Showing 1 - 10 of 15,791
stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …
Persistent link: https://www.econbiz.de/10009536502
We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …
Persistent link: https://www.econbiz.de/10012848868
Persistent link: https://www.econbiz.de/10000909451
Persistent link: https://www.econbiz.de/10011442336
The general view underlying bank regulation is that bank disclosures providemarket discipline and reduce banks' risk-taking incentives. We show that bankdisclosures can increase bank leverage and bank risk. The reason stems from theinteraction between insured and uninsured debt. Bank disclosures...
Persistent link: https://www.econbiz.de/10013324579
The general view underlying bank regulation is that bank disclosures provide market discipline and reduce banks’ risk-taking incentives. We show that bank disclosures can increase bank leverage and bank risk. The reason stems from the interaction between insured and uninsured debt. Bank...
Persistent link: https://www.econbiz.de/10013212520
value of the bank and its volatility by using an indifference curve model of the bank's choice of optimal risk. While the …
Persistent link: https://www.econbiz.de/10013025495
We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and … significantly increases volatility in financial markets. When introducing limits on re-use, we find that volatility is strictly …
Persistent link: https://www.econbiz.de/10011626567
We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility in … financial markets. When introducing limits on re-use, we find that volatility is strictly decreasing as these limits become …
Persistent link: https://www.econbiz.de/10011959258
We take issue with claims that the funding mix of banks, which makes them fragile and crisis-prone, is efficient because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage to the economy that banks' distress and default cause, such claims are...
Persistent link: https://www.econbiz.de/10011925841