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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation …
Persistent link: https://www.econbiz.de/10011674278
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …
Persistent link: https://www.econbiz.de/10011897589
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An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …
Persistent link: https://www.econbiz.de/10003937808
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Using bankruptcy to reduce foreclosures : does strip-down of mortgages affect the supply of mortgage credit?
Li, Wenli; Ishani, Tewari; White, Michelle J. - 2014 - Current version: February 2014
We assess the credit market impact of allowing mortgage "strip-down" as a foreclosure-prevention measure, where strip-down reduces the principal of underwater residential mortgages to the current market value of the property for homeowners in Chapter 13 bankruptcy. Our identification is provided...
Persistent link: https://www.econbiz.de/10010337629
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Rumors and runs in opaque markets : evidence from the panic of 1907
Fohlin, Caroline; Gehrig, Thomas P.; Haas, Marlene - 2016
impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …
Persistent link: https://www.econbiz.de/10011522131
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G. (contributor);  … - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10003120648
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Asset price shocks, real expenditures, and financial structure : a multi-country analysis
Chirinko, Robert S. (contributor); Haan, Leo de (contributor) - 2008
This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...
Persistent link: https://www.econbiz.de/10003730274
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Escaping from a combination of liquidity trap and credit crunch
Heinemann, Frank (contributor) - 2008
order to escape the current combination of liquidity trap and credit crunch. It shortly discusses reasons for this measure …. -- Financial crisis ; monetary policy ; liquidity trap ; credit crunch ; asset markets …
Persistent link: https://www.econbiz.de/10003790626
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003898817
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10008732289