Savings accounts are owned by most households, but little is known about the performance of households' investments. We create a unique dataset by matching information on individual savings accounts from the DNB Household Survey with market data on account-specific interest rates and...

We disentangle the complexity of the distress risk premium in stock returns using the risk-neutral measure of credit risk (valued by CDS spread) and investigate the relation between credit risk and the market beta, size, value, and momentum effects. Consistent with the argument of the negative...

We analyze the use of derivatives in Italian equity mutual funds from December 2002 to May 2007. We find that the average asset allocation in derivatives increased considerably during this time frame, roughly coinciding with the harmonization of Italian regulation of mutual funds to European...

In this study, we investigate the mutual fund managers' ability to time market coskewness. Analyzing nine investment styles of US equity fund, we find strong evidence to support that between 1973 and 2018, mutual fund managers investing in Small-Blend and Small-Growth schemes demonstrate the...

The purpose of this paper is to assess whether listed banks in Ghana realised higher risk adjusted return than the Ghana Stock Exchange (GSE) All Share Index and also investigate whether listed banks offer portfolio diversification as part of investment portfolio. The study provides an insight...

Did the United States government distort efficient returns of the housing finance sector in response to the novel coronavirus (Covid-19) pandemic? This paper employs a Fama-French five-factor capital asset pricing model event study hybrid approach to investigate if the Coronavirus Aid, Relief,...

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Savings accounts are owned by most households, but little is known about the performance of households' investments. We create a unique dataset by matching information on individual savings accounts from the DNB Household Survey with market data on account-specific interest rates and...

What configuration of asset returns will make the banking system most susceptible to a self-fulfilling run? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship between the returns on...

Savings accounts are owned by most households, but little is known about the performance of households' investments. We create a unique dataset by matching information on individual savings accounts from the DNB Household Survey with market data on account-specific interest rates and...