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Golbeck, Steven; Linetsky, Vadim - In: Journal of Banking & Finance 37 (2013) 1, pp. 43-59

This paper develops a model for the unified valuation of all forms of real asset financing, such as bank loans, leases, securitization vehicles, and credit guarantees, secured by assets that generate a stochastic service flow to the operator, or a rental stream to the lessor, and depreciate over...

Persistent link: https://www.econbiz.de/10010591924

Dynamic interaction between markets for leasing and selling automobiles

Andrikopoulos, Athanasios; Markellos, Raphael N. - In: Journal of Banking & Finance 50 (2015) C, pp. 260-270

We develop a model of dynamic interactions between price variations in leasing and selling markets for automobiles. Our … selling (cash) market prices lead rapidly dissipating changes of leasing market prices in the opposite direction. We discuss … the practical implications of these results by augmenting a standard leasing valuation formula. The additional terms …

Persistent link: https://www.econbiz.de/10011118052

Loss given default for leasing: Parametric and nonparametric estimations

Hartmann-Wendels, Thomas; Miller, Patrick; Töws, Eugen - In: Journal of Banking & Finance 40 (2014) C, pp. 364-375

This study employs a dataset from three German leasing companies with 14,322 defaulted leasing contracts to analyze …

Persistent link: https://www.econbiz.de/10011065574

Long-term U.S. infrastructure returns and portfolio selection

Bianchi, Robert J.; Bornholt, Graham; Drew, Michael E.; … - In: Journal of Banking & Finance 42 (2014) C, pp. 314-325

Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic...

Persistent link: https://www.econbiz.de/10010753674

Return sign forecasts based on conditional risk: Evidence from the UK stock market index

Chevapatrakul, Thanaset - In: Journal of Banking & Finance 37 (2013) 7, pp. 2342-2353

Recent theoretical works have found a link between return sign forecastability and conditional volatility. This paper compares the predictive performance of the conditional country risk and the conditional residual risk in forecasting the direction of change in the return on the UK stock market...

Persistent link: https://www.econbiz.de/10010666258

Derivatives traders’ reaction to mispricing in the underlying equity

Hayunga, Darren K.; Holowczak, Richard D.; Lung, Peter P.; … - In: Journal of Banking & Finance 36 (2012) 9, pp. 2438-2454

This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We investigate the price equilibrium between the observed equity asset and the options-implied synthetic share as well as the relative divergence between the two prices. We find a...

Persistent link: https://www.econbiz.de/10010599642

Downside risk of international stock returns

Galsband, Victoria - In: Journal of Banking & Finance 36 (2012) 8, pp. 2379-2388

This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975–2010, we find that differences in returns on value and growth portfolios can be rationalized by assets’ reagibilities to market’s...

Persistent link: https://www.econbiz.de/10010599654

Higher co-moments and asset pricing on London Stock Exchange

Kostakis, Alexandros; Muhammad, Kashif; Siganos, Antonios - In: Journal of Banking & Finance 36 (2012) 3, pp. 913-922

This study examines the asset pricing implications of preferences over the higher moments of returns’ distributions. We show that in a market populated by risk-averse, prudent and temperate investors, firms whose returns exhibit negative coskewness or positive cokurtosis should yield higher...

Persistent link: https://www.econbiz.de/10010577956

Macroeconomic risk and the cross-section of stock returns

Kang, Jangkoo; Kim, Tong Suk; Lee, Changjun; Min, Byoung-Kyu - In: Journal of Banking & Finance 35 (2011) 12, pp. 3158-3173

We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a...

Persistent link: https://www.econbiz.de/10010577966

Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio

Florackis, Chris; Gregoriou, Andros; Kostakis, Alexandros - In: Journal of Banking & Finance 35 (2011) 12, pp. 3335-3350

This study proposes a new price impact ratio as an alternative to the widely used Amihud’s (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Using daily data from all stocks listed on the...

Persistent link: https://www.econbiz.de/10010577967