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Financial Development in 205 Economies, 1960 to 2010

Demirguc-Kunt, Asli; Levine, Ross; Čihák, Martin; … - National Bureau of Economic Research (NBER) - 2013

This paper describes our construction of the Global Financial Development Database and uses the data to compare financial systems around the world. The database provides information on financial systems in 205 economies over the period from 1960 to 2010 and includes measures of (1) size of...

Persistent link: https://www.econbiz.de/10010969344

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - National Bureau of Economic Research (NBER) - 2014

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

Persistent link: https://www.econbiz.de/10010969437

Uncertainty Outside and Inside Economic Models

Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2014

We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)

Persistent link: https://www.econbiz.de/10010890111

Learning Millennial-Style

Carlin, Bruce I.; Jiang, Li; Spiller, Stephen A. - National Bureau of Economic Research (NBER) - 2014

The growing use of on-line educational content and related video services has changed the way people access education, share knowledge, and possibly make life decisions. In this paper, we characterize how video content affects individual decision-making and willingness to share in the context of...

Persistent link: https://www.econbiz.de/10010950669

Time-Varying Fund Manager Skill

Van Nieuwerburgh, Stijn; Veldkamp, Laura; Kacperczyk, Marcin - National Bureau of Economic Research (NBER) - 2011

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of picking skills and little evidence of timing...

Persistent link: https://www.econbiz.de/10009372435

The Cross-Section and Time-Series of Stock and Bond Returns

Lustig, Hanno; Van Nieuwerburgh, Stijn; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 2010

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets …' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus …

Persistent link: https://www.econbiz.de/10008635918

Cointegration and Consumption Risks in Asset Returns

Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - National Bureau of Economic Research (NBER) - 2007

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

Persistent link: https://www.econbiz.de/10005710762

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

Bansal, Ravi; Tauchen, George; Gallant, A. Ronald - National Bureau of Economic Research (NBER) - 2007

formation, which generates time-varying risk-aversion and consequently time-variation in risk-premia, is the key channel. These … array of diagnostics suggests that the long run risk model is preferred. …

Persistent link: https://www.econbiz.de/10005710820

CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence

Jagannathan, Ravi; Da, Zhi; Guo, Re-Jin - National Bureau of Economic Research (NBER) - 2009

We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not invalidate its use for estimating the cost of capital for projects in making capital budgeting decisions. Since stocks are backed not only by projects in place, but also the...

Persistent link: https://www.econbiz.de/10005718639

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Jagannathan, Ravi; Da, Zhi; Gao, Pengjie - National Bureau of Economic Research (NBER) - 2008

We show that a mutual fund's "stock selection skill" computed using the Daniel, Grinblatt, Titman and Wermers (1997) procedure can be decomposed into additional components that include impatient "informed trading" and "liquidity provision," thereby helping us understand how a fund creates value....

Persistent link: https://www.econbiz.de/10005720637