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This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices...
Persistent link: https://www.econbiz.de/10012843874
This paper proposes an approach to study the expected excess return of a long-term bond and focuses on a lower bound. This lower bound is a crucial number, as it represents the minimum expected excess return demanded by investors. The derived bound is model-independent and can be extracted from...
Persistent link: https://www.econbiz.de/10012937301
We investigate the pairwise correlations of 11 U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007-2009. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise correlations...
Persistent link: https://www.econbiz.de/10013064639
This study aims to track insider trading activities prior to announcement of merger and acquisition deals in Istanbul Stock Exchange. 35 companies and 50 deals are examined for the period 2002 -2013 and significant average abnormal returns one months to twelve months prior to the dissemination...
Persistent link: https://www.econbiz.de/10010461368
If the firm chooses the stock of capital, labor, cash (distributions) so as to maximize its expected discounted present value, its investment policy should adjust endogenously to changes in investor preferences. It is hypothesized that quantitative easing (QE) affects asset prices through a...
Persistent link: https://www.econbiz.de/10013022127
Excessive risk-taking of financial agents drew a lot of attention in the aftermath of the financial crisis. Low interest rates and subdued market volatility during the Great Moderation are sometimes blamed for stimulating risk-taking and leading to the recent financial crisis. In recent years,...
Persistent link: https://www.econbiz.de/10013024141
In Australia, unlike US and European jurisdictions, the Reserve Bank of Australia discloses its stance on monetary policy via two separate events: the announcement of a monthly target cash rate for overnight loans; and two weeks later, the release of the explanatory minutes of the Board meeting...
Persistent link: https://www.econbiz.de/10012905031
Operating leverage (OL) and profitability are interrelated determinants of stock returns. We show that the outperformance of firms with high OL is driven by periods of unconstrained aggregate funding conditions. Firms with high OL are more risky in general, but when the Fed eases funding...
Persistent link: https://www.econbiz.de/10013221233
This study examines the relationship between bond fund flows, stock market returns and financial policies in developed and developing economies. The findings suggest a bidirectional (negative) relationship between bond flows and market returns in the presence of fiscal and monetary policy for...
Persistent link: https://www.econbiz.de/10013492430
Previous research attributes long-run reversals to investor over-reaction or tax-motivated trading; we offer an alternative explanation based on aggregate funding conditions. Our evidence shows that prices rebound for stocks that have performed poorly over the past several years (Losers);...
Persistent link: https://www.econbiz.de/10013128399