Previous theories of "nancial market rationing focussed on a single market, either the credit or the equity market. An interesting question is whether credit and equity rationing are mutually compatible, and how they interact. We consider a model with twodimensional asymmetric information, where entrepreneurs have private information about both the expected returns and the risk of their project...

This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and does not rely critically on either realized equity returns or instrumental variables. We find strong ...

Investors and managers evaluate potential investments in terms of risk and return. Empirical research in marketing has focused on linking marketing activities with returns but has neglected marketing’s role in determining firm risk. Yet, the theoretical literature asserts that investments in market-based assets such as brands should lead to reductions in firm risk. Researchers in finance, accou...

I formulate a search-based asset-pricing model where equity shares and fiat money can be used as means of payment. I characterize a family of optimal stochastic monetary policies. Every policy in this family implements Friedman’s prescription of zero nominal interest rates. Under an optimal policy, equity prices and returns are independent of monetary considerations. I also study a perturbation...

The paper analyzes the information and agency cost effects of bank equity stakes in a universal banking system where banks can also be shareholders in borrowing firms. We test the agency and signaling hypotheses explaining the bank motivations for holding equity of borrowing firms in the Spanish market and we analyze the share abnormal returns around the announcements of bank equity holdings. T...

The global financial crisis began with a financial meltdown in the United States in early 2008 and then it had spread to the rest of the world. In this paper we test whether the MENA equity market volatility presents a different behavior before and after the financial crisis of 2008. Using long range dependence techniques we test for long memory in the returns, absolute and squared returns of t...

We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in bond equity markets. find significantly positive intertemporal relation between expected return risk market. also propose novel measures systematic idiosyncratic for individual corporate bonds returns, whereas there is no significant link future returns. an explanation (idiosyncratic) based diff...

Prior studies have documented that stock returns are abnormally high during the years following share repurchases and abnormally low following seasoned equity offerings, relative to various benchmarks of expected returns. While we confirm this evidence in the event data as of 2002, we do not find robust long-run abnormal returns following either stock repurchases or issuances after 2002. Instit...

This paper develops a dynamic approximate factor model in which returns are time-series heteroskedastic. The heteroskedasticity has three components: a factor-related component, a common asset-speciÞc component, and a purely asset-speciÞc component. We develop a new multivariate GARCH model for the factor-related component. We develop a univariate stochastic volatility model linked to a cross-s...

The recent Asian financial crisis has emphasized the volatility of modern financial markets. This crisis, and other recent financial shocks, suggest that returns may switch regimes: that is, randomly change from one distribution to another. This paper analyzes regime shifts in real estate and equity markets in ten Far Eastern countries, focusing on the period 1994 1998. We find little evidence ...