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Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
Avino, Davide; Lazar, Emese; Varotto, Simone - Volkswirtschaftliche Fakultät, … - 2012
Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of...
Persistent link: https://www.econbiz.de/10011112798
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Accruals and Aggregate Stock Market Returns
Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong - Volkswirtschaftliche Fakultät, … - 2007
Past research has shown that the level of operating accruals is a negative cross-sectional predictor of stock returns. This paper examines whether the accrual anomaly extends to the aggregate stock market. In contrast with cross-sectional findings, there is no indication that aggregate operating...
Persistent link: https://www.econbiz.de/10005836004
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Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns
Jiang, Danling - Volkswirtschaftliche Fakultät, … - 2008
This paper develops two competing hypotheses for the relation between the cross-sectional standard deviation of logarithmic firm fundamental-to-price ratios (``dispersion'') and expected aggregate returns. In models with fully rational beliefs, greater dispersion indicates greater risk and...
Persistent link: https://www.econbiz.de/10005836822
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US Industry-Level Returns and Oil Prices
Fan, Qinbin; Jahan-Parvar, Mohammad R. - Volkswirtschaftliche Fakultät, … - 2009
This paper takes a closer look at the puzzle uncovered by Driesprong et al. (2008) and finds empirical support for the "oil effect" in equity returns. Using forty nine US industry-level returns series and changes in oil spot and future prices, we address whether industry-level returns are...
Persistent link: https://www.econbiz.de/10004980390
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Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns
Hirshleifer, David; Jiang, Danling - Volkswirtschaftliche Fakultät, … - 2007
Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. This paper uses equity financing to identify comovement in returns and commonality in misvaluation. A zero-investment portfolio (UMO, Undervalued Minus Overvalued) built from...
Persistent link: https://www.econbiz.de/10005039959
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013
). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …
Persistent link: https://www.econbiz.de/10011201776
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Liquidity and Asset Prices
Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - Volkswirtschaftliche Fakultät, … - 2005
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …
Persistent link: https://www.econbiz.de/10008645110
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Liquidity-Induced Dynamics in Futures Markets
Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008
liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …
Persistent link: https://www.econbiz.de/10005786918
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Nominal Term Structure and Term Premia. Evidence from Chile
Ceballos, Luis; Naudon, Alberto; Romero, Damian - Volkswirtschaftliche Fakultät, … - 2014
The downward trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to...
Persistent link: https://www.econbiz.de/10011108020
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Was there a "Greenspan conundrum" in the Euro area ?
Lamé, Gildas - Volkswirtschaftliche Fakultät, … - 2013
This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use a Near-Cointegrated VAR-like approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...
Persistent link: https://www.econbiz.de/10011108613