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Inherent efficiency, security markets, and the pricing of investment strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10011304380
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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … decomposition, distinguishing cash flow and discount rate betas in up and down markets. Using CRSP data over 1963--2008, we find … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …
Persistent link: https://www.econbiz.de/10011382429
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How banks respond to distress : shifting risks in Europe's banking union
Mink, Mark; Ramcharan, Rodney; Lelyveld, Iman van - 2020
This paper uses granular bond portfolio data to study how banking systems across the European Union (EU) adjust their asset holdings in response to regulatory solvency shocks. We also study the impact of these shocks at financial intermediaries on the prices of bonds in their portfolio. Despite...
Persistent link: https://www.econbiz.de/10012161046
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A real option perspective on valuing gas fields
Zhao, Lin; Wijnbergen, Sweder van - 2013
Persistent link: https://www.econbiz.de/10010191285
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Pensions, debt and inflation risk in a monetary union
Adema, Yvonne - 2010
This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...
Persistent link: https://www.econbiz.de/10011382085
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...
Persistent link: https://www.econbiz.de/10010224775
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Need for speed? : exchange latency and liquidity
Menkveld, Albert J.; Zoican, Marius A. - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
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Capital structure arbitrage revisited
Wojtowicz, Marcin - 2014
We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....
Persistent link: https://www.econbiz.de/10010415520