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An empirical analysis for the perceptions of Amman stock exchange's investors

Ali, Mohammad Sami - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 1, pp. 125-135

Research problem: Although the economy of Jordan witnessed dramatic volatilities and fundamental variables including market-to-book value ratio and interest rate are located at the middle of these variations; there is a lack in literature regarding the impacts of market fundamentals and...

Persistent link: https://www.econbiz.de/10012221927

Equity is cheap for large financial institutions : the international evidence

Gandhi, Priyank; Lustig, Hanno; Plazzi, Alberto - 2016 - This version: June 11, 2016

In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...

Persistent link: https://www.econbiz.de/10011515871

The Impact of Government Interventions on CDS and Equity Markets

Schweikhard, Frederic A. - 2012

We question the impact of government guarantees on the pricing of default risk in credit and stock markets and, using a Merton-type credit model, provide evidence of a structural break in the valuation of U.S. bank debt in the course of the 2007-2009 financial crisis, manifesting in a lowered...

Persistent link: https://www.econbiz.de/10013113869

The euro interbank repo market

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...

Persistent link: https://www.econbiz.de/10010410308

LIBOR : origins, economics, crisis, scandal, and reform

Hou, David; Skeie, David - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....

Persistent link: https://www.econbiz.de/10010393220

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

Persistent link: https://www.econbiz.de/10011596544

Is size everything?

Antill, Samuel; Sarkar, Asani - 2018

We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...

Persistent link: https://www.econbiz.de/10011894404

Analysing rational bubbles in African stock markets : evidence from econophysics frequency domain estimates and DCC MGARCH model

Lawal, Adedoyin Isola; Oseni, Ezeikel; Ahmed, Adel; … - In: Economies : open access journal 12 (2024) 8, pp. 1-22

diverse beliefs, strategies, and knowledge. This study examines the validity of rational bubbles in stock market prices … indicate that these markets experienced bubbles at various points, often followed by bursts. These bubbles coincided with … contributed to the occurrence of bubbles. Three key policy options are proposed to address bubbles in the studied markets …

Persistent link: https://www.econbiz.de/10015071029

CDS and equity market reactions to stock issuances in the U.S. financial industry : evidence from the 2002-13 period

Cornett, Marcia Millon; Mehran, Hamid; Pan, Kevin; … - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010423809

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - 2010

Persistent link: https://www.econbiz.de/10011506710