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Implicit Guarantees and Risk Taking: Evidence from Money Market Funds
Kacperczyk, Marcin; Schnabl, Philipp - National Bureau of Economic Research (NBER) - 2011
bankruptcy and to curb the firm's risk taking outside bankruptcy. We analyze the role of such implicit guarantees in the context … expansion in risk-taking opportunities of money market funds during the period of August 2007 to August 2008. We find that a … financial institutions with higher equity take on less risk than those sponsored by financial institutions with lower equity …
Persistent link: https://www.econbiz.de/10009251486
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Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?
Bartram, Söhnke M.; Brown, Gregory; Stulz, René M. - National Bureau of Economic Research (NBER) - 2009
idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk …, but less so than firm characteristics. Idiosyncratic risk falls as government stability and respect for the rule of law … improve. Idiosyncratic risk is positively related to stock market development but negatively related to bond market …
Persistent link: https://www.econbiz.de/10005000621
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Investment-Based Underperformance Following Seasoned Equity Offerings
Zhang, Lu; Lyandres, Evgeny; Sun, Le - National Bureau of Economic Research (NBER) - 2005
Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces its magnitude by 37-46%. The reason is that issuers invest more than nonissuers matched on size and...
Persistent link: https://www.econbiz.de/10005580565
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The CAPM Strikes Back? An Investment Model with Disasters
Zhang, Lu; Bai, Hang; Hou, Kewei; Kung, Howard - National Bureau of Economic Research (NBER) - 2015
Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset …
Persistent link: https://www.econbiz.de/10011201883
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Beauty Contests and Irrational Exuberance: A Neoclassical Approach
Angeletos, George-Marios; Pavan, Alessandro; Lorenzoni, … - National Bureau of Economic Research (NBER) - 2010
The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices and real economic activity. During these episodes of high uncertainty, financial markets look at the real sector for signals about the profitability of the new investment...
Persistent link: https://www.econbiz.de/10008610978
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Covariances versus Characteristics in General Equilibrium
Zhang, Lu; Lin, Xiaoji - National Bureau of Economic Research (NBER) - 2011
with investor "rationality," the relation must be "explained" by a risk factor model. The investment approach changes the … big picture of asset pricing. Factors formed on characteristics are not necessarily risk factors: Characteristics …
Persistent link: https://www.econbiz.de/10009220642
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A Theory of Asset Pricing Based on Heterogeneous Information
Hellwig, Christian; Albagli, Elias; Tsyvinski, Aleh - National Bureau of Economic Research (NBER) - 2011
We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet...
Persistent link: https://www.econbiz.de/10009353492
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Flights to Safety
Bekaert, Geert; Baele, Lieven; Inghelbrecht, Koen; Wei, Min - National Bureau of Economic Research (NBER) - 2013
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10010696634
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A Comparison of New Factor Models
Zhang, Lu; Hou, Kewei; Xue, Chen - National Bureau of Economic Research (NBER) - 2014
This paper compares the Hou, Xue, and Zhang (2014) q-factor model and the Fama and French (2014a) five-factor model on both conceptual and empirical grounds. It raises four concerns with the motivation of the five-factor model: The internal rate of return often correlates negatively with the...
Persistent link: https://www.econbiz.de/10011071738
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Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
Constantinides, George M.; Ghosh, Anisha - National Bureau of Economic Research (NBER) - 2014
infer beliefs from prices. The model fits well the moments of the market return, risk free rate, and price-dividend ratio …
Persistent link: https://www.econbiz.de/10011071743