Narrow search
Showing 1 - 10 of 157
Cover Image
Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets
Igan, Deniz - 2015
We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark - a common solution to the agency problem in delegated portfolio management. In the presence of such relative-performance-based objectives, investors have...
Persistent link: https://www.econbiz.de/10013013820
Cover Image
Crises and Liquidity : Evidence and Interpretation
Detragiache, Enrica - 2021
In a large panel of countries, we find that less liquid countries are more likely to default on their external debt. Specifically, for given total external debt, the probability of a crisis increases with the proportion of short-term debt and debt service coming due and decreases with foreign...
Persistent link: https://www.econbiz.de/10013212028
Cover Image
Sovereign Eurobond Liquidity and Yields
Hardy, Daniel - 2022
Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset … pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is … shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as …
Persistent link: https://www.econbiz.de/10013406096
Cover Image
Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment
Chami, Ralph - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...
Persistent link: https://www.econbiz.de/10012836549
Cover Image
Corporate Liquidity and Solvency in Europe During COVID-19 : The Role of Policies
Ebeke, Christian; Jovanovic, Nemanja; Valderrama, Laura; … - 2021
The spread of COVID-19, containment measures, and general uncertainty led to a sharp reduction in activity in the first half of 2020. Europe was hit particularly hard—the economic contraction in 2020 is estimated to have been among the largest in the world—with potentially severe...
Persistent link: https://www.econbiz.de/10013226439
Cover Image
The Spillover Effects of a Downturn in China's Real Estate Investment
Ahuja, Ashvin - 2012
Real estate investment accounts for a quarter of total fixed asset investment (FAI) in China. The real estate sector's extensive industrial and financial linkages make it a special type of economic activity, especially where the credit creation process relies primarily on collateral, like in...
Persistent link: https://www.econbiz.de/10013097279
Cover Image
Sectoral Booms and Misallocation of Managerial Talent : Evidence from the Chinese Real Estate Boom
Shi, Yu - 2018
This paper identifies a new mechanism leading to inefficiency in capital reallocation at theextensive margin when an economy experiences a sectoral boom. I argue that imperfectionsin the financial market and capital barriers to entry in the booming sector create amisallocation of managerial...
Persistent link: https://www.econbiz.de/10012907950
Cover Image
Household Leverage and the Recession
Jones, Callum - 2018
consumption declined more in states where household debt declined more. We study a model where liquidity constraints amplify the …
Persistent link: https://www.econbiz.de/10012910353
Cover Image
An Estimated DSGE Model to Analyze Housing Market Policies in Hong Kong Sar
Patnaik, Ila - 2018
During the last decade, Hong Kong SAR has experienced a large increase in house prices and credit, prompting the authorities to respond with several rounds of tightening macroprudential rules and increasing stamp duty taxes. This paper provides a Dynamic Stochastic General Equilibrium (DSGE)...
Persistent link: https://www.econbiz.de/10012938480
Cover Image
Assessing China's Residential Real Estate Market
Ding, Ding - 2017
China's real estate market rebounded sharply after a temporary slowdown in 2014-2015.This paper uses city-level data to estimate the range of house price overvaluation acrosscity-tiers and assesses the main risks of a sharp housing market slowdown. If house pricesrise further beyond...
Persistent link: https://www.econbiz.de/10012942329