How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging …

recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large …

using financial markets and shareholders cannot perfectly monitor the manager's portfolio in order to keep him from hedging … monitoring is costly governance is imperfect. If managerial hedging is detected, shareholders can seize the payoffs of the …) conditional on the firm's performance, the manager's compensation is lower when his portfolio is monitored, even if no hedging is …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …

green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …