We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to predict the future performance of stocks under extreme...

Retail clients at a major German discount broker trade in tandem - they tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of...

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and non-life insurers over the period 1999-2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset...

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

This paper investigates the determinants of commercial banks' own internal capital targets and potential sensitivity of these levels to the business cycle . World-wide results make clear that banks' own risk is only slightly dependent on the business cycle. Banks tend to hold substantial capital...

We use focused interviews with bank managers to analyse how multinational banks use internal capital markets to control their subsidiaries. It is found that foreign bank affiliates are strongly influenced by the capital allocation and credit steering mechanisms of the parent bank. Parent banks...

The empirical application of the financing constraints paradigm supports the joint hypothesis that con-strained firms can be identified and display a stronger sensitivity of investment to cash flow. This paradigm is increasingly criticized, because some proxy variables used to identify...

In the first part of this article we present a brief description of Dutch retail payment systems in terms of market structure and performance, usage of payment instruments, and corresponding tariff structures. Although it is con-cluded that the Dutch retail payment market as a whole showed...

When firms find that external finance is costly or rationed, they face financing constraints in their investment decisions. The financing constraints paradigm applies this idea empirically and supports the joint hypothesis that constrained firms can be identified and should display a stronger...