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This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...
Persistent link: https://www.econbiz.de/10010335985
Persistent link: https://www.econbiz.de/10014336442
I use cointegration techniques to decompose stock market shocks into permanent and transitory shocks, building on the idea that transitory shocks should not have long-run effects on dividends and stock prices. The decomposed shocks improve on existing valuation measures by indicating the extent...
Persistent link: https://www.econbiz.de/10013091956
This paper aims to identify the effect of monetary policy shocks on stock prices through the lens of Mundell and Fleming's “Impossible Trinity” theory. Our identification strategy seeks to solve the simultaneity and omitted variable problems inherent in studies that focus on the effect of...
Persistent link: https://www.econbiz.de/10013092409
stocks with higher ES ratings have significantly higher returns, lower return volatility, and higher operating profit margins …
Persistent link: https://www.econbiz.de/10012836072
We identify the effect of changes in the brand capital on stock market performance. Using hand-collected data on the red carpet outfits during the Academy Awards ceremonies, we find that companies providing outfits to nominees experience a positive stock market performance with respect to a...
Persistent link: https://www.econbiz.de/10012843102
shock). The value is 74 basis points if a supplier experienced a CDS up-jump event. The corresponding three-day CASC values … down-jump event (that is, a favorable credit shock). Such effects do not exist in inactive supply chains. The credit shock … financial linkages between supply chain partners, such as trade credit and large sales exposure, amplify the shock propagation …
Persistent link: https://www.econbiz.de/10012853357
A growing literature shows that credit indicators forecast aggregate real outcomes. While the literature has proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless, model explains empirical findings...
Persistent link: https://www.econbiz.de/10012854419
We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad...
Persistent link: https://www.econbiz.de/10012932444
Since its lethality increases exponentially with age, the early 2020 COVID-19 shock unexpectedly raised the risk of … entrenched CEOs, this systemic shock projected a possible crowding of older CEOs’ successions, with disruption costs dominating …
Persistent link: https://www.econbiz.de/10013223471