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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Margin Regulation and Volatility
Brumm, Johannes - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10013051665
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Institutional ownership, analyst following, and share prices
Fernando, Chitru S.; Gatchev, Vladimir A.; Spindt, Paul A. - In: Journal of Banking & Finance 36 (2012) 8, pp. 2175-2189
We study the mutual relationships between institutional ownership, analyst following and share prices. We show that the pressure on firms to set lower share prices to attract analysts is attenuated by institutional monitoring. Our theory refutes the assumed causal relation between share price...
Persistent link: https://www.econbiz.de/10010599641
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Downside risk of international stock returns
Galsband, Victoria - In: Journal of Banking & Finance 36 (2012) 8, pp. 2379-2388
This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975–2010, we find that differences in returns on value and growth portfolios can be rationalized by assets’ reagibilities to market’s...
Persistent link: https://www.econbiz.de/10010599654
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State uncertainty in stock markets: How big is the impact on the cost of equity?
Han, Yufeng - In: Journal of Banking & Finance 36 (2012) 9, pp. 2575-2592
-independent pricing model overestimates the cost of equity by about 4% per annum for a utility firm and by as much as 3% for industries …. We also observe that the expected return, volatility, risk loading, and pricing error all display state …
Persistent link: https://www.econbiz.de/10010599657
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Does the choice of estimator matter when forecasting returns?
Westerlund, Joakim; Narayan, Paresh Kumar - In: Journal of Banking & Finance 36 (2012) 9, pp. 2632-2640
While the literature concerned with the predictability of stock returns is huge, surprisingly little is known when it comes to role of the choice of estimator of the predictive regression. Ideally, the choice of estimator should be rooted in the salient features of the data. In case of...
Persistent link: https://www.econbiz.de/10010599658
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What explains the investment growth anomaly?
Prombutr, Wikrom; Phengpis, Chanwit; Zhang, Ying - In: Journal of Banking & Finance 36 (2012) 9, pp. 2532-2542
We examine if an existing asset pricing model in an unconditional or conditional setting can explain the investment …
Persistent link: https://www.econbiz.de/10010599661
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Are corporate bond market returns predictable?
Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of Banking & Finance 36 (2012) 8, pp. 2216-2232
This paper examines the predictability of corporate bond returns using the transaction-based index data for the period from October 1, 2002 to December 31, 2010. We find evidence of significant serial and cross-serial dependence in daily investment-grade and high-yield bond returns. The serial...
Persistent link: https://www.econbiz.de/10010599662
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Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
Chiu, Junmao; Chung, Huimin; Ho, Keng-Yu; Wang, George H.K. - In: Journal of Banking & Finance 36 (2012) 9, pp. 2660-2671
Using index and financial exchange-traded funds (ETFs), this study explores the relation between funding liquidity and equity liquidity during the subprime crisis period. Our empirical results show that a higher degree of funding illiquidity leads to an increase in bid–ask spread and a...
Persistent link: https://www.econbiz.de/10010599667
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Option trading: Information or differences of opinion?
Choy, Siu Kai; Wei, Jason - In: Journal of Banking & Finance 36 (2012) 8, pp. 2299-2322
This paper investigates the motive of option trading. We show that option trading is mostly driven by differences of opinion, a finding different from the current literature that attempts to attribute option trading to information asymmetry. Our conclusion is based on three pieces of empirical...
Persistent link: https://www.econbiz.de/10010599668