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Inter-industry contagion and the competitive effects of financial distress announcements: evidence from commercial banks and life insurance companies

Elijah Brewer, III; William E. Jackson, III - Federal Reserve Bank of Chicago - 2002

Contagion usually refers to the spillover of the effects of shocks from one or more firms to other firms. Most studies of contagion limit their analysis to how shock affect firms in the same industry, or "intra-industry" contagion. The purpose of this paper is to explore and document the likely...

Persistent link: https://www.econbiz.de/10005419883

The pitfalls in inferring risk from financial market data

Bliss, Robert R. - Federal Reserve Bank of Chicago - 2000

This paper examines two qualitative rules of thumb, frequently invoked in discussions of bank regulatory policy. The first, that equity holders prefer more risk to less, derives from a result in option pricing theory, that an option's value increases monotonically with the riskiness of the...

Persistent link: https://www.econbiz.de/10005419915

Testing the stability of implied probability density functions

Bliss, Robert R.; Panigirtzoglou, Nikolaos - Federal Reserve Bank of Chicago - 1999

Implied probability density functions (PDFs) estimated from cross-sections of observed options prices are gaining increasing attention amongst academics and practitioners. However, to date little attention has been paid to the robustness of these estimates or to the confidence users can place in...

Persistent link: https://www.econbiz.de/10005419930

When is inter-transaction time informative?

Furfine, Craig - Federal Reserve Bank of Chicago - 2003

We investigate the information content of inter-transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude … of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general …

Persistent link: https://www.econbiz.de/10005419964

Decomposing the U.S. external returns differential

Curcuru, Stephanie; Dvorak, Tomas; Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10008615669

Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis

Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2009

In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lévy alpha-stable jumps. To be able to...

Persistent link: https://www.econbiz.de/10008616968

Bank capital and stock returns during the financial crisis

Demirguc-Kunt, Asli; Detragiache, Enrica - Federal Reserve Bank of Chicago - 2011

Persistent link: https://www.econbiz.de/10010723812

Consequences of going private buyouts for public debt and preferred stock: 1974-1985

Marais, Laurentius; Schipper, Katherine; Smith, Abbie - Federal Reserve Bank of Chicago - 1989

Persistent link: https://www.econbiz.de/10010724116

Asset market linkages in crisis periods

Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - Federal Reserve Bank of Chicago - 2001

Persistent link: https://www.econbiz.de/10010724588

From the horse’s mouth: how do investor expectations of risk and return vary with economic conditions?

Amromin, Gene; Sharpe, Steven - Federal Reserve Bank of Chicago - 2012

. Moreover, analysis of the micro data indicates that expectations of both risk and returns on stocks are strongly influenced by … expected returns on stocks rise during recessions to compensate household investors for increased exposure or sensitivity to …

Persistent link: https://www.econbiz.de/10010593675