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Positive liquidity spillovers from sovereign bond-backed securities
Dunne, Peter G. - 2018
There are competing arguments about the likely effects of Sovereign Bond-Backed Securitisation on the liquidity of … sovereign bond markets. By analysing hedging and diversification opportunities, this paper shows that positive liquidity …
Persistent link: https://www.econbiz.de/10011848364
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When do investors go green? : evidence from a time-varying asset-pricing model
Alessi, Lucia; Ossola, Elisa; Panzica, Roberto Calogero - 2021
This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium is associated to a priced 'greenness and...
Persistent link: https://www.econbiz.de/10012813579
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The Greenium matters : evidence on the pricing of climate risk
Lucia, Alessi; Elisa, Ossola; Roberto, Panzica - 2019
This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European individual stock returns and portfolios. By defining a green factor which is priced by the market, we offer a tool to assess a portfolio exposure to climate risk and hedge against...
Persistent link: https://www.econbiz.de/10012053558
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Is Europe overbanked?
Pagano, Marco - European Systemic Risk Board / Advisory Scientific Committee - 2014
Banking has grown too much in Europe - in three senses. First, the European banking system has reached a size where its contribution to real economic growth is likely to be nil or negative. Second, the European financial structure is biased towards banks (rather than securities markets), which...
Persistent link: https://www.econbiz.de/10011971215
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Do financial systems converge? : new evidence from household financial assets in selected OECD countries
Bruno, Giuseppe; De Bonis, Riccardo - 2009
Many authors underlined the convergence of financial structures towards a model which combines elements of the Anglo Saxon one, where markets prevail, with characteristics of the continental European systems, where intermediaries are predominant. The goal of this paper is to study financial...
Persistent link: https://www.econbiz.de/10003857689
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The variance risk premium and capital structure
Lotfaliei, Babak - 2018
This paper investigates how the asset-return variance risk premium changes leverage. I find that the premium lowers leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance with risk premium. Empirically, the model calibrations...
Persistent link: https://www.econbiz.de/10011848389
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Cyclical investment behavior across financial institutions
Timmer, Yannick - 2016
This paper examines the investment behavior of different financial institutions in debt securities with a particular focus on their response to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that...
Persistent link: https://www.econbiz.de/10011975050
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Reconstructing and stress testing credit networks
Ramadiah, Amanah; Caccioli, Fabio; Fricke, Daniel - 2018
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on bank-firm credit relationships in Japan and conduct a horse race between different network reconstruction methods in terms of their ability to...
Persistent link: https://www.econbiz.de/10011978815
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Sustainable investing in times of crisis : evidence from bond holdings and the COVID-19 pandemic
Fatica, Serena; Panzica, Roberto Calogero - 2021
Using data on institutional investors' bond holdings, we investigate the resilience of green bonds to the COVID-19 shock in a difference-in-differences framework. We find that during the COVID outbreak green bonds experience lower sales, on average, while in normal times no significant...
Persistent link: https://www.econbiz.de/10012650022
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Strategic complementarity in banks' funding liquidity choices and financial stability
Silva, André - 2016
This paper examines whether banks' liquidity and maturity mismatch decisions are affected by the choices of competitors … and the impact of these coordinated funding liquidity policies on financial stability. Using a novel identification … strategy where interactions are structured through decision networks, I show that banks do consider their peers' liquidity …
Persistent link: https://www.econbiz.de/10011975055