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Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español
(AECATaylor & Francis, 2014)
Artículo / Artikulua,
En el presente trabajo se analiza la relación entre el riesgo asimétrico, aproximado por las medidas de coasimetría y coasimetría idiosincrática, y el riesgo de insolvencia en el mercado de valores español. Se ha encontrado ...
An empirical investigation of the effect of credit ratings on sovereign credit risk
(Universidad de Castilla La Mancha, 2015)
Documento de trabajo / Lan gaiak,
We investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of ...
Performance of default-risk measures: the sample matters
(Elsevier, 2020)
info:eu-repo/semantics/article,
This paper examines the predictive power of the main default-risk measures used by both academics and practitioners, including accounting measures, market-price-based measures and the credit rating. Given that some measures ...
Momentum and default risk. Some results using the jump component
(Elsevier, 2015)
Artículo / Artikulua,
In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
Future directions in international financial integration research. A crowdsourced perspective
(Elsevier, 2018)
info:eu-repo/semantics/article,
This paper is the result of a crowdsourced effort to surface perspectives on
the present and future direction of international finance. The authors are
researchers in financial economics who attended the INFINITI 2017 ...
Bank fragility and contagion: evidence from the bank CDS market
(Elsevier, 2016)
info:eu-repo/semantics/article,
Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) ...
The joint cross-sectional variation of equity returns and volatilities
(Elsevier, 2017)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...
The cross-sectional variation of volatility risk premia
(Elsevier, 2016)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium ...
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
(Elsevier, 2016)
info:eu-repo/semantics/article,
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel ...
Estimating the elasticity of intertemporal substitution with leverage
(Elsevier, 2017)
info:eu-repo/semantics/article,
Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on ...