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Essays on evolution, reputation and rationality
Shapiro, Dmitry - 2006
Persistent link: https://www.econbiz.de/10003965716
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Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations
Teeranutranont, Chanon - 2018
This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...
Persistent link: https://www.econbiz.de/10012926760
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Does the Lending Rate Impact ETF's Prices?
Genaro, Alan - 2012
In this paper we developed an econometric model to empirically test the hard-to-borrow model of Avellaneda and Lipkin (2009) where asset prices jump as result of "buy-in" procedures. The model is estimated using an extent version of simulated maximum likelihood (SML) for a selected group of...
Persistent link: https://www.econbiz.de/10013107409
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …
Persistent link: https://www.econbiz.de/10012163064
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The effect of a rating downgrade on outstanding commercial paper
Crabbe, Leland E. - In: The journal of finance : the journal of the American … 49 (1994) 1, pp. 39-56
Persistent link: https://www.econbiz.de/10001169022
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Positive equity prices with insolvency under legal solvency tests
Heaton, J. B. - In: Journal of forensic economics 27 (2018) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10012016871
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Equity valuation based on a random process modelling of earnings and equity growth
Dube, Frederick; Barnard, Brian - In: Expert journal of economics 7 (2019) 1, pp. 1-31
regarding rating accuracy and rating theory. The implications of the results for equity valuation are discussed. …
Persistent link: https://www.econbiz.de/10012062966
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The mispricing of debt - influences of ratings on coordination
Ernstberger, Philip - In: Crisis, debt, and default : the effects of time …, (pp. 63-92). 2016
Persistent link: https://www.econbiz.de/10011622267
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861