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Conditional Leverage and the Term Structure of Option-Implied Equity Risk Premia
Chabi-Yo, Fousseni; Langlois, Hugues - 2022
maturities. The premium depends on risk-neutral leverage effects and the expected future risk-neutral market variance and …
Persistent link: https://www.econbiz.de/10013405695
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Momentum effects in the cryptocurrency market after one-day abnormal returns
Caporale, Guglielmo Maria; Plastun, Alex - 2019
This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...
Persistent link: https://www.econbiz.de/10012118561
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Dynamical internal cost of capital driven by cash flow growth
Solo, David; Sornette, Didier; Ulmann, Florian Michael Till - 2021
Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure matching the implicitly assumed risk exposure...
Persistent link: https://www.econbiz.de/10012487967
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How important is moral hazard for distressed banks?
Ben-David, Itzhak; Palvia, Ajay; Stulz, René M. - 2020
The moral hazard incentives of the bank safety net predict that distressed banks take on more risk and higher leverage … reduce their leverage and decrease observable measures of riskiness, which is inconsistent with the view that, on average …, moral hazard incentives dominate distressed bank leverage and risk-taking policies …
Persistent link: https://www.econbiz.de/10012216705
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Levered returns and capital structure imbalances
Ippolito, Filippo; Steri, Roberto; Tebaldi, Claudio - 2017
We revisit the relation between equity returns and financial leverage through the lens of a trade-off model with costly … returns depend on whether a firm's leverage is above or below its target leverage. The data support the model predictions …. Controlling for leverage, overlevered (underlevered) firms earn higher (lower) returns. Controlling for target leverage the …
Persistent link: https://www.econbiz.de/10011899835
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Company cost of capital and leverage : a simplified textbook relationship revisited
Haag, Valentin Georg; Koziol, Christian - In: Schmalenbach journal of business research : SBUR 75 (2023) 1, pp. 37-69
In this paper, we revisit a frequently employed simplification within the WACC approach that company cost of capital kV is supposed to be invariant to the debt ratio and therefore equal to the unlevered cost kU . Even though we know from Miles and Ezzell (1980) that kV formally differs from kU ,...
Persistent link: https://www.econbiz.de/10014325747
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Levered returns and capital structure imbalances
Ippolito, Filippo; Steri, Roberto; Tebaldi, Claudio; … - 2022
We revisit the relation between equity returns and financial leverage through the lens of a dynamic trade-off model …'s leverage is above or below its target leverage. We provide empirical evidence in support of the model predictions. Controlling … for leverage, overlevered (underlevered) firms earn higher (lower) returns. A quantitative version of our model reproduces …
Persistent link: https://www.econbiz.de/10013375176
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Common risk factors of infrastructure firms
Ben Ammar, Semir; Eling, Martin - 2013 - This version: 05/07/2013
, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …
Persistent link: https://www.econbiz.de/10010410032
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516