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A Stock Flow Consistent Model of a Closed Economy with Defaults of Firms
Voloshyn, Ihor - 2017
Sequentially examining the full chain of events starting from the default of firms through the fire-sale of goods towards write-offs of bad loans, a new matrix of financial transactions was developed. It was shown that if firms have no equities, the cost of default of those firms is equal zero....
Persistent link: https://www.econbiz.de/10012964738
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The Disposition Effect in Boom and Bust Markets
Bernard, Sabine - 2018
The disposition effect is one of the most explored biases in behavioral finance, yet most papers investigating the disposition effect use data that only cover boom periods and assume that the disposition effect is constant over time. We use individual investor trading data that comprise several...
Persistent link: https://www.econbiz.de/10012909611
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Reinvesting Dividends
Müller-Dethard, Jan; Reinhardt, Niklas; Weber, Martin - 2022
Contrary to the current state of research, we find almost complete reinvestment of dividends among the brokerage clients of a German online bank. Yet, investors do not reinvest most dividends immediately after payment. Initially, the bulk of dividends remains parked as cash in investors’...
Persistent link: https://www.econbiz.de/10013404056
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The effects of quantitative easing announcements on the mortgage market : an event study approach
Wang, Gang - In: International Journal of Financial Studies : open … 7 (2019) 1/9, pp. 1-30
) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE …-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new … round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an …
Persistent link: https://www.econbiz.de/10012038419
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Corporate valuation and risk of insolvency : binomial models as a means to capture the effects of insolvency
Friedrich, Tobias - In: Die Betriebswirtschaft : DBW 76 (2016) 6, pp. 521-543
Persistent link: https://www.econbiz.de/10011639947
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …
Persistent link: https://www.econbiz.de/10003806732
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The Pricing of European Non-Performing Real Estate Loan Portfolios : Evidence on Stock Market Evaluation of Complex Asset Sales
Manz, Florian - 2020
Recent empirical evidence raises doubt about the ability of financial market participants to generate information efficient valuations for capital market instruments whose cash flows are related to residual claims and dependent on real estate income. We contribute to this literature with the...
Persistent link: https://www.econbiz.de/10012844638
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The Stock Market and Discrimination in Mortgage Lending
Chu, Yongqiang - 2019
This paper examines how the stock market affects discrimination in mortgage lending. Comparing banks that went public … through initial public offering or acquisition with similar banks that failed to go public, we find that mortgage denial rates …
Persistent link: https://www.econbiz.de/10012862103
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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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Effective and empirical durations of mortgage securities
Hayre, Lakhbir - In: The journal of fixed income 6 (1997) 4, pp. 17-33
Persistent link: https://www.econbiz.de/10001218361