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Financial Economics 1最新文献

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Moral Hazard and Banking Competition 道德风险与银行业竞争
Financial Economics 1 Pub Date : 2012-07-20 DOI: 10.2139/ssrn.2132854
Kyoo-Hong Kim, Young-jin Kim
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引用次数: 0
Financial Contagion and the Real Economy 金融传染与实体经济
Financial Economics 1 Pub Date : 2010-05-01 DOI: 10.2139/ssrn.1660316
D. Baur
{"title":"Financial Contagion and the Real Economy","authors":"D. Baur","doi":"10.2139/ssrn.1660316","DOIUrl":"https://doi.org/10.2139/ssrn.1660316","url":null,"abstract":"This paper studies the spread of the Global Financial Crisis of 2007–2009 from the financial sector to the real economy by examining ten sectors in 25 major developed and emerging stock markets. The analysis tests different channels of financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among financial sector stocks across countries and between financial sector stocks and real economy stocks. The results demonstrate that no country and sector was immune to the adverse effects of the crisis limiting the effectiveness of portfolio diversification. However, there is clear evidence that some sectors in particular Healthcare, Telecommunications and Technology were less severely affected by the crisis.","PeriodicalId":206798,"journal":{"name":"Financial Economics 1","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130428866","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: 288
Incomplete Information, Idiosyncratic Volatility and Stock Returns 不完全信息、特殊波动率与股票收益
Financial Economics 1 Pub Date : 2009-03-17 DOI: 10.2139/ssrn.1361485
T. Berrada, J. Hugonnier
{"title":"Incomplete Information, Idiosyncratic Volatility and Stock Returns","authors":"T. Berrada, J. Hugonnier","doi":"10.2139/ssrn.1361485","DOIUrl":"https://doi.org/10.2139/ssrn.1361485","url":null,"abstract":"We develop a q-theoretic model of investment under incomplete information that explains the link between idiosyncratic volatility and stock returns. When calibrated to match properties of the US business cycles as well as various firms and industry characteristics, the model generates a negative relation between idiosyncratic volatility and stock returns. We show that conditional on earning surprises, the link is positive after good news and negative after bad news. This result provides new insights on the nature of stock return predictability.","PeriodicalId":206798,"journal":{"name":"Financial Economics 1","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116349536","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: 34
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