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...

This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...

We examine underlying factors that explain an exceptionally low stock market participation rate among Lithuanian households by carrying out a comprehensive survey of mass affluent individuals. The probit regression analysis of the survey results indicates that lack of financial literacy, low...

We develop a two-country international asset pricing model in which some investors face leverage constraints. In contrast to models with a single `world' bond, we show that tightening regulation can lead to the risk free interest rate rising. When demand for borrowing is high, a tightening of...

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to investigated factors...

Upon surveying a contentious topic that has occasioned much debate, this paper offers reflections on the likelihood that asset booms, bubbles and busts continue posing a threat to financial stability despite financial markets becoming increasingly informationally-efficient, complete, and heavily...

The global success of the song, “Gangnam Style”, by the Korean rapper PSY in 2012, was an exogenous shock to investor enthusiasm for DI Corp., a Korean semiconductor manufacturer. Although DI Corp.'s business is not related to the entertainment industry, its co-CEO is the father of PSY....

We provide evidence concerning the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. Accounting rules, through their interactions with capital regulations, alter financial institutions' trading behavior. The insurance industry provides a...