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Government Guarantees and Bank Risk Taking Incentives
Fischer, Markus - 2014
This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...
Persistent link: https://www.econbiz.de/10013055384
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...
Persistent link: https://www.econbiz.de/10013055428
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Profit Shifting and Investment Effects : The Implications of Zero-Taxable Profits
Koethenbuerger, Marko - 2018
Recent empirical research documents a tendency of affiliates of multinational enterprises to bunch around zero reported profit. Setting up a model that allows for profitable and loss-making affiliates of multinationals, we show that profit shifting to a low-tax country as well as a loss-related,...
Persistent link: https://www.econbiz.de/10012921411
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Mergers and Partial Ownership
Foros, Øystein - 2010
In this paper we compare the profitability of a merger to the profitability of a partial ownership arrangement and find …
Persistent link: https://www.econbiz.de/10013148773
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Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus - 2013
the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios … risk. When economic activity is reaching its peak, expected profitability is relatively high and spreads are low; during a … recession expected profitability is relatively low and spreads are high, in line with the time series properties of term spreads …
Persistent link: https://www.econbiz.de/10013089685
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The Optimal Taxation of Risky Capital Income : The Rate of Return Allowance
Spiritus, Kevin - 2017
We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...
Persistent link: https://www.econbiz.de/10012962987
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Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
Pesaran, M. Hashem - 2009
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10013153425
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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10012955752
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Portfolio Sales and Signaling
Bougheas, Spiros - 2017
A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...
Persistent link: https://www.econbiz.de/10012960474
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Institutional Reform and Depositors' Portfolio Choice -- Evidence from Censored Quantile Regressions
Berlemann, Michael - 2014
In this paper we study the effect of institutional reform on the decision to hold risky assets at the extensive and the intensive margin. We therefore make use of the natural experiment of German Division and Reunification and, based on savings bank customer data from German savings banks, study...
Persistent link: https://www.econbiz.de/10013053072