发布求助
文献互助 智能选刊 最新文献

Econometric Modeling: Capital Markets - Risk eJournal最新文献

筛选
英文 中文
Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time 流行病期间的实时总体和公司级股票回报
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-03-25 DOI: 10.2139/ssrn.3562034
Laura Alfaro, Anusha Chari, Andrew Greenland, Peter K. Schott
{"title":"Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time","authors":"Laura Alfaro, Anusha Chari, Andrew Greenland, Peter K. Schott","doi":"10.2139/ssrn.3562034","DOIUrl":"https://doi.org/10.2139/ssrn.3562034","url":null,"abstract":"We show that unexpected changes in the trajectory of COVID-19 infections predict US stock returns, in real time. Parameter estimates indicate that an unanticipated doubling (halving) of projected infections forecasts next-day decreases (increases) in aggregate US market value of 4 to 11 percent, indicating that equity markets may begin to rebound even as infections continue to rise, if the trajectory of the disease becomes less severe than initially anticipated. Using the same variation in unanticipated projected cases, we find that COVID-19-related losses in market value at the firm level rise with capital intensity and leverage, and are deeper in industries more conducive to disease transmission. These relationships provide important insight into current record job losses. Measuring US states' drops in market value as the employment weighted average declines of the industries they produce, we find that states with milder drops in market value exhibit larger initial jobless claims per worker. This initially counter-intuitive result suggests that investors value the relative ease with which labor versus capital costs can be shed as revenues decline.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91198059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 388
How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model 违约前的金融危机成本有多大?来自动态模型的估计
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-27 DOI: 10.2139/ssrn.3553063
Redouane Elkamhi, M. Salerno
{"title":"How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model","authors":"Redouane Elkamhi, M. Salerno","doi":"10.2139/ssrn.3553063","DOIUrl":"https://doi.org/10.2139/ssrn.3553063","url":null,"abstract":"We estimate the costs of financial distress prior to default (pre-default costs) separately from the loss incurred at default (the loss given default) using a dynamic trade-off model of capital structure. We document that pre-default costs are on average equal to 6.5% of firm value per year. We show that pre-default costs account for a large fraction of total distress costs, approximately 68.5%. Last, we show that the expected pre-default costs of financial distress vary significantly across industries with a range between 3.75% and 8.75%, and are higher for firms with highly tangible assets.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88239112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The X-Value Factor x值因子
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-19 DOI: 10.2139/ssrn.3540903
Thiago de Oliveira Souza
{"title":"The X-Value Factor","authors":"Thiago de Oliveira Souza","doi":"10.2139/ssrn.3540903","DOIUrl":"https://doi.org/10.2139/ssrn.3540903","url":null,"abstract":"Value normalizes size by book equity, which is a (relatively bad) proxy for expected cash flows. X-value normalizes size by the recursive out-of-sample expectation of each firm’s net income, based on its financials, with coefficients estimated by industry. Unlike value (but similarly constructed), the resulting X-value factor is unspanned by the Fama/French factors – market, size, value, investment, and profitability – individually or in different combinations (each factor and the market; all factors together; all except value). X-value spans the value and investment premiums with a Sharpe ratio of 0.57 (compared to 0.39 for value).","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78269986","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interest and Credit Risk Management in German Banks: Evidence From a Quantitative Survey 德国银行的利率和信用风险管理:来自定量调查的证据
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-18 DOI: 10.2139/ssrn.3540397
Vanessa Drager, Lotta Heckmann-Draisbach, Christoph Memmel
{"title":"Interest and Credit Risk Management in German Banks: Evidence From a Quantitative Survey","authors":"Vanessa Drager, Lotta Heckmann-Draisbach, Christoph Memmel","doi":"10.2139/ssrn.3540397","DOIUrl":"https://doi.org/10.2139/ssrn.3540397","url":null,"abstract":"Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of banks' bond portfolios are much larger than the reductions in their net interest income, that banks attenuate the resulting write-downs by liquidating hidden reserves and that banks which use interest derivatives have lower impairments in their bond portfolios. In addition, we find that banks' exposures to interest rate risk and to credit risk are remunerated, that banks' try to stabilize the mid-term net interest margin with exposure to interest rate risk and that they act as if they have a risk budget which they allocate either to interest rate risk or credit risk.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78999590","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Dynamic Portfolio Management and Market Anomalies (Presentation Slides) 动态投资组合管理与市场异常(演示幻灯片)
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-11 DOI: 10.2139/ssrn.3536593
Mikhail Smirnov
{"title":"Dynamic Portfolio Management and Market Anomalies (Presentation Slides)","authors":"Mikhail Smirnov","doi":"10.2139/ssrn.3536593","DOIUrl":"https://doi.org/10.2139/ssrn.3536593","url":null,"abstract":"We discuss performance of some known market anomalies like equal-weighted index, low volatility stock index, factor anomalies of Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz. We suggest the utilization of these anomalies through dynamic risk allocation in portfolios based on these anomalies creating desired final fund value distribution. We introduce the notion of Dynamic Leverage as a VAR extending risk measure taking into account the investment time horizon. We introduce a modification of Black-Jones-Perold portfolio insurance. For an investment fund with dynamically controlled risk exposure and certain risk inertia, we demonstrate the existence of a critical NAV level below which the efficacy of de-leveraging is compromised.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75031245","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk 超越普通股:次级资本对银行破产风险的影响
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-10 DOI: 10.2139/ssrn.3175598
T. Conlon, J. Cotter, P. Molyneux
{"title":"Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk","authors":"T. Conlon, J. Cotter, P. Molyneux","doi":"10.2139/ssrn.3175598","DOIUrl":"https://doi.org/10.2139/ssrn.3175598","url":null,"abstract":"Banks must adhere to strict rules regarding the quantity of regulatory capital held but have some flexibility as to its composition. In this paper, we examine if bank insolvency (distance to default) is sensitive to capital other than common equity for a sample of listed North American and European banks. Decomposing tier 1 capital into tangible equity and non-core components reveals a series of heretofore unidentified non-linear links with insolvency risk. We assess the influence of binding capital requirements, finding that low regulatory capital buffers are associated with increased insolvency risk for banks holding greater quantities of non-core tier 1 and tier 2 capital. The links between insolvency and capital, evident when the latter is denominated relative to tangible assets or total regulatory capital, are found to be expunged when defined relative to risk-weighted assets.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78145381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
Bond Risk Premia with Machine Learning 基于机器学习的债券风险溢价
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-07 DOI: 10.2139/ssrn.3232721
Daniele Bianchi, M. Büchner, A. Tamoni
{"title":"Bond Risk Premia with Machine Learning","authors":"Daniele Bianchi, M. Büchner, A. Tamoni","doi":"10.2139/ssrn.3232721","DOIUrl":"https://doi.org/10.2139/ssrn.3232721","url":null,"abstract":"We show that machine learning methods, in particular extreme trees and neural networks (NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate into economic gains that are larger than those obtained using yields alone. Interestingly, the nature of unspanned factors changes along the yield curve: stock and labor market related variables are more relevant for short-term maturities, whereas output and income variables matter more for longer maturities. Finally, NN forecasts correlate with proxies for time-varying risk aversion and uncertainty, lending support to models featuring both of these channels.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88094619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 63
Exchange Rate Volatility: An Asymmetric Tale from Mozambique 汇率波动:来自莫桑比克的不对称故事
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-06 DOI: 10.2139/ssrn.3533063
A. Mulenga, M. Faias, P. Mota, J. Pina
{"title":"Exchange Rate Volatility: An Asymmetric Tale from Mozambique","authors":"A. Mulenga, M. Faias, P. Mota, J. Pina","doi":"10.2139/ssrn.3533063","DOIUrl":"https://doi.org/10.2139/ssrn.3533063","url":null,"abstract":"This paper inspects how risk is affected by news sign and size within – depreciation, appreciation, stability – distinct exchange rate trends, and by volatility model choice, taking on various asymmetric Generalized Autoregressive Conditional Heteroskedasticity models to daily Mozambique New Metical against South Africa Rand, MZN/ZAR, exchange rate over January 2010 - December 2014. Our results show that risk measurement and asymmetry of shocks to volatility depend on exchange rate trend, being that estimating the full sample conceals the actual behaviour, and model choice, specifically the degree of nonlinearity and persistence. In particular, we find that when positive/negative news type matches the sign of the exchange rate trend, risk increases by more. Interestingly, this means that in times of appreciation the good news turns out to be bad, likely because they raise the fear of overvaluation, under monitoring in natural resource producers and exporting countries. The findings contribute to the growing concern on nonlinear economic policy design, exchange rate targeting and surely international trade and investment decisions, where an incorrect assessment exchange rate risk and asymmetry may lead to mispricing of assets, namely options, and eventual underestimation of measures, as Value at Risk, relevant for Basel agreement.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82951476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Industrial Tail Exposure Risk and Cross-Section of Returns in REIT Market 产业尾暴露风险与房地产投资信托基金市场收益横截面
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-02 DOI: 10.2139/ssrn.3528950
K. Liow, J. Song
{"title":"Industrial Tail Exposure Risk and Cross-Section of Returns in REIT Market","authors":"K. Liow, J. Song","doi":"10.2139/ssrn.3528950","DOIUrl":"https://doi.org/10.2139/ssrn.3528950","url":null,"abstract":"We examine whether systematic tail risk premium exists in the cross-section of real estate investment trusts. Using US equity REITs data from 1993 to 2018, we obtain systematic tail risk of REITs by estimating their industrial tail exposure risk (ITER) based on extreme value theory. We find that REITs in highest ITER decile outperforms REITs in lowest ITER decile by 11.5% per annum. The impact of ITER remains significant after controlling for well-kwon firm and return factors. The positive return premium is not explained by traditional systematic tail risk based on left-tail market return. Thus, our results suggest that REITs investors are averse to crash events, especially associated with multiple industries rather than aggregate market alone.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84945044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Exchange Rates and Political Uncertainty: The Brexit Case 汇率与政治不确定性:英国脱欧案例
Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-02-01 DOI: 10.2139/ssrn.3531642
P. Manasse, Graziano Moramarco, G. Trigilia
{"title":"Exchange Rates and Political Uncertainty: The Brexit Case","authors":"P. Manasse, Graziano Moramarco, G. Trigilia","doi":"10.2139/ssrn.3531642","DOIUrl":"https://doi.org/10.2139/ssrn.3531642","url":null,"abstract":"This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both exchange rate expectations and a time-varying political risk factor can be measured directly. We build a simple portfolio model which predicts that an increase in the Leave probability triggers a depreciation of the British Pound, both on account of exchange rate expectations and of political risk. We estimate the model for multilateral and bilateral British Pound exchange rates. The results confirm the model’s main implications. When we extend the analysis to a portfolio model of multiple currencies, we find that the cross-currencies restrictions implied by the theory are not rejected by our system estimation. Moreover, the joint estimates of the multi-currency model in the presence of time-varying political risk premium are in many cases consistent with the Uncovered Interest Parity.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87724313","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信