[PDF] Top 20 Three Essays on Financial Durations.

... into three individual tests: the first test focuses on correct unconditional coverage; the second test considers the dependence struc- ture in durations; the third test examines whether the probability of ... See full document

... How might accessing an offshore bond market provide firms with maturity diversification benefit? Internationally, different bond markets may have preferences for different bond maturities due to tastes of the investors ... See full document

... previous three-month return on a stock and the previous three-month return on the connected ...past three-month return on the own stock and the past three- month connected portfolio ... See full document

... companies. Three specific issues are examined through three interconnected essays: characteristics of “princeling” politically connected firms (PCFs) with respect to accounting numbers in ... See full document

... of financial frictions − including refinancing risk − for firms’ labor force ...such financial frictions contributed to sizeable job losses in large ...from financial frictions, and highlights their ... See full document

... unprecedented financial crisis, most of the central banks in advanced economies, including the United Kingdom, adopted Quantitative Easing (QE), allowing for the purchase of assets by the creation of central bank ... See full document

... The problem o f mandatory holdings has been analysed in the past by Chen (1995) and Cvitanic and Karatzas (1993). Chen allows for such restrictions to study the incentives for innovation in financial markets. ... See full document

... We suggest that these results could be driven by two different mechanisms. First, a selection bias might cause a bank to choose to give forbearance to the “worst” borrowers (closest to default) within the group of risky ... See full document

... same general pattern for all three rating categories. There is significant upward movement before recessions. As the recession in 2001 looms, the level of the A- rated spreads widens dramatically, and the levels of ... See full document

... This table reports two-stage least squares (2SLS) estimates of model (1.1) using the Berger and Bouwman (2009) “catnonfat” Liquidity Creation measure as dependent variable i.e., on-balance-sheet liquidity creation ... See full document

... It is said among historians, that there are two remarkable innovations in modern finance: deposit banking in southern Europe and negotiable bills in northern Europe, especially Antwerp. Although negotiable bills are as ... See full document

... the three negative prices mean that there were no transactions at these three days and the average bid-ask prices are reported instead of actual transaction ... See full document

... estimators with estimators from RV and also option-implied classes, we conduct a comprehensive forecasting study. We perform both individual and combination forecasts, on 20 DJIA stocks over 11 years from 2002 to 2012, ... See full document

... many financial crises, including the global financial crisis of 2009: optimism, leverage, and ...ensuing financial crisis turns out to be more ... See full document

... With the Federal Funds rate increase, the business loan puzzle appears in all three datasets. The on-impact responses for these three cases are 40.64 bps, 51.72 bps and 16.18 bps at their medians. It is ... See full document

... The London School of Economics and Political Science THREE ESSAYS IN FINANCIAL ECONOMICS Sergey Glebkin A thesis submitted to the Department of Finance of the London School of Economics for the degree[.] ... See full document

... The use of aggregated wage data could be the reason why home bias appears. Palacios- Huerta (2001) considers heterogeneity in human capital between stockholders and non- stockholders. He finds that for stockholders, ... See full document

... the three largest markets: USA, Japan, and ...the financial crisis implies that foreign investors had a preference for firms with positive FX correlation such as ...the financial crisis fol- lowed by ... See full document

... procedure for Deterministic Volatility Function involves: (a) Given realized option prices, recover the Black-Scholes implied volatilities by inverting the Black-Scholes option pricing s[r] ... See full document

... The composition of our sample is as follows: we consider eight currencies futures (Australian Dollar, British Pound, Brazilian Real, Canadian Dollar, Dollar Index, Euro Currency, Japanese Yen, Swiss Franc), three ... See full document