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The rent term premium for cancellable leases
Yoshida, Jiro; Seko, Miki; Sumita, Kazuto - In: The journal of real estate finance and economics 52 (2016) 4, pp. 480-511
Persistent link: https://www.econbiz.de/10011717655
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Contingent convertible lease modeling and credit risk management
Triki, Ons; Abid, Fathi - In: Financial innovation : FIN 8 (2022), pp. 1-29
and compensate for the lessor's position. A leasing defaultable contract allows the lessor to obtain the rent that will be … recovered if the lessee defaults. A leasing convertible contract can be automatically converted into shares when certain default …'s value and leasing payments. A Defaultable-Convertible-Leasing contract with a payback option grants the lessor the right but …
Persistent link: https://www.econbiz.de/10013413113
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Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
Archontakis, Theofanis; Lemke, Wolfgang - 2007
This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...
Persistent link: https://www.econbiz.de/10010295839
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Predictability in the cross-section of European bank stock returns
Drobetz, Wolfgang; Erdmann, Thomas; Zimmermann, Heinz - 2007
This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a panel of 235 European banks from 1991 to 2005. The sample period marks a significant transition in the European banking sector, characterized by higher competition, lower profit...
Persistent link: https://www.econbiz.de/10011390629
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Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Gungor, Sermin; Luger, Richard - 2014
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...
Persistent link: https://www.econbiz.de/10011396677
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Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Li, Fuchun - 2015
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...
Persistent link: https://www.econbiz.de/10011396689
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Fourier Inversion Formulas for Multiple-Asset Option Pricing
Feunou, Bruno; Tafolong, Ernest - 2015
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices....
Persistent link: https://www.econbiz.de/10011396690
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Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...
Persistent link: https://www.econbiz.de/10011396691
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Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...
Persistent link: https://www.econbiz.de/10011396695
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Household Stockholding Behavior During the Great Financial Crisis
Zhou, Jie - 2015
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007 - 09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...
Persistent link: https://www.econbiz.de/10011396700