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The proposal for banks to issue contingent capital that must convert into common equity when the banks’ stock price … capital prices. Multiple or no equilibrium arises because both equity and contingent capital are claims on the assets of the … to exist, mandatory conversion cannot result in any value transfers between equity holders and contingent capital …
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Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1:31% per month, after controlling for world...
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