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Intermediary leverage shocks and funding conditions

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2025

Persistent link: https://www.econbiz.de/10015399759

Fontaine, Jean-Sébastien; Garcia, René - In: Review of Financial Studies 25 (2012) 4, pp. 1207-1254

Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in...

Persistent link: https://www.econbiz.de/10010534985

The long and the short of the risk-return trade-off

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: Journal of econometrics 187 (2015) 2, pp. 580-592

Persistent link: https://www.econbiz.de/10011499780

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

Persistent link: https://www.econbiz.de/10011987504

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417

Persistent link: https://www.econbiz.de/10011987520

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412

Persistent link: https://www.econbiz.de/10011987533

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Economic implications of nonlinear pricing kernels

Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380

Persistent link: https://www.econbiz.de/10011760496