From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors...

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

The 2005-2006 reform of the Chinese stock market, aimed at eliminating nontradeable shares, is used to study the role of asset float on stock prices. The reform implies that holders of nontradeable shares compensate under various forms (cash, bonus shares, warrants) the holders of tradeable...

We examine the equity premium puzzle with the perspective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle. In an RBE agents need to be compensated for the endogenously propagated price uncertainty which is not permitted...

Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...