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Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?

Mueller, Michael - 2014

Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms' capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena. In this paper, I show that trade-off theory-based empirical proxies that...

Persistent link: https://www.econbiz.de/10011396667

Credit Market Frictions and Sudden Stops

Imura, Yuko - 2014

experience of Mexico, where the relatively fast recovery from the 1994-95 crisis was driven mainly by the traded sector, which …

Persistent link: https://www.econbiz.de/10011396674

High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

Persistent link: https://www.econbiz.de/10011396676

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Gungor, Sermin; Luger, Richard - 2014

We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...

Persistent link: https://www.econbiz.de/10011396677

Securitization under Asymmetric Information over the Business Cycle

Kuncl, Martin - 2015

This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly...

Persistent link: https://www.econbiz.de/10011396684

International Transmission of Credit Shocks in an Equilibrium Model with Production Heterogeneity

Imura, Yuko; Thomas, Julia K. - 2015

beyond as a global phenomenon. Some have argued that this global recession has a common source: the U.S. financial crisis …

Persistent link: https://www.econbiz.de/10011396687

Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

Ehrmann, Michael; Fratzscher, Marcel - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It … identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a … substantial fragmentation from 2010 onward. Flight to quality was present at the height of the crisis, but has largely dissipated …

Persistent link: https://www.econbiz.de/10011396691

Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10011396695

Household Stockholding Behavior During the Great Financial Crisis

Zhou, Jie - 2015

the crisis period. …

Persistent link: https://www.econbiz.de/10011396700

Bank competition and international financial integration: Evidence using a new index

Pasricha, Gurnain Kaur - 2010

. This finding suggests that financial sector consolidation of the type recently witnessed in the crisis environment may have …

Persistent link: https://www.econbiz.de/10010279864

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