Similar Search Results

Buyout Activity : The Impact of Aggregate Discount Rates

Haddad, Valentin - 2014

We argue that buyout waves form in response to fluctuations in aggregate discount rates. In our model, discount rates alter the present value of cash flow improvements and the illiquidity premium demanded by buyout investors. We confirm our predictions empirically. Overall deal activity varies...

Persistent link: https://www.econbiz.de/10013064292

Financial intermediation and fire sales with liquidity risk pricing

Cheng, Yuteng; Robatto, Roberto - 2024 - Last updated: May 27, 2024

We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. The model predictions align with some stylized facts about the large sales of corporate bonds and Treasury securities during the COVID-19 economic...

Persistent link: https://www.econbiz.de/10014562915

On portfolio separation theorems with heterogeneous beliefs and attitudes towards risk

Chabi-Yo, Fousseni (contributor); Ghysels, Eric (contributor) - 2008

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

Persistent link: https://www.econbiz.de/10003711697

Implications of asymmetry risk for portfolio analysis and asset pricing

Chabi-Yo, Fousseni (contributor); … - 2007

Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10003560573

Idiosyncratic coskewness and equity return anomalies

Chabi-Yo, Fousseni; Yang, Jun - 2010

assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the … market return. We find that there is a negative (positive) relation between idiosyncratic coskewness and equity returns when … idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …

Persistent link: https://www.econbiz.de/10003981312

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Money Market Funds Intermediation, Bank Instability, and Contagion

Cipriani, Marco - 2013

In recent years, U.S. banks have increasingly relied on deposits from financial intermediaries, especially money market funds (MMFs), which collect funds from large institutional investors and lend them to banks. In this paper, we show that intermediation through MMFs allows investors to limit...

Persistent link: https://www.econbiz.de/10013087142

Fire-sale Spillovers and Systemic Risk

Duarte, Fernando - 2019

We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific...

Persistent link: https://www.econbiz.de/10012905172

Bank-Intermediated Arbitrage

Boyarchenko, Nina - 2020

We argue that post-crisis banking regulations pass through from regulated institutions to unregulated arbitrageurs. We document that, once post-crisis regulations bind post 2014, hedge funds use a larger number of prime brokers and diversify away from GSIB-affiliated prime brokers, and that the...

Persistent link: https://www.econbiz.de/10012852025

Gates, Fees, and Preemptive Runs

Cipriani, Marco - 2014

We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis — a form of suspension of convertibility — can lead to preemptive runs. In our model, a fraction of investors...

Persistent link: https://www.econbiz.de/10013055648