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Anomalies Abroad : Beyond Data Mining
Lu, Xiaomeng - 2017
A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France …
Persistent link: https://www.econbiz.de/10012947659
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Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts
Farhi, Emmanuel - 2009
The paper elicits a mechanism by which private leverage choices exhibit strategic complementarities through the reaction of monetary policy. When everyone engages in maturity transformation, authorities have little choice but facilitating refinancing. In turn, refusing to adopt a risky balance...
Persistent link: https://www.econbiz.de/10013158032
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Stock Volatility During the Recent Financial Crisis
Schwert, G. William - 2011
This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting...
Persistent link: https://www.econbiz.de/10013126204
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U.S. Stock Market Crash Risk, 1926-2006
Bates, David S. - 2009
This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the...
Persistent link: https://www.econbiz.de/10013160343
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Over the Cliff : From the Subprime to the Global Financial Crisis
Mishkin, Frederic S. - 2010
This paper examines what transformed a significant, but relatively mild, financial disruption into a full-fledged financial crisis. It discusses why, although the Lehman Brothers bankruptcy was a key trigger for the global financial crisis, three other events were at least as important: the AIG...
Persistent link: https://www.econbiz.de/10013135058
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Precautionary Hoarding of Liquidity and Inter-Bank Markets : Evidence from the Sub-Prime Crisis
Acharya, Viral V. - 2010
this structural break, settlement bank liquidity had a precautionary nature in that it rose on calendar days with a large … overnight inter-bank rates to rise, an effect virtually absent in the pre-crisis period. This liquidity effect on inter-bank … stronger banks operating through the inter-bank markets …
Persistent link: https://www.econbiz.de/10013137765
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A Dynamic Model of Subprime Mortgage Default : Estimation and Policy Implications
Bajari, Patrick - 2013
The increase in defaults in the subprime mortgage market is widely held to be one of the causes behind the recent financial turmoil. Key issues of policy concern include quantifying the role of various factors, such as home price declines and loosened underwriting standards, in the recent...
Persistent link: https://www.econbiz.de/10013085919
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Predatory Lending and the Subprime Crisis
Agarwal, Sumit - 2013
We measure the effect of an anti-predatory pilot program (Chicago, 2006) on mortgage default rates to test whether predatory lending was a key element in fueling the subprime crisis. Under the program, risky borrowers and/or risky mortgage contracts triggered review sessions by housing...
Persistent link: https://www.econbiz.de/10013074282
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Securitized Banking and the Run on Repo
Gorton, Gary B. - 2010
uncertainty about bank solvency and lower values for repo collateral. Concerns about the liquidity of markets for the bonds used …
Persistent link: https://www.econbiz.de/10013151390
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Reducing Foreclosures : No Easy Answers
Foote, Christopher L. - 2010
This paper takes a skeptical look at a leading argument about what is causing the foreclosure crisis and distills some potential lessons for policy. We use an economic model to focus on two key decisions: the borrower's choice to default on a mortgage and the lender's subsequent choice whether...
Persistent link: https://www.econbiz.de/10013152511