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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Economic modelling 49 (2015), pp. 407-418
Persistent link: https://www.econbiz.de/10011439598
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Are private banks the better banks? : An insight into the principal-agent structure and risk-taking behavior of German banks
Schmielewski, Frank; Wein, Thomas - In: Journal of economics and finance 39 (2015) 3, pp. 518-540
Persistent link: https://www.econbiz.de/10011471135
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The use of risk and return for testing the stability of stock markets
Chirilă, Viorica; Chirilă, Ciprian - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 2, pp. 182-192
Persistent link: https://www.econbiz.de/10010401352
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2012
We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk … shows that both financial effects increase significantly during crises. Strikingly, the risk-return tradeoff is … international stock markets confirm the increase in the leverage effect, whereas the international evidence on the risk …
Persistent link: https://www.econbiz.de/10009536502
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The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)
Tam NguyenHuu - In: Finance research letters 45 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014574913
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Security returns and tax aversion bias : behavioral responses to tax labels
Blaufus, Kay; Möhlmann, Axel - 2012 - This version: Feb 2012
This paper studies behavioral responses to taxes in financial markets. It is motivated by recent puzzling empirical evidence of taxable municipal bond yields significantly exceeding the level expected relative to tax exempt bonds. A behavioral explanation is a tax aversion bias, the phenomenon...
Persistent link: https://www.econbiz.de/10009560012
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Determinants of Expected Returns at Public Defined-Benefit Pension Plans
Aggarwal, Raj - 2015
Estimated expected returns are important for pension plans, as they influence many plan characteristics including required asset levels, annual contributions, and the extent of plan under- or over funding. Yet, there seems to be little prior literature on the factors influencing these estimated...
Persistent link: https://www.econbiz.de/10013022284
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Intangibles, can they explain the dispersion in return rates?
Görzig, Bernd; Gornig, Martin - 2010
It is argued that the observed return rates on capital at firm-level have an upward bias if firms are producing with unobserved intangible capital. Using EUKLEED, a comprehensive firm level data base for Germany, this theoretical preposition is proved empirically. Furthermore, making unobserved...
Persistent link: https://www.econbiz.de/10003974686
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Intangibles, Can They Explain the Dispersion in Return Rates?
Görzig, Bernd - 2014
It is argued that the observed return rates on capital at firm-level have an upward bias if firms are producing with unobserved intangible capital. Using EUKLEED, a comprehensive firm level data base for Germany, this theoretical preposition is proved empirically. Furthermore, making unobserved...
Persistent link: https://www.econbiz.de/10013069621
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Chapter 25 : Stock Market Anomalies
Fan, Steve Z. - 2017
explanation focuses on the improvement of the existing asset pricing models and/or searching for additional risk factors to …
Persistent link: https://www.econbiz.de/10012954410