Similar Search Results

Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives

Ito, Takatoshi - 2010

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks...

Persistent link: https://www.econbiz.de/10012762833

A Relationship between Regression Tests and Volatility Tests of Market Ncy

Frankel, Jeffrey A. - 2010

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …

Persistent link: https://www.econbiz.de/10013141210

Managing Bank Liquidity Risk : How Deposit-Loan Synergies Vary with Market Conditions

Gatev, Evan - 2006

-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits …

Persistent link: https://www.econbiz.de/10012780123

Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle

Chen, Hui - 2018

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing, our model generates rich links between liquidity risk...

Persistent link: https://www.econbiz.de/10012937688

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

Chernov, Mikhail - 2016

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...

Persistent link: https://www.econbiz.de/10012996380

Learning About CEO Ability and Stock Return Volatility

Pan, Yihui - 2013

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

Persistent link: https://www.econbiz.de/10013085131

The Joint Cross Section of Stocks and Options

An, Byeong-Je - 2013

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

Persistent link: https://www.econbiz.de/10013073570

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

Why Does the Stock Market Fluctuate?

Barsky, Robert - 2002

Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...

Persistent link: https://www.econbiz.de/10012787482

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012960787

1
2
3
4
5
6
7
8
9
10
Next
Last