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Consuming dividends
Bräuer, Konstantin; Hackethal, Andreas; Hanspal, Tobin - 2020 - Current version: May 2020
This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...
Persistent link: https://www.econbiz.de/10012223798
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Multifactorial analysis of the price formation in the terms of a risk-free rate
Anghelache, Constantin; Anghel, Mădălina-Gabriela; … - In: Theoretical and applied economics : GAER review 28 (2021) 3/628, pp. 33-44
Persistent link: https://www.econbiz.de/10013258864
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10011444904
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Valuation of Mortgage-Backed Securities : A Portfolio Credit Derivatives Approach
Lou, Wujiang - 2013
Non-agency mortgage-backed securities (MBS) are typically priced and traded on discounted cashflow basis where a cashflow projection is made under a prepayment and default scenario and discounted with a discount margin (DM) that supposedly measures credit risk. Whilest simple and intuitive to...
Persistent link: https://www.econbiz.de/10012710689
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The pricing of unexpected volatility in the currency market
Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021
. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess … time-varying factor models fit the data better and generate a smaller pricing errors than the linear model, while the … Markov-switching model outperforms the threshold factor models not only by generating lower pricing errors but also …
Persistent link: https://www.econbiz.de/10012591966
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Competition for attention in the ETF space
Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021
The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose...
Persistent link: https://www.econbiz.de/10012421474
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Stock return comovement when investors are distracted : more, and more homogeneous
Ehrmann, Michael; Jansen, David-Jan - 2020
This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the...
Persistent link: https://www.econbiz.de/10012216666
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How banks respond to distress : shifting risks in Europe's banking union
Mink, Mark; Ramcharan, Rodney; Lelyveld, Iman van - 2020
intermediaries on the prices of bonds in their portfolio. Despite the creation of a Single Supervisory Mechanism (SSM) in the EU, we … decline in risk-weighted solvency ratios suggests. Distress in the banking system also feeds back onto bond prices. Bonds …
Persistent link: https://www.econbiz.de/10012161046
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Fixed Income ETFs, Bond Liquidity, and Stressed Markets
Marta, Thomas - 2020
This paper examines the impact of Fixed Income Exchange-Traded Funds (ETFs) on corporate bond liquidity. I find that corporate bonds ETFs decrease the transaction costs of their constituent securities. The use of two distinct quasi-natural experiments, that control for the identification issues...
Persistent link: https://www.econbiz.de/10012849908
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Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns
Bhambhwani, Siddharth - 2020
size. We show that cryptocurrency prices are cointegrated with computing power and network. Further, cryptocurrency returns …
Persistent link: https://www.econbiz.de/10012850005