Commodity prices are more volatile than exchange rates and interest rates. Hence, a priori, commodity price risk represents a more important source of risk to corporations. This paper presents a comprehensive analysis of the economic commodity price exposure of a large sample of nonfinancial...

We use facial emotion recognition software to quantify CEO mood. Anger or disgust motivates a CEO to work harder to improve his/her situation thus firm profitability improves in the subsequent quarter. Happy CEOs are less likely to work on hard or unpleasant tasks thus profitability decreases in...

In this paper, we decompose return premia into day and night components based on a sample of more than 48,000 stocks from 35 countries including the United States. Day returns are higher than night returns, but have similar volatility. Payoffs to value- or equally-weighted investment strategies...

As part of financial market infrastructures, central counterparties (CCPs) have long been deemed systemically important and are likely to gain in importance due to the regulatory developments mandating central clearing for an increasing number of financial products. This paper focuses on the...

This paper sketches the key differences in the EU and the U.S. repo markets to inform the policy recommendations for harmonization and standardization of rules governing repo contracts put forward by the international financial fora and standard setters. In so doing, it examines three main...

This paper studies the specificities of the regulation of shadow banking in the EU. It argues that the idiosyncratic features of the EU shadow banking sector call for a different (or indigenized) regulatory approach from that of the U.S. It highlights striking differences between the EU and the...

This article analyzes the regulatory measures adopted to address the potential contribution of hedge funds to financial instability in the U.S. and the EU in the wake of the Global Financial Crisis. The relevant provisions of the Dodd-Frank Act include two sets of direct regulatory measures. The...

This study uses U.S. implied cost of equity observations to compare the CAPM with both ex ante and ex post versions of the Fama-French three-factor model. The ex ante version is a simple theoretical model that requires mutual consistency among the factor risk premium estimates, given the...

We explore the consequences from the two regulatory frameworks Dodd-Frank and EMIR for industrial corporates. We point out that - by falling under the clearing obligation - not only the corporate's option to decide freely on its positioning within the well-known “Risk Triangle” is...

The central issues addressed are the extent and causes of interdependency between Japanese banks' domestic and US lending. We examine hypotheses that domestic and US credit allocations by Japanese banks during the late 1980s and early 1990s are related through their mutual dependence on capital...