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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10013128337
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10013131934
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The Change in Information Uncertainty and Acquirer Wealth Losses
Erickson, Merle - 2011
A large body of literature demonstrates that acquisitions are on average value-destroying for the acquirer. We … acquisitions lead to increases in information uncertainty, as proxied by analysts' earnings forecast dispersion. We also find that … uncertainty resulting from acquisitions contribute to acquirer post-acquisition wealth losses …
Persistent link: https://www.econbiz.de/10013124334
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Efficient Markets and the Law : A Predictable Past and an Uncertain Future
Hu, Henry T. C. - 2012
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...
Persistent link: https://www.econbiz.de/10013100915
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Surprising Absence of Scale for Forecast Error Magnitudes and Forecast Dispersion
Cheong, Foong Soon - 2010
While levels of actual and consensus forecast earnings per share (EPS) vary with scale (measured typically by share price), magnitudes of the difference do not vary with scale. That is, forecast errors within a certain range (e.g., plus/minus 5 cents per share) are equally likely for both...
Persistent link: https://www.econbiz.de/10013150510
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Stock Liquidity and Default Risk
Brogaard, Jonathan - 2019
This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the highest default risk experience the...
Persistent link: https://www.econbiz.de/10012904049
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The Real Effects of Financial Markets
Bond, Philip - 2018
A large amount of activity in the financial sector occurs in secondary financial markets, where securities are traded among investors without capital flowing to firms. The stock market is the archetypal example, which in most developed economies captures a lot of attention and resources. Is the...
Persistent link: https://www.econbiz.de/10012940333
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Aggregation, Capital Heterogeneity, and the Investment CAPM
Gonçalves, Andrei - 2019
A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns....
Persistent link: https://www.econbiz.de/10012868493
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Textual Sentiment in Finance : A Survey of Methods and Models
Kearney, Colm - 2016
We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...
Persistent link: https://www.econbiz.de/10013007694
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Firm Complexity and Conglomerates Expected Returns
Barinov, Alexander - 2020
The paper discovers that firm complexity is negatively priced in cross-section. High/low-complexity conglomerates have 35-50/20-28 bp per month more negative five-factor Fama and French (2015) alphas than single-segment firms, and this effect is stronger in subsamples with low institutional...
Persistent link: https://www.econbiz.de/10012852638