Narrow search
Showing 1 - 10 of 15,702
Cover Image
An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010126547
Cover Image
En empirisk analyse af de bestemmende faktorer fpr swap spændet
Asgharian, Hossein (contributor);  … - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10003721205
Cover Image
Stock price fragility
Greenwood, Robin; Thesmar, David - 2009 - Rev.
We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or...
Persistent link: https://www.econbiz.de/10003931310
Cover Image
Stock price fragility
Greenwood, Robin; Thesmar, David - In: Journal of financial economics 102 (2011) 3, pp. 471-490
Persistent link: https://www.econbiz.de/10009409752
Cover Image
Are all credit default swap databases equal?
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - 2010
sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …
Persistent link: https://www.econbiz.de/10008773254
Cover Image
The equity premium and the volatility spread: The role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk...
Persistent link: https://www.econbiz.de/10010279907
Cover Image
The equity premium and the volatility spread : the role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk...
Persistent link: https://www.econbiz.de/10003852916
Cover Image
Risk bearing ability of investors in Indian stock market
Valliappan, M. - In: International journal of economic research 12 (2015) 2, pp. 287-293
Persistent link: https://www.econbiz.de/10011419781
Cover Image
Low-risk equity investment - from theory to practice
Russo, Alessandro - In: The journal of asset management 17 (2016) 4, pp. 264-279
Persistent link: https://www.econbiz.de/10011504240
Cover Image
Stock markets fragmentation, volatility and final investors
Bastidon, Cécile - In: Annals of finance 13 (2017) 4, pp. 435-451
Persistent link: https://www.econbiz.de/10011945582