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The 2008 - 2009 financial crisis : risk model transparency and incentives

Pfleiderer, Paul; Marsh, Terry Alan - 2009

In this Preface, we offer some analysis of the 2008-2009 financial crisis and its implications for financial industry reform and research. We primarily focus on issues relating to transparency and the measurement of risk and how these are affected by management incentives that are often...

Persistent link: https://www.econbiz.de/10009506977

Shadow banking : financial intermediation beyond banks

Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018

Persistent link: https://www.econbiz.de/10011790739

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

Crash Narratives

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2022

The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...

Persistent link: https://www.econbiz.de/10013334413

Diversification among cryptoassets : Bitcoin maximalism, active portfolio management, and survival biass

Sun, Weizhi; Krištoufek, Ladislav - 2021

literature, and the general perception of diversification benefits within cryptomarkets mostly builds on popular beliefs. The …

Persistent link: https://www.econbiz.de/10012650668

Owners' portfolio diversification and firm investment : theory and evidence from private and public firms

Lyandres, Evgeny; Marchica, Maria-Teresa; Michaely, Roni; … - 2018

Portfolio diversification of firms' controlling owners influences their firms' capital investment. Empirically, the … effect of owners' portfolio diversification on their firms' investment levels is positive for publicly-traded firms and tends …

Persistent link: https://www.econbiz.de/10012003079

Are cryptocurrencies connected to forex? : a quantile cross-spectral approach

Baumöhl, Eduard - 2018

This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29...

Persistent link: https://www.econbiz.de/10011796561

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581

Large shareholder diversification and corporate risk-taking

Faccio, Mara; Marchica, Maria-Teresa; Mura, Roberto - 2011

diversification across large shareholders. Exploiting this heterogeneity, we document that firms controlled by diversified large … shareholder diversification on corporate risk-taking is both economically and statistically significant. Our results have … welfare. -- Risk-taking choices ; Large shareholders ; Portfolio diversification …

Persistent link: https://www.econbiz.de/10009411473

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

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