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Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...

Persistent link: https://www.econbiz.de/10012384482

Asset Bubbles : Re-Thinking Policy for the Age of Asset Management

Jones, Bradley - 2015

In distilling a vast literature spanning the rational — irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...

Persistent link: https://www.econbiz.de/10013026923

When the Panic Broke Out : Covid-19 and Investment Funds' Portfolio Rebalancing Around the World

Affinito, Massimiliano; Santioni, Raffaele - 2021

To contribute to the understanding of investment funds' (IFs) behaviour, the paper exploits the exogenous shock of the COVID-19 pandemic and analyses more than 12 million security sales and purchases during the first four months of 2020 by over 20,000 IFs from more than 40 national jurisdictions...

Persistent link: https://www.econbiz.de/10013217674

Investing in Crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following...

Persistent link: https://www.econbiz.de/10013242872

International Diversification During Financial Crises

Tai, Chu-Sheng - 2019

Purpose – The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international diversification from the perspective of US investors. Design/methodology/approach – A conditional international CAPM with...

Persistent link: https://www.econbiz.de/10012862601

Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Hałaj, Grzegorz - 2023

Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...

Persistent link: https://www.econbiz.de/10014278677

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Persistent link: https://www.econbiz.de/10012895183

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

Persistent link: https://www.econbiz.de/10012388066

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

Persistent link: https://www.econbiz.de/10012309325

The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time

Oskay, Bora - 2018

Persistent link: https://www.econbiz.de/10012913510

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