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The other (commercial) real estate boom and bust : the effects of risk premia and regulatory capital arbitrage
Duca, John V.; Ling, David C. - 2015
The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models...
Persistent link: https://www.econbiz.de/10011406248
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Disaster resilience and asset prices
Pagano, Marco; Wagner, Christian; Zechner, Josef - 2021
Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social...
Persistent link: https://www.econbiz.de/10012698248
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
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CDS central counterparty clearing default measures : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2020
Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing Counter-parties (CCPs). Large CCPs are now designated as 'Global Systemically Important Institutions' (GSIIs), whose unlikely-but-plausible failure threatens global financial market...
Persistent link: https://www.econbiz.de/10012419635
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
its positions. The theoretical model examines variation margin exchange between dealer banks and the price impact of … liquidation and predatory selling. It provides a measure of covariance between assets in banks' portfolios; price impact affects … profits, and how predation decreases the profits of all members, pushing banks to default. Furthermore, a hybrid CCP (vs …
Persistent link: https://www.econbiz.de/10011870658
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The Treasury Bill Risk Premium : Why T-Bills Are About as Risky as Stocks in the Long Term
White, James - 2020
These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...
Persistent link: https://www.econbiz.de/10012834170
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The Equity Risk Premium : A Novel Perspective on the Past Fifty Years
White, James - 2020
The longest bull market in US stock market history is over. Uncertainty over the public health and economic impact of the coronavirus pandemic will keep markets extremely volatile, making it likely we'll touch a wide range of price levels in the months ahead. Amidst such uncertainty, it's a...
Persistent link: https://www.econbiz.de/10012839090
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The Other (Commercial) Real Estate Boom and Bust : The Effects of Risk Premia and Regulatory Capital Arbitrage
Duca, John V. - 2015
The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and contributed significantly to bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models...
Persistent link: https://www.econbiz.de/10013015113
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Sovereign Risk and Bank-Specific CDS Pricing
Meine, Christian - 2015
Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland …
Persistent link: https://www.econbiz.de/10013036499