搜索结果: 1-15 共查到“理论经济学 leverage”相关记录16条 . 查询时间(0.109 秒)
We present new stylized facts on bank and rm leverage during the period 2000{2009 using
internationally comparable micro level data from many countries. We document the following
patterns: a) there...
Leverage Asset Pricing
return predictability cross sectional asset pricing financial intermediation macrofinance
2014/3/18
We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses det...
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned ...
We explore the extent to which Önancial conditions áuctuate due to áuctuations in leverage, and thereby connect the recent literature on banking crises with the ìleverage e§ectîof Fisher Bla...
The fractional volatility model: No-arbitrage, leverage and completeness
Fractional noise Arbitrage Incomplete market
2012/6/4
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation criticality of leverage Risk Management
2012/4/28
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling a...
The availability of credit varies over the business cycle through shifts in the
leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned...
We explore the extent to which Önancial conditions áuctuate due
to áuctuations in leverage, and thereby connect the recent literature
on banking crises with the ìleverage e§ectîof Fisher B...
Do Firms Target Credit Ratings or Leverage Levels?
Firms reduce leverage credit rating downgrades net equity assets compared Rating upgrades
2011/9/2
Firms reduce leverage following credit rating downgrades. In the year following a downgrade, downgraded firms issue approximately 1.5%--2.0% less net debt relative to net equity as a percentage of ass...
The article presents a translation of some widespread financial terminology into the language of decision theory. For instance, financial leverage can be regarded as an object of choice or a decision....
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
Optimal leverage from non-ergodicity
Portfolio selection ergodicity leverage log-utility Kelly criterion
2010/10/29
In modern portfolio theory, the balancing of expected returns on investments against uncer-
tainties in those returns is aided by the use of utility functions. The Kelly criterion o ers
another appr...
Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
gain/loss asymmetry leverage effect EGARCH retarded volatility model
2010/11/3
Previous research has shown that for stock indices, the most likely time until a return of a
particular size has been observed is longer for gains than for losses. We establish that this so-called ga...
Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Leverage volatility feedback effects
2010/10/29
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston
(1993) stochastic volatility model. In order to obtain these cross-covariances the authors
use an incorrect ...
Leverage Causes Fat Tails and Clustered Volatility
systemic risk clustered volatility fat tails crash margin calls leverage
2010/11/2
We build a simple model of leveraged asset purchases with margin calls.Investment funds use what is perhaps the most basic nancial strategy,called \value investing", i.e. systematically attempting to...