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Default risk and cross section of returns
Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15
Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...
Persistent link: https://www.econbiz.de/10012022028
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Financial risk and better returns through smart beta exchange-traded funds?
Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30
Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...
Persistent link: https://www.econbiz.de/10012622400
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The two defaults scenario for stressing credit portfolio loss distributions
Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...
Persistent link: https://www.econbiz.de/10011544020
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Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance … constitutes a shock to market makers’ balance sheets and thus affects their capacity to intermediate trades. Using trade …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …
Persistent link: https://www.econbiz.de/10012798918
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Dynamics of funding liquidity and risk-taking : evidence from commercial banks
Abbas, Faisal; Ali, Shoaib; Yousaf, Imran; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-16
The purpose of this study is to investigate the impact of funding liquidity risk on the banks' risk-taking behavior. To … funding liquidity increases the banks' risk-taking of US commercial banks. Furthermore, banks with higher deposits are less … findings infer that increases in bank funding liquidity increase both risk-weighted assets and liquidity creation, and deposit …
Persistent link: https://www.econbiz.de/10012605946
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How the closure of a U.S. tax loophole may affect investor portfolios
Frei, Christoph; Welsh, Liam - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-10
In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole. To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent expected utility model. We develop an approximation formula for the...
Persistent link: https://www.econbiz.de/10013273445
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Unleveraged portfolios and pure allocation return
Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11
In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...
Persistent link: https://www.econbiz.de/10012795929
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Performance dynamics of international exchange-traded funds
Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14
Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite...
Persistent link: https://www.econbiz.de/10012322206
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The impact of the Basel accord on Greek banks : a stress test study
Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197
In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...
Persistent link: https://www.econbiz.de/10011545145
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Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds
Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that …
Persistent link: https://www.econbiz.de/10012305143