1 - 5 of 5 articles
Abstract Hedge funds that endorse the United Nations Principles for Responsible Investment (PRI) underperform other hedge funds after adjusting for risk but attract greater investor flows, accumulate more assets, and harvest greater fee revenues. Consistent with an agency explanation, the...
Abstract We test whether measures of influence on regulators affect stress test outcomes. The large trading banks—those most plausibly ‘Too Big to Fail’ – face the toughest tests. Supervisory stress tests have a greater effect on large trading banks’ portfolios; the large banks respond by making...
Abstract This paper provides a comprehensive history of default risk for newly originated home mortgages in the United States over the past quarter century. The loan-level source data include the GSEs’ entire guarantee book. We track many loan characteristics and produce a summary measure of...
Abstract We study the effects of time-varying volatility and investment horizon on the economic significance of stock market return predictability from the perspective of Bayesian investors. Using a vector autoregression framework with stochastic volatility in market returns and predictor...
Abstract What drives short-term credit spreads: credit risk, liquidity risk, or both? We investigate this issue using the structural approach to credit risk modeling and a novel data set of secondary market transaction prices for Chinese commercial papers. In particular, we propose and test a...
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.