Banks have always played an ambivalent role in financial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and...

This article presents the calculations confirming practical applicability of earlier formulated theoretical model explaining relationship between the rate of one-day credits in the interbank market, volume of speculative investments and total securities under which transactions have been closed....

The present paper deals with further analysis of the relationship between the interbank loan rate on the one hand and the volume of investment and the amount of stocks tradable on the stock exchange on the other hand, as corroborated by calculations performed on Bahrain Stock Exchange data

Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...

This paper scrutinizes the impact of monetary policy in emerging markets. We developed DSGE model Business Cycle Model incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in emerging economies such as Indonesia

Equity markets fail to account for value-relevant non-public information enjoyed by syndicated loan participants and reflected in publicly-posted loan prices. A long-short strategy that buys (sells) the equities of firms whose loans have recently appreciated (depreciated) earns large...

This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this phenomenon in the context of the capital asset pricing model and the Fama and French three-factor model. We use bank size to create the banking factor – a...

We question the impact of government guarantees on the pricing of default risk in credit and stock markets and, using a Merton-type credit model, provide evidence of a structural break in the valuation of U.S. bank debt in the course of the 2007-2009 financial crisis, manifesting in a lowered...

The purpose of this paper is to assess whether listed banks in Ghana realised higher risk adjusted return than the Ghana Stock Exchange (GSE) All Share Index and also investigate whether listed banks offer portfolio diversification as part of investment portfolio. The study provides an insight...

In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...