全部文献期刊会议图书|学者科研项目
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作者:Mark Davis , Sébastien Lleo
来源:[J].Journal of Banking and Finance, 2020, Vol.113
摘要:Abstract(#br)Expert forecasts are an essential component of asset management and an important research topic. However, the effect of behavioral biases on expert forecasts is generally ignored. This paper examines the effect of biased expert forecasts on asset allocations. We find...
作者:Lidija Lovreta , Florina Silaghi
来源:[J].Journal of Banking and Finance, 2020, Vol.112
摘要:Abstract(#br)This paper analyzes the surface of CDS implied firm’s asset volatility at the aggregate market level, using a sample of European investment-grade firms during the 2007–2014 period. The term structure of asset implied volatilities is backed-out from the term stru...
作者:Mardi Dungey , Thomas J. Flavin , Dolores Lagoa-Varela
来源:[J].Journal of Banking and Finance, 2020, Vol.112
摘要:Abstract(#br)We analyze the transmission of shocks between global banking, domestic banking and the non-financial sector for eleven Eurozone countries. Using a Markov-switching Factor augmented VAR model, we distinguish between contagion, interdependence and decoupling as sh...
作者:Daniel Fricke , Tarik Roukny
来源:[J].Journal of Banking and Finance, 2020, Vol.112
摘要:Abstract(#br)In this paper, we propose a method to analyze the structure of the credit market. Using historical data from Japan, we explore banks’ lending patterns to the real economy. We find that generalist banks (with diversified lending) and specialist banks (with focuse...
作者:Todd Griffith , Brian Roseman , Danjue Shang
来源:[J].Journal of Banking and Finance, 2020, Vol.114
摘要:Abstract(#br)We examine the impact of the 2016 U.S. SEC Tick Size Pilot Program on transaction costs in both the equity and options markets. We find that an increase in the tick size from one-cent to five-cents increases percent bid-ask spreads for test stocks vis-à-vis cont...
作者:Daniel Cahill , Dirk G. Baur , Zhangxin (Frank) Liu ...
来源:[J].Journal of Banking and Finance, 2020, Vol.113
摘要:Abstract(#br)We investigate the price reaction of listed companies in response to blockchain-related announcements. The average abnormal return based on a global sample of 713 firm announcements is approximately 5% on the announcement day, with significantly higher returns for U....
作者:Emanuele Bajo , Massimiliano Barbi , David Hillier
来源:[J].Journal of Banking and Finance, 2020, Vol.114
摘要:Abstract(#br)Hiring and promotion committees consider a broad range of journals and the relative importance of journal titles is highly subjective. In this paper, we present a novel approach to objective finance journal ranking by considering the impact of journal publications on...
作者:Jarko Fidrmuc , Ronja Lind
来源:[J].Journal of Banking and Finance, 2020, Vol.112
摘要:Abstract(#br)We present a meta-analysis of the impact of higher capital requirements imposed by regulatory reforms on the macroeconomic activity (Basel III). The empirical evidence derived from a unique dataset of 48 primary studies indicates that there is a negative, albeit...
作者:Bernd Hayo , Florian Neumeier
来源:[J].Journal of Banking and Finance, 2020, Vol.113
摘要:Abstract(#br)Employing unique representative survey data from New Zealand collected in 2016 and 2019, we study public knowledge about and attitude towards a specific monetary policy institution, the Policy Targets Agreement (PTA). We assess how much the population knows about the...

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