Liquidity Risk and Funding Cost
Alexander Bechtel, Angelo Ranaldo, Jan Wrampelmeyer
Review of Finance, Volume 27, Issue 2, March 2023, Pages 399–422, https://doi.org/10.1093/rof/rfac020
We propose a new channel that outlines how liquidity risk impacts interest rates in short term funding markets, the liquidity risk channel.… Read more...
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Data versus Collateral
Leonardo Gambacorta, Yiping Huang, Zhenhua Li, Han Qiu, Shu Chen
Review of Finance, Volume 27, Issue 2, March 2023, Pages 369–398, https://doi.org/10.1093/rof/rfac022
Collateral is used in debt contracts to mitigate agency problems arising from asymmetric information. Banks usually require their borrowers to pledge tangible assets, such as real estate, to lessen ex ante adverse selection problems or as a way to reduce ex post frictions, such as moral hazard.… Read more...
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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Tong Wang
Review of Finance, Volume 27, Issue 1, February 2023, Pages Pages 325–367, https://doi.org/10.1093/rof/rfac006
Our research shows that the most fundamental principle in investments fails when it comes to managing bear market risk exposure of your stock portfolio.… Read more...
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Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
Kevin Aretz, Ming-Tsung Lin, Ser-Huang Poon
Review of Finance, Volume 27, Issue 1, February 2023, Pages Pages 289–323, https://doi.org/10.1093/rof/rfac003
While a large literature in finance suggests that the expected returns of European call (put) options fall (rise) with underlying asset volatility, the studies in that literature implicitly assume that variations in underlying asset volatility are exclusively driven by idiosyncratic volatility.… Read more...
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Small Business Lending in Financial Crises: The Role of Government-Guaranteed Loans
John Hackney
Review of Finance, Volume 27, Issue 1, February 2023, Pages 247–287, https://doi.org/10.1093/rof/rfac002
The role of the government in ensuring access to credit for small businesses has been the focus of considerable research and policy debate.… Read more...
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Market Timing and Predictability in FX Markets
Thomas A Maurer, Thuy-Duong Tô, Ngoc-Khanh Tran
Review of Finance, Volume 27, Issue 1, February 2023, Pages 223–246, https://doi.org/10.1093/rof/rfac014
Mean-variance optimized portfolios earn high out-of-sample (OOS) returns in foreign exchange (FX) markets [Baz et al.,… Read more...
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How Do Options Add Value? Evidence from the Convertible Bond Market
Inmoo Lee, Rex Wang Renjie, Patrick Verwijmeren
Review of Finance, Volume 27, Issue 1, February 2023, Pages 189–222, https://doi.org/10.1093/rof/rfac001
In this paper, we study whether options add value to issuers of underlying stocks in the context of convertible bond issues.… Read more...
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How Does Human Capital Affect Investing? Evidence from University Endowments
Matteo Binfarè, Gregory Brown, Robert Harris, Christian Lundblad
Review of Finance, Volume 27, Issue 1, February 2023, Pages 143–188, https://doi.org/10.1093/rof/rfac017
We examine the links between human capital and endowment investing.… Read more...
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Dissemination, Publication, and Impact of Finance Research: When Novelty Meets Conventionality
Rui Dai, Lawrence Donohue, Qingyi (Freda) Drechsler, Wei Jiang
Review of Finance, Volume 27, Issue 1, February 2023, Pages 79–141, https://doi.org/10.1093/rof/rfac018
Using numeric and textual data extracted from over 50,000 finance articles in SSRN’s Financial and Economics Network (FEN) during 2001–2019, our study is the first large-scale empirical research that uncovers the determinants of research outcomes, such as publication outlet, impact and readership in academic finance.… Read more...
Search-Based Peer Groups and Commonality in Liquidity
Paul Brockman, Dennis Y Chung, Neal M Snow
Review of Finance, Volume 27, Issue 1, February 2023, Pages 33–77, https://doi.org/10.1093/rof/rfab033
In this study, we examine the relationship between EDGAR-initiated, search-based peer (SBP) groups proposed by (Lee, Ma, and Wang, 2015) as a potential determinant of commonality in liquidity.… Read more...
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