搜索结果: 1-10 共查到“货币银行学 Leverage”相关记录10条 . 查询时间(0.078 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 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...
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...