Studies in Economics and Finance: Volume 35 Issue 1

Portfolio balance effects and the Federal Reserve’s large-scale asset purchases

Thomas Emmerling, Robert Jarrow, Yildiray Yildirim

Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve’s large-scale asset purchases (LSAPs), the purpose of this paper is to study the…

Cap rates and risk: a spatial analysis of commercial real estate

Florian Unbehaun, Franz Fuerst

This study aims to assess the impact of location on capitalization rates and risk premia.

Informed trading around biotech M&As

Lawrence Kryzanowski, Trang Phuong Tran

This paper aims to test the extent to which downward bias due to a floating-point exception in probability of informed trading (PIN) estimates obtained using the Easley, Hvidkjaer…

Position adjusted turnover ratio and mutual fund performance

Yuhong Fan

The purpose of this study is to examine the impact of position adjusted turnover ratio on mutual fund performance.

Can stock market liquidity and volatility predict business cycles?

Benjamin Carlston

The purpose of this paper is to predict real gross domestic product (GDP) growth and business cycles by using information from both liquidity and volatility measures.

New results on the predictive value of crude oil for US stock returns

Matt Brigida

The purpose of this study is to clarify the nature of the predictive relationship between crude oil and the US stock market, with particular attention to whether this relationship…

Retirement saving in the UK: a life-cycle analysis

Roberta Adami, Andrea Carosi, Anita Sharma

This paper aims to study long-term savings accumulation in the UK. The authors use cross-sectional information from the extensive data set of the Family Resources Survey to…

Do mutual fund ratings provide valuable information for retail investors?

Andreas Oehler, Andreas Höfer, Matthias Horn, Stefan Wendt

Retail investors use information provided by mutual fund rating agencies to make investment decisions. This paper aims to examine whether the ratings provide useful information to…

Corporate cash-pool valuation: a Monte Carlo approach

Edina Berlinger, Zsolt Bihary, György Walter

This paper aims to analyze a special corporate banking product, the so-called cash-pool, which gained remarkable popularity in the recent years as firms try to centralize and…

Fair-value accounting, asset sales and banks’ lending: The role of asset sales in reducing fair value’s pro-cyclical effects

Jeff Downing

This paper aims to examine the interaction between fair-value accounting, asset sales and banks’ lending in booms and busts. Throughout, the author uses “fair value” and…

Managerial implications of off-balance sheet items in community banks

Gregory Mckee, Albert Kagan

Community banks were affected distinctly by changes in banking regulation in the 1990s when compared with large commercial banks. These banks offer non-traditional finance items…

Order book microstructure and policies for financial stability

Alessio Emanuele Biondo

The purpose of this paper is two-fold: first, to introduce an innovative model of financial order book, less simplified than the existing literature and still able to replicate…