Showing 1 - 10 of 88
Persistent link: https://www.econbiz.de/10011440918
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...
Persistent link: https://www.econbiz.de/10011410520
Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities...
Persistent link: https://www.econbiz.de/10013068437
Persistent link: https://www.econbiz.de/10001434313
Persistent link: https://www.econbiz.de/10001968359
"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of their loadings. The learning process involved in forming these beliefs has normative implications for asset-pricing tests. This paper develops an equilibrium model of learning...
Persistent link: https://www.econbiz.de/10002521758
The macro risk premium measures the threshold return for real activity that receives funding from savers. We base our argument in this paper on the relationship between the macro risk premium and the growth of financial intermediaries’ balance sheets. The spare capacity of their balance sheets...
Persistent link: https://www.econbiz.de/10014198398
We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic risks as measured by output, credit, and inflation...
Persistent link: https://www.econbiz.de/10012968499
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being under distress and the...
Persistent link: https://www.econbiz.de/10013119814
Shadow banks conduct credit intermediation without direct, explicit access to public sources of liquidity and credit guarantees. Shadow banks contributed to the credit boom in the early 2000s and collapsed during the financial crisis of 2007–2009. We review the quickly growing literature on...
Persistent link: https://www.econbiz.de/10013098418