Showing 1 - 10 of 65
The purpose of this paper is to provide an explanation for relative pricing of futures contracts with respect to underlying stocks using a model incorporating short sales constraints and informational lags between the two markets. In this model stocks and futures are perfect substitutes, except...
Persistent link: https://www.econbiz.de/10005649005
We study the basic economic problem of choice between long-term and short-term commitments under a general characterization of uncertainty (aggregate uncertainty). When contingencies are contractible, a perfect market of Arrow-Debreau contingent claims implements the social optimum. When...
Persistent link: https://www.econbiz.de/10005207147
This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross-autocorrelations...
Persistent link: https://www.econbiz.de/10005423700
This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in...
Persistent link: https://www.econbiz.de/10011207864
This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996–2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided...
Persistent link: https://www.econbiz.de/10010945107
Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10010691919
This article empirically studies the linkages between financial variable downturns and economic recessions. We present evidence that real asset prices tend to lead real cycles, while loan-to-GDP and loan-to-deposit ratios lag them. Using a probit analysis, we document that downturns in real...
Persistent link: https://www.econbiz.de/10010722795
fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility …, and risk-free rate) are significantly associated with bank CDS spreads. Second, some CAMELS indicators, including asset … quality, cost efficiency, and sensitivity to market risk, contain incremental information for bank CDS prices. Moreover …
Persistent link: https://www.econbiz.de/10011114570
Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset … determine its overall interest rate risk. Empirical evidence indicates that low-slack banks indeed have significantly more … interest rate risk than high-slack banks. The model also makes predictions regarding the effect of deposit and lending rate …
Persistent link: https://www.econbiz.de/10005648888
useful for estimating recovery rates required by many popular models of credit risk and for determining collateral haircuts …
Persistent link: https://www.econbiz.de/10005207168