The effect of stricter capital regulation on banks’ risk‐taking: Theory and evidence

Autor: Caren Yinxia Nielsen, Frederik Lundtofte

Publikováno v: European Financial Management. 25:1229-1248

A simple portfolio choice model shows that, when a bank's capital is constrained by regulation, regulatory cost (risk weightings) alters the risk and value calculations for the bank's assets. In particular, we find that banks may respond to stricter

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b95e1d1cb9f8bd3fd58f3f803a1a3b8a
https://doi.org/10.1111/eufm.12205

Tax avoidance and state ownership — The case of Sweden

Autor: Axel Hilling, Amanda Sonnerfeldt, Niklas Sandell, Frederik Lundtofte, Anders Vilhelmsson

Publikováno v: Hilling, A, Lundtofte, F, Sandell, N, Sonnerfeldt, A & Vilhelmsson, A 2021, ' Tax avoidance and state ownership — The case of Sweden ', Economics Letters, vol. 208, 110063 . https://doi.org/10.1016/j.econlet.2021.110063

We propose a simple theoretical model for how a company with both private and state shareholders decides on its optimal tax policy. The model predicts that even in the absence of state shareholding, a company will not always pick a tax policy that mi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::116a3887c1785378851c5c56c0e559c6
https://doi.org/10.1016/j.econlet.2021.110063

Information, stochastic dominance and bidding: The case of Treasury auctions

Autor: Patrick L. Leoni, Frederik Lundtofte

Publikováno v: Economics Letters. 153:80-82

We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, there is a one-to-one relation between in

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0dc7364aa2dd59812d36420c330de63
https://doi.org/10.1016/j.econlet.2017.02.004

Unequal Returns: Using the Atkinson Index to Measure Financial Risk

Autor: Frederik Lundtofte, Thomas Fischer

Publikováno v: Fischer, T & Lundtofte, F 2020, ' Unequal returns : Using the Atkinson index to measure financial risk ', Journal of Banking & Finance, vol. 116, 105819 . https://doi.org/10.1016/j.jbankfin.2020.105819

We apply the Atkinson (1970) inequality index to time series of asset returns to offer a novel measure of financial risk consistent with expected-utility theory. This measure is converted to a certainty-equivalent return serving as a performance meas

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4216ac2993fe8b809f8a7ee506224a56
https://doi.org/10.2139/ssrn.3078580

Loan Pricing over the Business Cycle

Autor: Anders Wilhelmsson, Frederik Lundtofte, Jens Forssbæck

Publikováno v: SSRN Electronic Journal.

Based on a screening model, we hypothesize that borrower risk will be over- (under-)priced in recessions (booms), and the loan spreads’ sensitivity to default risk as a function of economic growth will be inverse U-shaped. We test this prediction u

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2fa74e2e6366d84073d24ac415a1f671
https://doi.org/10.2139/ssrn.2914567