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نتیجه جستجو - سیالیت

تعداد مقالات یافته شده: 9
ردیف عنوان نوع
1 Carry
حمل-2018
We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security’s expected return is decomposed into its “carry,” an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from these asset classes, and it captures many of these predictors, providing a unifying framework for return predictability. We reject a generalized version of Uncovered Interest Parity and the Expectations Hypothesis in favor of models with varying risk premia, in which carry strategies are commonly exposed to global recession, liquidity, and volatility risks, though none fully explains carry’s premium.
keywords: Carry trade |Predictability |Stocks |Bonds |Currencies |Commodities |Corporate Bonds |Options |Liquidity risk |Volatility risk
مقاله انگلیسی
2 Liquidity risk and maturity management over the credit cycle
خطر سیالیت و مدیریت سررسید در چرخه اعتبار-2018
We show that firm demand-side factors are strong drivers of procyclical refinancing behavior over the credit cycle using novel data from the Shared National Credit program. Firms are more likely to refinance early when credit conditions are good to keep the effective maturity of their loans long and hedge against having to refinance in tight credit conditions. High credit quality firms are better able to hedge, making their refinancing propensity more sensitive to credit cycles than less creditworthy firms. There is a strong relationship between refinancing a loan, and subsequent growth in capital expenditure, especially when a loan is refinanced early.
keywords: Liquidity risk |Maturity management |Loan refinancing
مقاله انگلیسی
3 Effects of government bailouts on mortgage modification
تاثیرات فرار دولت روی اصلاح رهن گذاری-2018
This paper shows how liquidity infusions affect loan modification in the mortgage market. The design of pooling and servicing agreements leads mortgage servicers to prefer foreclosure over modification when they are liquidity constrained. Therefore, a positive liquidity shock is expected to boost modification rates. Using a residential mortgage dataset that includes loan-level information, we find that the Troubled Asset Relief Program significantly increased the modification rate. Our findings help us better understand the economic consequences of government intervention and have important policy implications for the renegotiation of distressed mortgages.
keywords: Mortgage modification |Financial crisis |TARP |Government intervention |Liquidity
مقاله انگلیسی
4 Pricing convertible bonds
قیمت گذاری ضمانت های قابل تبدیل-2018
Convertible bonds are an important segment of the corporate bond market although their pricing is compromised by the presence of complex option features and difficulty in measuring the risk factors needed as inputs to standard valuation models. Using a unique sample of pure U.S. convertible bonds, devoid of other optionality, we show that underpricing is affected mainly by the degree of underlying asset volatility and liquidity. Convertible bonds with a greater debt component (more credit sensitive), longer time to maturity and lower quality credit ratings are also found to be more underpriced. The global financial crisis (GFC) is an episode with high-underlying asset volatility and one subject to short-selling constraints. During this period there was deep convertible bond discounting, which highlights the importance of market conditions and the temporal, rather than systematic, nature of the pricing errors.
keywords: Convertible bonds |Global financial crisis |Pricing |Stochastic volatility |Real-time trade prices |Liquidity
مقاله انگلیسی
5 Bank liquidity creation and recessions
ایجاد سیالیت بانکی و رکودها-2018
We investigate the relationship between bank liquidity creation and recessions in the U.S. For the 1984–2010 sample, we find that (i) lower bank on-balance sheet liquidity creation signals recessions four quarters into the future; (ii) off-balance sheet liquidity creation is not a robust predictor of recessions at longer forecast horizons; (iii) off-balance sheet liquidity creation falls in tandem with on-balance sheet liquidity creation one quarter prior to recessions, and aggregate, on- and off-balance sheet bank liquidity creation continue to decline during and up to five quarters after recessions; and (iv) liquidity creation of larger banks contains more information about future recessions than that of smaller ones.
keywords: Treasury yield curve |Bank liquidity creation |Recessions |Financial stability |Monetary Policy
مقاله انگلیسی
6 مشابهت کیفی و حرکت موازی قیمت سهام
سال انتشار: 2018 - تعداد صفحات فایل pdf انگلیسی: 21 - تعداد صفحات فایل doc فارسی: 62
من یک روشی برای سنجش مشابهت کیفی اطلاعات مختص شرکت برمبنای اشتراک زبانی، در نشریه اینترنتی معرفی می کنم. من نشان می دهم که این سنجه جدید مشابهت کیفی، وابستگی آتی بازگشت بین شرکتی را حتی پس از گزارش حرکت موازی قیمت کنونی همتا، مشترکا" درمعرض خطر سیستماتیک قرار گرفتن، سیالیت شرکت، قیمت، عضویت شاخص، حجم متن، مکان شعبات، مشابهت محصول، صندوق مشترک و دوطرفه برای خرید سهام یا مالکیت نهادی، تبعیت از تحلیلگر مشترک و ذکر نام مشترک در نشریه اینترنتی پیش بینی می کند. من همچنین نشان می دهم که محتوای صرفا" تولید شده توسط روزنامه نگارها نمی تواند یک مفهومِ ازنظر اقتصادی معنادار برای حرکت موازی را پیش بینی کند. آزمایشات خارج از نمونه تایید می کنند که اطلاعات مربوط به مشابهت کیفی می تواند خطر خرید سهام را نیز کاهش دهد.
کلیدواژه ها: مصرف اطلاعات | حرکت موازی با محرک اطلاعات | تحلیل متنی | همبستگی
مقاله ترجمه شده
7 The invisible hand of internal markets in mutual fund families
دست نامرئی بازارهای داخلی در خانواده های سرمایه ای دوطرفه-2018
The internal markets of fund families can encourage member funds to deviate excessively from their investment mandates. Theoretically, we show that fund managers following sufficiently different style benchmarks can engage in risk-shifting by trading with one another at low cost inside their family. This benefits the managers and the family even in the absence of a family-level strategy. However, the excessive risks taken by the managers can be costly to fund investors. Empirically, we find support for the positive effect of intra-family style diversity on offsetting trades across funds and on deviations of funds’ portfolios from their benchmarks.
keywords: Mutual fund families |Cross-trading |Benchmarking |Stock illiquidity
مقاله انگلیسی
8 Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK
شوک های غیر نقدینگی بازار مالی و پویایی های اقتصاد کلان: شواهدی از انگلیس-2018
We examine the link between financial market illiquidity and macroeconomic dynamics by fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from 1988Q1 to 2016Q4. We capture liquidity conditions in the stock market using a battery of illiquidity proxies. This paper departs from previous studies examining macro-financial linkages by using theoretically grounded sign restrictions, and conducting structural inference in a non-linear framework. We document both statistically significant differences in the transmission of these shocks, and substantial increases in the economic importance of these shocks during the 2008 recession.
keywords: Stock market illiquidity |Time-varying parameter VAR |Macro-financial linkages |Sign restrictions
مقاله انگلیسی
9 Predicting the effects of eWOM and online brand messaging: Source trust, bandwagon effect and innovation adoption factors
پیش بینی اثرات eWOM و پیام های نام تجاری آنلاین: منبع اعتماد ، اثر bandwagon و عوامل پذیرش نوآوری-2017
This study examined the integrative effects of a brand’s online product description, eWOM content, digital retail platforms and innovation adoption factors on a consumer’s decision making process. Results from a between-subject experiment (N = 231) suggest that consumer perceptions of product-description usefulness, technology fluidity, product use fulness, product-use ease, consumer-review trustworthiness, consumer-review usefulness, user ratings of consumer reviews and retail-platform trustworthiness have a direct or indirect effect on their attitude and purchase intention toward the technology product.
Keywords: eWOM | Product description | User ratings | Source credibility | Technology acceptance | Technology fluidity
مقاله انگلیسی
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بازدید امروز: 2700 :::::::: بازدید دیروز: 0 :::::::: بازدید کل: 2700 :::::::: افراد آنلاین: 66