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Will Private-Label Securitization Return?

Dodwell, William J. - 2011

This paper examines the prospect of revitalizing asset-backed and non-agency mortgage-backed securitization markets … that will affect the supply of and demand for mortgage- and asset-backed securities. Incentives for future securitization … the return of private-label securitization, and revival will depend on economic recovery and pending legislation and …

Persistent link: https://www.econbiz.de/10013133418

Institutional Trading Momentum and Mispricing

Bulsiewicz, James - 2017

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Persistent link: https://www.econbiz.de/10012971888

Small Business Equity Returns : Empirical Evidence from the Business Credit Card Securitization Market

Fleckenstein, Matthias; Longstaff, Francis A. - 2022

We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders....

Persistent link: https://www.econbiz.de/10014239490

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

The term structure of inflation expectations

Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...

Persistent link: https://www.econbiz.de/10003812556

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Idiosyncratic risk and the cross-section of stock returns : Merton (1987) meets Miller (1977)

Boehme, Rodney D.; Danielsen, Bartley R.; Kumar, Praveen; … - In: Journal of financial markets 12 (2009) 3, pp. 438-468

Persistent link: https://www.econbiz.de/10003873559

Size, value and liquidity : do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - 2010

The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...

Persistent link: https://www.econbiz.de/10008660508

Higher order expectations, illiquidity, and short-term trading

Cespa, Giovanni; Vives, Xavier - 2011

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher Order Expectations (HOEs) about the two factors that...

Persistent link: https://www.econbiz.de/10009011130

Changes in the composition of publicly traded firms : implications for the dividend-price ratio and return predictability

Jank, Stephan - 2012

This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...

Persistent link: https://www.econbiz.de/10009663676

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