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An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk

Bonaldi, Pietro - 2015

We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …

Persistent link: https://www.econbiz.de/10012457206

Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis

Beltratti, Andrea - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

Persistent link: https://www.econbiz.de/10012457516

The Importance of Measurement Error in the Cost of Capital

Goolsbee, Austan - 2000

, accounting for about 20 percent of the tax term's variance. Correcting for the error with IV estimation shows that taxes …

Persistent link: https://www.econbiz.de/10012471217

Consumption Risk and the Cost of Equity Capital

Jagannathan, Ravi - 2005

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on...

Persistent link: https://www.econbiz.de/10012467661

Estimating Adjustment Costs with Data on Heterogeneous Capital Goods

Goolsbee, Austan - 1997

This paper estimates the micro-level costs of adjusting capital using detailed data on" investment decisions in the US airline industry. The data include the capital stock retirement, market values, operating costs, and utilization rates of 16 different types of capital" goods for each airline....

Persistent link: https://www.econbiz.de/10012472474

Inflation and the User Cost of Capital : Does Inflation Still Matter?

Cohen, Darrel - 1997

In the late 1970s, many economists argued that the deleterious effects of inflation on the user cost of capital for U.S. firms were large. Since that time, the tax code has changed, the level of inflation has dropped significantly, and the of investment has evolved considerably. In this paper,...

Persistent link: https://www.econbiz.de/10012472771

Cost of Capital for the United States, Japan, and Canada : An Attempt at Measurement Based on Individual Company Records and Aggregate National Acccoun

Ando, Albert - 1997

A conceptual basis is laid out for measuring the cost of capital for corpora- tions from data typically available in countries such as the US, Canada, and Japan. Attempts are made to carry out the measurement based both on the accounting records of individual companies and on the aggregate...

Persistent link: https://www.econbiz.de/10012472944

The Costs of (sub)Sovereign Default Risk : Evidence from Puerto Rico

Chari, Anusha - 2017

Puerto Rico's unique characteristics as a U.S. territory allow us to examine the channels through which (sub)sovereign default risk can have real effects on the macroeconomy. Post-2012, during the period of increased default probabilities, the cointegrating relationship between real activity in...

Persistent link: https://www.econbiz.de/10012453605

Corporate Liquidity, Acquisitions, and Macroeconomic Conditions

Erel, Isil - 2017

Firms hold liquid assets to enhance their ability to invest efficiently when external financing costs are high, especially during poor macroeconomic conditions. Using a sample of 47,378 acquisitions from 36 countries between 1997 and 2014, we study how the relation between firms' cash holdings...

Persistent link: https://www.econbiz.de/10012455188

Dynamic R&D Choice and the Impact of the Firm's Financial Strength

Peters, Bettina - 2016

This article investigates how a firm's financial strength affects its dynamic decision to invest in R&D. We estimate a dynamic model of R&D choice using data for German firms in high-tech manufacturing industries. The model incorporates a measure of the firm's financial strength, derived from...

Persistent link: https://www.econbiz.de/10012456639

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