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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2010
increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …
Persistent link: https://www.econbiz.de/10013152555
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Liquidity and Trading Dynamics
Guerrieri, Veronica - 2010
question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …
Persistent link: https://www.econbiz.de/10012759970
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'. Besides...
Persistent link: https://www.econbiz.de/10013145248
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2010
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10013151396
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Predatory Trading
Pedersen, Lasse Heje - 2004
overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …
Persistent link: https://www.econbiz.de/10012785459
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The Time Variation in Risk Appetite and Uncertainty
Bekaert, Geert - 2019
-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …
Persistent link: https://www.econbiz.de/10012889979
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Learning and Asset-Price Jumps
Bansal, Ravi; Shaliastovich, Ivan - 2021
conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps … consumption volatility, but not by the changes in the consumption level. We show that the model can quantitatively capture these …
Persistent link: https://www.econbiz.de/10013221105
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Disposition Matters : Volume, Volatility and Price Impact of a Behavioral Bias
Massa, Massimo; Goetzmann, William N. - 2021
, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …
Persistent link: https://www.econbiz.de/10013223307
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Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
Belo, Frederico - 2012
generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …
Persistent link: https://www.econbiz.de/10013099417
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Are Sticky Prices Costly? Evidence from the Stock Market
Gorodnichenko, Yuriy - 2013
that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …
Persistent link: https://www.econbiz.de/10013085909