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Collateralization and asset price bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012821680

The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...

Persistent link: https://www.econbiz.de/10012798791

Beta instability and implications for hedging systematic risk : takeaways from the COVID-19 crisis

Dor, Arik Ben; Florig, Stephan; Guan, Jingling; Zeng, … - In: The journal of portfolio management : JPM 47 (2021) 6, pp. 139-155

Persistent link: https://www.econbiz.de/10012517348

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

On portfolio frictions, asset returns and volatility

Eyquem, Aurélien; Poilly, Céline; Belianska, Anna - In: European economic review : EER 160 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014461518

Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - In: Mathematics and financial economics 5 (2011) 3, pp. 185-202

Persistent link: https://www.econbiz.de/10009521742

On the stability of different financial systems

Fecht, Falko - 2003

Im vorliegenden Papier wird eine Ökonomie modelliert, in der Diamond/ Dybvig- Banken neben einem Finanzmarkt … Anlagemöglichkeiten am Finanzmarkt haben. Ist der Anteil dieser Haushalte vergleichsweise gering, so entsteht ein Finanzsystem, das sich … nicht am sekundären Finanzmarkt partizipieren, handeln private Haushalte sowohl am Primär- als auch am Sekundärmarkt …

Persistent link: https://www.econbiz.de/10011432080

Evolving equity market interdependencies : evidence from emerging markets

Talwar, Shalini - In: International journal of economics and finance 7 (2015) 8, pp. 38-52

Persistent link: https://www.econbiz.de/10011344992

Flight to quality and asset allocation in a financial crisis

Marsh, Terry Alan; Pfleiderer, Paul - In: Financial analysts' journal : FAJ 69 (2013) 4, pp. 43-57

Persistent link: https://www.econbiz.de/10009791603

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