Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States (in Finland), this paper shows that individual investors with longer holding periods choose to hold less liquid stocks in their portfolios, consistent with Amihud and Mendelson's (1986) theory of...

This paper examines the association between the default risk of foreign bank subsidiaries and their parents during the global financial crisis, with the purpose of understanding what factors can help insulate affiliates from their parents. The paper finds evidence of a significant positive...

Investors' holding periods determine how transaction costs are amortized and priced as liquidity premium in asset returns. Using a dataset containing two million trades made by over 66,000 households, this paper shows that transaction costs are an important determinant of investors' holding...

We document value and momentum across thirteen well-known stock market anomalies. We find anomalies that have performed well in the past month continue to outperform those that have performed poorly by about 60bp per month. These results hold for both relative momentum and absolute momentum...

This paper examines changes in bank capital and capital regulations since the global financial crisis, in the Europe and Central Asia region. It shows that banks in Europe and Central Asia are better capitalized, as measured by regulatory capital ratios, than they were prior to the crisis....

Stocks, like houses, cars, watches and most other products exude affect, good or bad, beautiful or ugly, admired or despised. Affect plays a role in pricing models of houses, cars and watches but, according to standard financial theory, affect plays no role in pricing of financial assets. We...

Do stocks of admired companies yield admirable returns? We study Fortune magazine's annual list of quot;America's Most Admired Companiesquot; and find that stocks of admired companies had lower returns, on average, than stocks of despised companies during the 23 years from April 1983 through...

Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States (in Finland), this paper shows that individual investors with longer holding periods choose to hold less liquid stocks in their portfolios, consistent with Amihud and Mendelson's (1986) theory of...

We find that shareholder-friendly corporate governance is associated with higher stand-alone and systemic risk in the banking sector. Specifically, shareholderfriendly corporate governance results in higher risk for larger banks and for banks that are located in countries with generous financial...

This paper examines how corporate governance and executive compensation affect bank capitalization strategies for an international sample of banks over the 2003-2011 period. ‘Good' corporate governance, which favors shareholder interests, is found to give rise to lower bank capitalization....