As a banking system health indicator and risk premium, the Libor-OIS spread has attracted great interest during recent years. Despite the recent Libor fixing scandal, our study based on five major currencies can still shed insights on the true determinants of the Libor-OIS spreads under...

We show analytically that the cross-sectional relation between idiosyncratic volatility estimated as the variance of the residuals in a single factor model and expected stock return may be represented by a truncated parabola that opens to the left and has horizontal axis. This relation is...