The basic goal of the article is to analyse the impact of credit ratings changes on the rates of return of banks' shares taking into account the level of economy development and the political divisions. There are put the following hypothesis: The banks' share prices react stronger on the credit...

In this paper, we develop an equilibrium asset pricing model for the market excess return, variance and the third cumulant by using a jump-diffusion process with stochastic variance and jump intensity in Cox, Ingersoll and Ross' (1985) production economy. Empirical evidence with S&P 500 index...

When should we expect bubbles? Can levered intermediaries bid up risky asset prices through asset substitution? We study an economy with financial intermediaries that issue debt and equity to buy risky assets. Asset substitution alone cannot cause bubbles because it is priced into the...