Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Christof W. Stahel"'
Autor:
Christof W. Stahel
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::94783c2b46b9ce250ff309a1ba5ad4ff
https://doi.org/10.2139/ssrn.3952125
https://doi.org/10.2139/ssrn.3952125
Publikováno v:
SSRN Electronic Journal.
Assessing systemic risk of mutual funds as a result of liquidity transformation is difficult because the frequency of flow and holdings data available is too low to properly isolate the price impact of redemption-driven sales of portfolio assets. Exc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32a48f6151497ca5a5de75f1f20281d5
https://doi.org/10.2139/ssrn.3630399
https://doi.org/10.2139/ssrn.3630399
Publikováno v:
SSRN Electronic Journal.
We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a16343f73e89f8d955ac2cab6c57e84
https://doi.org/10.2139/ssrn.3001524
https://doi.org/10.2139/ssrn.3001524
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::195a315af012109ca883606c13c5ff49
https://doi.org/10.2139/ssrn.3070550
https://doi.org/10.2139/ssrn.3070550
Publikováno v:
SSRN Electronic Journal.
This paper investigates the effectiveness of supervisory discipline on bank risk over the years immediately before, during and just after the recent crisis. It is the first study to consider the effects of informal supervisory enforcement actions in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fa638afbc5bce1e2c577edb123720c9f
https://doi.org/10.2139/ssrn.3070407
https://doi.org/10.2139/ssrn.3070407
Autor:
Christof W. Stahel, Nicole M. Boyson
Publikováno v:
Financial Contagion: The Viral Threat to the Wealth of Nations
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27da9433ad4ece8fbdaba133b8756b30
https://doi.org/10.1002/9781118267646.ch43
https://doi.org/10.1002/9781118267646.ch43
Publikováno v:
The Journal of Finance. 65:1789-1816
Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eeccf0fcc7bc3006c64a540664ae1a57
https://doi.org/10.1111/j.1540-6261.2010.01594.x
https://doi.org/10.1111/j.1540-6261.2010.01594.x
Publikováno v:
SSRN Electronic Journal.
To examine whether corporate credit risk is cheaper to trade in the bond or credit-default swap (CDS) market, we estimate individual roundtrip transaction costs for 851 CDSs traded during 2009-2014. Effective half-spreads are 14 bps of the notional a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2302022204a37ea68d0b7aa71480df08
https://doi.org/10.2139/ssrn.2532805
https://doi.org/10.2139/ssrn.2532805
Publikováno v:
SSRN Electronic Journal.
Using a large sample of U.S. mortgages observed over the 2005–2009 period, we document contagion effects in strategic mortgage defaults. Strategic defaults result from borrowers choosing to exercise their in the money default option and our finding
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b961c1289269dede6f7a6ed4a75a9906
https://doi.org/10.2139/ssrn.2229054
https://doi.org/10.2139/ssrn.2229054
Publikováno v:
SSRN Electronic Journal.
Using a large sample of U.S. mortgages observed over the 2005-2009 period, we find that foreclosures are contagious. After controlling for major factors known to influence a borrower’s decision to default, including borrower and loan characteristic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e37104fb643a613a434ae9d75111251a
https://doi.org/10.2139/ssrn.2024794
https://doi.org/10.2139/ssrn.2024794