Keyword: risk

Found 1845 papers in total
Treasury bill futures as a hedging tool: a risk-return approach
Treasury bill futures as a hedging tool: a risk-return approach
1986,
The primary purpose of this study is to measure the hedging performance of Treasury...
The relation between returns, ownership structure, and market value
The relation between returns, ownership structure, and market value
1986,
Numerous empirical studies have documented the small firm effect of higher...
Penn square, problem loans, and insolvency risk
Penn square, problem loans, and insolvency risk
1986,
This paper investigates the influence of the failure of Penn Square Bank of Oklahoma...
Inflation measurement, inflation risk, and the pricing of treasury bills
Inflation measurement, inflation risk, and the pricing of treasury bills
1986,
One explanation for the high real interest rates on Treasury bills during the period...
A PROGRAMMING MODEL FOR BANK HEDGING DECISIONS
A PROGRAMMING MODEL FOR BANK HEDGING DECISIONS
1986,
This study constructs, solves, and interprets a normative model that focuses on the...
A COMPARISON OF INTERVENTION AND RESIDUAL ANALYSIS
A COMPARISON OF INTERVENTION AND RESIDUAL ANALYSIS
1986,
By comparing intervention and residual analysis abnormal return metrics, this study...
Interest rate risk and equity values of hedged and unhedged financial intermediaries
Interest rate risk and equity values of hedged and unhedged financial intermediaries
1986,
This paper uses an approach developed by Flannery and James to show that interest rate...
Systematic risk in a purely random market model: some empirical evidence for individual public utilities
Systematic risk in a purely random market model: some empirical evidence for individual public utilities
1987,
A minimum norm quadratic (MINQU‐) type of OLS estimator is derived. The...
Product market structure, capital intensity, and systematic risk: empirical results from the theory of the firm
Product market structure, capital intensity, and systematic risk: empirical results from the theory of the firm
1987,
Product market concepts from industrial organization economics are integrated with...
An analytical model of risky yield curves
An analytical model of risky yield curves
1987,
This paper proposes a multiperiod certainty equivalent model of present valuation that...
Determinants of the ratings and yields on corporate bonds: tests of the contingent claims model
Determinants of the ratings and yields on corporate bonds: tests of the contingent claims model
1987,
A contingent claims model for corporate bonds is tested on newly issued bonds of firms...
Optimal portfolios: Markowitz full covariance versus simple selection rules
Optimal portfolios: Markowitz full covariance versus simple selection rules
1988,
Two major problems faced by portfolio managers are estimating the risk and return...
Learning banks' exposure to systematic risk: evidence from the financial crisis of 2008
Learning banks' exposure to systematic risk: evidence from the financial crisis of 2008
2014,
Using a two‐state Markov regime‐switching intertemporal capital asset...
Convexity, magnification, and translation: the effect of managerial option-based compensation on corporate cash holdings
Convexity, magnification, and translation: the effect of managerial option-based compensation on corporate cash holdings
2014,
Using the distinctions among the convexity, magnification, and translation effects, we...
Cash flows, currency risk, and the cost of capital
Cash flows, currency risk, and the cost of capital
2014,
Currency fluctuations can affect firms' cash flows. There is evidence that cash flows...
Target-management-involved buyouts: impact on takeover competition, litigation risk, and shareholder returns
Target-management-involved buyouts: impact on takeover competition, litigation risk, and shareholder returns
2014,
We examine the impact of target management involvement as bidders in a sample of...
Does equity-based compensation make CEOs more acquisitive?
Does equity-based compensation make CEOs more acquisitive?
2014,
Theory is conflicted on the impact of equity‐based compensation on managerial...
A survey of business network integration: implications for quality and productivity performance
A survey of business network integration: implications for quality and productivity performance
2015,
The increasing levels of globalisation have introduced complexities into organisations...
Risk mitigations strategy in supply chain planning and control: an ANP approach
Risk mitigations strategy in supply chain planning and control: an ANP approach
2015,
This paper mainly deals with risks management in supply chain planning and control....
How vulnerable are emerging markets to external shocks?
How vulnerable are emerging markets to external shocks?
2015,
This paper finds that external economic conditions have significant effects on...
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
2014,
We provide novel evidence for an equilibrium link between investors' disagreement, the...
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
2014,
Mean‐variance portfolio theory can apply to streams of payoffs such as...
Sources of Entropy in Representative Agent Models
Sources of Entropy in Representative Agent Models
2014,
We propose two data‐based performance measures for asset pricing models and...
Strategic Asset Allocation in Money Management
Strategic Asset Allocation in Money Management
2014,
This paper analyzes the dynamic portfolio choice implications of strategic interaction...
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