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Arbitraging the Basel Securitization Framework : evidence from German ABS investment

Efing, Matthias - 2014

yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …

Persistent link: https://www.econbiz.de/10011293796

An empirical assessment of fintechs heterogeneous transmission channels to financial development among African economies

Okoli, Tochukwu Timothy; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-18

The poor use of innovations for financial service delivery among African banks has limited the extent of financial development in the continent. Consequently, financial authorities seeks for a technology-enabled financial solution; an area not well covered in literature. This study therefore,...

Persistent link: https://www.econbiz.de/10013179597

Collateral, central bank repos, and systemic arbitrage

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg; … - 2016

arbitrage whereby banks funnel credit risk and low-quality collateral to the central bank. Weaker banks use lower quality …

Persistent link: https://www.econbiz.de/10011620060

The perils of performance measurement in the German mutual-fund industry

Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013

misleading inferences about mutual fund performance …

Persistent link: https://www.econbiz.de/10009751161

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...

Persistent link: https://www.econbiz.de/10011506354

Real estate performance, the macroeconomy and leverage

Delfim, Jean-Christophe; Hoesli, Martin - 2019

performance of the various types of real estate exposure (direct, non-listed, and listed). The response of core funds to economic … risk factors is akin to that of direct investments; however, real estate fund and direct investment performance are less … tightly related as more aggressive (i.e., value-added and opportunistic) strategies are envisaged. Only REIT performance is …

Persistent link: https://www.econbiz.de/10012052154

Liquidity-adjusted CAPM : an empirical analysis on Indian stock market

Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets....

Persistent link: https://www.econbiz.de/10012023356

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

Persistent link: https://www.econbiz.de/10012023365

Cross-sectional and time-series tests of return predictability : what is the difference?

Goyal, Amit; Jegadeesh, Narasimhan - 2015

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS …

Persistent link: https://www.econbiz.de/10011296939