistent link: https://www.econbiz.de/10011273700
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What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach
Nozawa, Yoshio - Federal Reserve Board (Board of Governors of the … - 2014
I decompose the cross-sectional variation of the credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses with a model-free method. Using a log-linearized pricing identity and a vector autoregression applied to micro-level data from 1973 to...
Persistent link: https://www.econbiz.de/10010892308
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Securitization with recourse: an instrument that offers uninsured bank depositors sequential claims
Benveniste, Lawrence M.; Berger, Allen N. - Federal Reserve Board (Board of Governors of the … - 1987
Persistent link: https://www.econbiz.de/10005361181
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How consistent are credit ratings? a geographic and sectoral analysis of default risk
Ammer, John; Packer, Frank - Federal Reserve Board (Board of Governors of the … - 2000
We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S....
Persistent link: https://www.econbiz.de/10005368242
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On risk, rational expectations, and efficient asset markets
Stevens, Guy V.G.; Akbarian, Dara - Federal Reserve Board (Board of Governors of the … - 1994
portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …
Persistent link: https://www.econbiz.de/10005368265
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Pitfalls in tests for changes in correlations
Boyer, Brian H.; Gibson, Michael S.; Loretan, Mico - Federal Reserve Board (Board of Governors of the … - 1997
"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …
Persistent link: https://www.econbiz.de/10005368286