Journal of Economics and Finance
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Mortgage loan securitization and personal consumption smoothening
Journal of Economics and Finance - Tập 41 - Trang 100-115 - 2015
In this paper we examine the extent to which personal consumptions are sheltered from state-specific economic shocks because of banks’ mortgage loan securitizations. We posit that securitization contributes to personal consumption smoothening due to securitizations’ positive effect on banks’ credit supply, which reduces consumers’ consumption constraints during economic shocks. Using data for U. S...... hiện toàn bộ
Capital structure choice, information asymmetry, and debt capacity: evidence from India
Journal of Economics and Finance - Tập 39 - Trang 807-823 - 2014
We examine the relevance of the pecking order theory of capital structure among emerging market firms in the light of their debt capacity concerns. We consider the financing choices of all public listed Indian firms during 1992 to 2011 for the empirical analysis. The estimated annual pecking order coefficients range from 0.23 to 0.56, rejecting the argument that sample firms follow the pecking ord...... hiện toàn bộ
Cash Holdings along the Supply Chain: The Downstream Evidence
Journal of Economics and Finance - Tập 46 - Trang 452-471 - 2022
We examine the downstream effect of cash holdings along the supply chain. Using a supplier-customer sample from 1989 to 2009, we find evidence that a supplier’s large cash holdings increase its customers’ demand for cash reserves, suggesting that the negative risk spillover effect dominates the positive trade credit effect from a supplier to its customers. This finding is robust to alternative spe...... hiện toàn bộ
Market index returns, macroeconomic variables, and tax-loss selling
Journal of Economics and Finance - - 2002
Covariance estimation: do new methods outperform old ones?
Journal of Economics and Finance - Tập 34 - Trang 187-195 - 2009
This paper compares three new methods of estimating the asset returns covariance and evaluates their performances with the conventional covariance estimation methods. We find that taking a simple average of the historical sample covariance matrix and the covariance matrix estimated from the single-index model provides the best overall performance among all competing methods. In addition, we find t...... hiện toàn bộ
Monetary policy, social capital, and corporate investment
Journal of Economics and Finance - Tập 44 - Trang 1-34 - 2019
We study the effect of monetary policy and social capital on the efficiency of corporate investments among the public US firms. We use social capital of CEOs at the peer- and non-peer levels to build proxies for the CEO networking and the effective federal funds rate and the spread between the rate and the 10-years US Treasury note as our proxies for monetary policy. We capture investment ineffici...... hiện toàn bộ
Capturing the volatility smile of options on high-tech stocks—A combined GARCH-neural network approach
Journal of Economics and Finance - Tập 25 - Trang 276-292 - 2001
A slight modification of the standard GARCH equation results in a good modeling of historical volatility. Using this generated GARCH volatility together with the inputs: spot price divided by strike, time to maturity, and interest rate, a generated Neural Network results in significantly better pricing performance than the Black Scholes model. A single Neural Network for each individual high-tech ...... hiện toàn bộ
Economic determinants of the labor force withdrawal of Registered Nurses
Journal of Economics and Finance - Tập 19 - Trang 17-26 - 1995
This study examines two outflows that affect the labor supply of Registered Nurses (RNs), nurses leaving the profession to pursue a non-nursing occupation and employed nurses withdrawing from the labor force. Using pooled CPS data for 1980–90, a probit model is specified to estimate economic influences on the labor-force-withdrawal decisions of RNs. Evaluating the estimated probit function for dif...... hiện toàn bộ
Can overconfidence explain the consumption hump?
Journal of Economics and Finance - Tập 35 - Trang 41-70 - 2009
The standard neoclassical life-cycle model predicts that individual consumption should either increase, remain constant or fall monotonically depending on whether the market rate of return on savings is greater than, equal to or less than the discount rate. However, empirical evidence suggests that even after controlling for economic growth and family size, household consumption exhibits a robust ...... hiện toàn bộ
Impact of futures’ trader types on stock market quality: evidence from Taiwan
Journal of Economics and Finance - Tập 47 - Trang 417-436 - 2023
This study investigates whether specific types of institutional futures traders have varying impacts on the quality of the underlying stock market. An assessment of the traders’ effect on market-level price efficiency and excess volatility reveals that futures trading by foreign institutions diminishes the quality of the stock market. On the other hand, futures trading by dealers and investment tr...... hiện toàn bộ
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