The slope of the portfolio return and consumption growth cospectrum contains predictive information about future real economic activity, future recession probabilities, the risk aversion coefficient, as well as future expected returns. Commonly used economic variables do not subsume the...

This study examines the influence of US banks' revenue diversification on their profitability, equity capital, and credit risk, by size. By a simple decomposition of Return On Capital (ROC) I show how popular revenue diversification measures affect both the ROC and risk-adjusted ROC. Based on...

This study examines the infuence of US banks' revenue diversification on profitability, equity capital, and credit risk by size. By a simple decomposition of Return On Capital (ROC) I show how popular revenue diversification measures affect both the ROC and risk-adjusted ROC. I find substantial...