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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

Asset financing with credit risk

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

A novel equity valuation and capital allocation model for use by long-term value-investors

Rajaratnam, Myuran; Rajaratnam, Bala; Rajaratnam, Kanshukan - In: Journal of Banking & Finance 49 (2014) C, pp. 483-494

We present a novel asset pricing model that captures the investment wisdom and stock-selection approach of the long-term value-investors Benjamin Graham and Warren Buffett. Taking a longer term view of business prospects and business risks, we explicitly consider the time period in which a...

Persistent link: https://www.econbiz.de/10011118059

Assessing the risk-return trade-off in loan portfolios

Mencía, Javier - In: Journal of Banking & Finance 36 (2012) 6, pp. 1665-1677

This paper proposes a methodology to analyse the risk and return of large loan portfolios in a joint setting. I propose a tractable model to obtain the distribution of loan returns from observed interest rates and default frequencies. I follow a sectoral approach that captures the heterogeneous...

Persistent link: https://www.econbiz.de/10011065599

Saving-based asset-pricing

Dreyer, Johannes K.; Schneider, Johannes; Smith, William T. - In: Journal of Banking & Finance 37 (2013) 9, pp. 3704-3715

This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These “saving-based”...

Persistent link: https://www.econbiz.de/10011065662

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

Downside risk aversion, fixed-income exposure, and the value premium puzzle

Baltussen, Guido; Post, Gerrit T.; Van Vliet, Pim - In: Journal of Banking & Finance 36 (2012) 12, pp. 3382-3398

The value premium is relatively small for investors with a material fixed-income exposure, such as insurance companies and pension funds, especially when they are downside-risk-averse. Value stocks are less attractive to these investors because they offer a relatively poor hedge against poor...

Persistent link: https://www.econbiz.de/10010580914