assistance on bank risk taking. Bailed-out banks initiate riskier loans and shift assets toward riskier securities after … receiving government support. However, this shift in risk occurs mostly within the same asset class and, therefore, remains … appear safer according to regulatory ratios, but show an increase in volatility and default risk. These findings are robust …

find support for risk-shifting and regulatory arbitrage motives at banks in that carry trade behavior is stronger for large … banks and banks with low capital ratios and high risk-weighted assets. We also find evidence for home bias and moral suasion …

portfolios, and even for bonds and currencies, suggesting that beta is after all an important measure of systematic risk …. Furthermore, a robust risk–return trade-off exists on announcement days. Expected variance is positively related to future …

excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U ….S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average …-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to worldwide risk is the key driver …

risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide …

that had no connection to housing. We find that changes in the LIB-OIS spread, a proxy for counterparty risk, were strongly …