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Review of Finance
IF
1.94
Papers
885
Papers 731
1 page of 74 pages (731 results)
Newest
Published on Aug 18, 2016
Matthias Efing3
Estimated H-index: 3
(HEC Paris)
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS selection allows banks to increase the return on the capital required for an ABS investment by a factor of four.
Published on Apr 6, 2016
Paige Parker Ouimet10
Estimated H-index: 10
(UNC: University of North Carolina at Chapel Hill),
Geoffrey A. Tate15
Estimated H-index: 15
(NBER: National Bureau of Economic Research)
Using unique data on employee ownership plans sponsored by U.S. public companies, we estimate the effects of the 2008 financial crisis on individual investors’ participation and trading decisions. Consistent with a decreased willingness to take risk, we observe an increase in the average propensity to exercise employee stock options following the crisis, controlling for grant timing and moneyness in addition to time-invariant firm and employee characteristics. However, the results are concentrat...
Published in Review of Finance 1.94
Teodor Dyakov1
Estimated H-index: 1
(VU: VU University Amsterdam),
Hao Jiang6
Estimated H-index: 6
(MSU: Michigan State University),
Marno Verbeek30
Estimated H-index: 30
(EUR: Erasmus University Rotterdam)
Published on Jun 28, 2016
Francesca Brusa1
Estimated H-index: 1
(University of Oxford),
Pavel G. Savor9
Estimated H-index: 9
(TU: Temple University),
Mungo Ivor Wilson9
Estimated H-index: 9
(University of Oxford)
Both U.S. and international stock markets enjoy high returns and Sharpe ratios on days of scheduled FOMC meetings, consistent with global investors demanding a premium to bear risks associated with Federal Reserve decisions. There is no comparable result for other major central banks, whose announcements do not command positive risk premia either globally or, more surprisingly, domestically. Other macroeconomic announcements have impact on local stock markets and, to some extent, even on the U.S...
Published on May 31, 2016in Review of Finance 1.94
Tomislav Ladika3
Estimated H-index: 3
(UvA: University of Amsterdam),
Zacharias Sautner11
Estimated H-index: 11
(Frankfurt School of Finance & Management)
We show that executives with more short-term incentives spend less on long-term investment. We examine a unique event in which hundreds of firms eliminated option vesting periods to avoid an accounting expense under FAS 123-R. This allowed executives to exercise options earlier and to profit from boosting short-term performance. Our identification exploits that FAS 123-R's timing was staggered almost randomly by firms' fiscal year ends. CEOs responded to option acceleration by cutting investment...
Published on Mar 6, 2018in Review of Finance 1.94
Tarvo Vaarmets1
Estimated H-index: 1
(Tallinn University of Technology),
Kristjan Liivamägi2
Estimated H-index: 2
(Tallinn University of Technology),
Tõnn Talpsepp4
Estimated H-index: 4
(Tallinn University of Technology)
The paper assesses how different types of learning affect the disposition effect. We distinguish between “baseline learning abilities”, “learning by doing” and “learning about one’s abilities”, differences in which emerge clearly from our exhaustive NASDAQ OMX Tallinn dataset. We employ survival analysis to show that stronger learning abilities as measured by education level and the type of education lessen the disposition effect. Stronger overall learners also learn faster by trading. We find t...
Published on Jul 14, 2018in Review of Finance 1.94
Marcel Fratzscher44
Estimated H-index: 44
(Humboldt University of Berlin),
Malte Rieth4
Estimated H-index: 4
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of bank bailout...
Published on Jun 13, 2018in Review of Finance 1.94
Stefan Arping9
Estimated H-index: 9
(UvA: University of Amsterdam)
Recent literature suggests that higher capital requirements for banks might lead to a socially costly reduction in deposits or deposit-like liabilities. This paper presents a model of bank capital structure in which the relationship between the required amount of equity in banks and their level of deposit funding is non-monotonic. When bank capital is low, a small rise in capital requirements can, in some cases, cause banks to substitute equity for deposits. However, a sufficiently large increas...
Published on Apr 23, 2019in Review of Finance 1.94
Gustavo Grullon21
Estimated H-index: 21
(Rice University),
Yelena Larkin3
Estimated H-index: 3
(York University),
Roni Michaely36
Estimated H-index: 36
(University of Geneva)
There has been a systematic decline in the number of publicly-traded firms over the last two decades. Half of the U.S. industries lost over 50% of their publicly traded peers. The decline has increased industry concentration, as the void left by public firms has not been filled by an increase in the number of private businesses or by greater presence of foreign firms. Firms in industries with the largest decline in the number of firms have generated higher profit margins and abnormal stock retur...
Published on Jul 14, 2018in Review of Finance 1.94
JackwerthJens Carsten15
Estimated H-index: 15
(University of Konstanz),
Grigory Vilkov8
Estimated H-index: 8
(Frankfurt School of Finance & Management)
We show how to extract the expected risk-neutral correlation between risk-neutral distributions of the market index (S&P 500) return and its expected volatility (VIX). Comparing the implied correlation with its realized counterpart reveals a significant index-to-volatility correlation risk premium. It compensates for the fear of enduring negative market returns and measures a new dimension of conditional risk not covered by other variables such as the variance risk premium or skewness. Incorpora...
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