Catalogue Search | MBRL
Are you sure you want to remove the book from the shelf?
{{itemTitle}}
1,822,422
result(s) for
"Financial assets"
Sort by:
Asset price response to new information : the effects of conservatism bias and representativeness heuristic
Asset Price Response to New Information examines the effect of two types of psychological biases (namely, conservatism bias and representativeness heuristic) on the asset price reaction to new information. The author constructs various models of a competitive securities market or a security market allowing for strategic interaction among traders to prove rigorously that either conservatism or representativeness is capable of generating both asset price overreaction and underreaction to new information. The results shed some new insights on the phenomena of the asset price overreaction and underreaction to new information. In the literature, very little has been published in this area of behavioral finance. This volume will appeal to graduate-level students and researchers in finance, behavioral finance, and financial engineering.
Book
How digital finance affects the financial asset allocation of brick-and-mortar businesses
The recent integration of digital technology and financial services
has given rise to the newly emerging modality of digital finance.
However, does digital finance improve the efficiency of financial
services while influencing the investment behavior of brick-andmortar
businesses? With the help of the data about Chinese listed
companies, this paper uses multiple regression analysis, instrumental
variables, and other methods to empirically test whether and
how digital finance affects the financial asset allocation decisions
of brick-and-mortar enterprises. The findings suggest that digital
finance has a galvanizing effect on financial asset allocation.
However, this effect mainly stems from the fact that firms allocate
more illiquid financial assets and has a dampening effect on liquid
financial assets. Path analysis shows that easing financing constraints
is a causal pathway through which digital finance dampens
firms’ liquid financial asset allocation. Moreover, rising risk
exposure levels partially mediate the stimulus of digital finance,
motivating firms to allocate illiquid financial assets. This paper contributes
to the research on the economic consequences of digital
finance and provides policy recommendations on how digital
finance can better serve the real economy.
Journal Article
LEVERAGE AND DEFAULT IN BINOMIAL ECONOMIES: A COMPLETE CHARACTERIZATION
Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. Our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no default. Thus actual default is irrelevant, though the potential for default drives the equilibrium and limits borrowing. This result is valid with arbitrary preferences and endowments, contingent or noncontingent promises, many assets and consumption goods, production, and multiple periods. We also show that only no-default equilibria would be selected if there were the slightest cost of using collateral or handling default. Our Binomial Leverage Theorem shows that equilibrium Loan to Value (LTV) for noncontingent debt contracts is the ratio of the worst-case return of the asset to the riskless gross rate of interest. In binomial economies, leverage is determined by down risk and not by volatility.
Journal Article
Modeling the Covariance of Financial Assets Using Neutrosophic Fuzzy Numbers
This paper aims to model the covariance of financial assets using neutrosophic fuzzy numbers. Two main concepts are discussed and used, namely the neutrosophic covariance of the financial assets and the independent neutrosophic portfolios. In terms of methodology, a three-step approach is proposed with the purpose of identifying the independent neutrosophic portfolio return, the independent neutrosophic portfolio risk and the structure of the independent neutrosophic portfolio. For this purpose, neutrosophic fuzzy theory is chosen for this type of approach as it allows a proper modeling of the financial performance indicators by taking into account the probabilities of their achievement. This action is possible even in the situation in which linguistic variables are used for better characterizing the values of the recorded data. Numerical examples are provided in each stage of the methodology description for a better understanding of the proposed approach. The results of the study can be used to substantiate the decisions made by the capital market investors.
Journal Article
Health shock, medical insurance and financial asset allocation: Evidence from CHFS in China
Background: As health care cost is taking an increasingly substantial proportion of national wealth, health shocks and the subsequent medical expenditures have become increasingly vital contributions to fnancial risks. However, the individual or combined efects of social and fnancial medical insurance on household fnancial behaviors are poorly understood. This research aims to examine the efect of health shocks on fnancial asset mobility and portfolio allocation of the household. Also, whether medical insurance positively afects the fnancial market will be analyzed. Methods: Linear-regression models are used to determine the relationship between health shock, medical insurance, and household fnancial behaviors, including liquidity measures and fnancial portfolio (risk and risk-free assets). Two types of variables (transition probability and upward mobility) are constructed to measure the aggregate-level fnancial asset mobility. The portfolio of fnancial assets is categorized according to the risk it bears. Results: Households which experience health shocks are found to exhibit lower transition probability and upward mobility of fnancial assets than households that do not, and health shocks pose a more serious threat to lowincome households. From the inter-temporal perspective, households that have medical insurance exhibit a higher probability of raising their position within the national fnancial asset distribution, and are more inclined to invest in the risky fnancial assets. Commercial insurance displays a larger marginal efect on fnancial asset allocation than social insurance. Our study results highlight an essential link between health shocks, medical insurance, and household fnancial behavior. Conclusion: This work identifed and described the relationship between health-related factors (health shock and two types of medical insurance) and household fnancial behaviors (risky investment involvement and class mobility in fnancial asset). A strong link exists between the health and fnancial market, with heterogenous efects between urban and rural groups, households with distinct income levels, etc. A multilayered insurance system would be helpful to facilitate household income, fnancial consumption, and economic growth.
Journal Article
Value and Momentum Everywhere
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three-factor model. Global funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum jointly across markets. Our findings present a challenge to existing behavioral, institutional, and rational asset pricing theories that largely focus on U.S. equities.
Journal Article
Constructing a New Asset Class: Property-led Financial Accumulation after the Crisis
This article is concerned with new modes of property-led financial accumulation emerging in the wake of the 2008 financial crisis. Focusing on the United States, the article traces the creation of an asset class derived from securitizing the rental income of foreclosed homes turned rental properties. The study strategically combines conceptual agendas often pursued separately. Theories of market formation rooted in science and technology studies inform the method of analysis so as to attend to the work of realizing markets, the role of calculative devices in market formation, and the contingent and conditional aspects of markets. This analysis reveals the single-family rental (SFR) asset class as a practical accomplishment. However, a broader framework rooted in political economy is necessary to attend to the broader significance of the SFR asset class in terms of power, politics, and the dynamics of capital accumulation. The article particularly focuses upon the historical and geographic contingencies making it possible to conceive of a large-scale SFR market, the work of state and capital market actors in reframing repossessed single-family homes as rental properties and the role calculative practices played in this process, and the strategies of issuers and credit rating agencies to frame a novel asset class for institutional investors. The SFR asset class affirms the fundamental role for housing in the ideology of capital, and speaks to new entanglements of financial actors and home life as financial accumulation is adjusted to the postcrisis context. Beyond shedding light on postcrisis housing financialization, the article demonstrates how economic geographers can carefully integrate theoretical perspectives to critically examine both the circumstances of market formation and the social, spatial, and political consequences of markets.
Journal Article
Asset Growth and the Cross-Section of Stock Returns
We test for firm-level asset investment effects in returns by examining the cross-sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross-section of returns (i.e., book-to-market ratios, firm capitalization, lagged returns, accruals, and other growth measures), we find that a firm's annual asset growth rate emerges as an economically and statistically significant predictor of the cross-section of U.S. stock returns.
Journal Article
On the Timing and Pricing of Dividends
We present evidence on the term structure of the equity premium. We recover prices of dividend strips, which are short-term assets that pay dividends on the stock index every period up to period T and nothing thereafter. It is short-term relative to the index because the index pays dividends in perpetuity. We find that expected returns, Sharpe ratios, and volatilities on short-term assets are higher than on the index, while their CAPM betas are below one. Short-term assets are more volatile than their realizations, leading to excess volatility and return predictability. Our findings are inconsistent with many leading theories.
Journal Article
Frequency of Interim Reporting and Impairment Losses on Financial Assets
This study investigates the impact that increasing the frequency of interim reporting has on the amount of impairment losses on financial assets for a sample of listed banks. The difference-in-differences method is applied for a paired sample of 36 banks of EU-15, between 2009 and 2018. The results suggest the existence of a negative and significant association between the increase in the frequency of interim reporting and the amount of impairment losses on financial assets recognised in the profit or loss. This study is useful for regulators and supervisors, since its conclusions are relevant for the definition of the frequency of interim reporting, showing the consequences of its increase.
Journal Article