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Life Insurer Cost of Equity with Asymmetric Risk Factors
Bajtelsmit, Vickie L. - 2014
Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market …, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for … firm characteristics and other measures of risk. Cross-sectional regression analysis finds a positive (negative) premium …
Persistent link: https://www.econbiz.de/10013058533
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Life Insurer Cost of Equity with Asymmetric Risk Factors
Bajtelsmit, Vickie L. - 2015
downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk … larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross …
Persistent link: https://www.econbiz.de/10013024199
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Information risk, stock returns, and the cost of capital in China
Safdar, Raheel; Chen, Yan - In: China finance review international 6 (2016) 1, pp. 77-95
Persistent link: https://www.econbiz.de/10011722598
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Information risk, stock returns, and asset pricing : evidence from China
Safdar, Raheel; Chen, Yan - In: Accounting research journal 30 (2017) 4, pp. 379-394
Persistent link: https://www.econbiz.de/10011813072
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Credit Default Swaps and the Cost of Capital
Bhabra, Harjeet - 2020
This study uses the universe of US public firms to examine the impact of credit default swap (CDS) trading on a firm's cost of capital during the period 2001–2018. Our results robustly show that the inception of CDSs causes a significant reduction in a firm's weighted average cost of capital...
Persistent link: https://www.econbiz.de/10012838205
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Risk pricing inefficiency in public-private partnerships
Makovšek, Dejan; Moszoro, Marian - In: Transport reviews : TR 38 (2018) 3, pp. 298-321
Persistent link: https://www.econbiz.de/10011866246
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How an idiosyncratic (zero-beta) risk can greatly increase the firm's cost of capital
Grant, Andrew; Johnstone, David; Kwon, Oh Kang - In: Australian journal of management 47 (2022) 4, pp. 664-685
Persistent link: https://www.econbiz.de/10013396310
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Information asymmetry and the pricing of privately placed debt
Dinkelaker, Kilian R.; Mattig, Andreas; Morkoetter, Stefan - 2021
Based on a dataset including 11,636 private debt placements issued globally between 1999 and 2016, we investigate the association between borrower-lender information asymmetry and the cost of debt for issuers. We observe that information asymmetry due to being a private or unrated firm is...
Persistent link: https://www.econbiz.de/10012426896
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Disclosure and the cost of Capital : a survey of the theoretical literature
Bertomeu, Jeremy; Cheynel, Edwige - In: Abacus : a journal of accounting, finance and business … 52 (2016) 2, pp. 221-258
Persistent link: https://www.econbiz.de/10011593244
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The Marginal Cost of Risk, Risk Measures, and Capital Allocation
Bauer, Daniel - 2013
The Euler (or gradient) allocation technique defines a financial institution's marginal cost of a risk exposure via … calculation of the gradient of a risk measure evaluated at the institution's current portfolio position. The technique, however …, relies on an arbitrary selection of a risk measure. We reverse the sequence of this approach by calculating the marginal …
Persistent link: https://www.econbiz.de/10013093698