Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that market expectations are systematically asymmetric around monetary policy actions of the ECB. Around monetary policy tightening, option-implied yield distributions are positively skewed, indicating that market participants attach higher probabilities for sharp yield increases than for sharp decreases. Correspondingly, around loosening of the policy, implied yield distributions are negatively skewed, suggesting that markets assign higher probabilities for sharp yield decreases than for increases. Furthermore, the results indicate that market expectations are significantly altered around monetary policy actions, as asymmetries in market expectations tend to increase before changes in the monetary policy stance, and to decrease afterwards. JEL Classification: E44, E52, G10, G13asymmetries, implied skewness, market expectations, monetary policy

Managerial risk-taking incentives and the systemic risk of financial institutions

This paper examines whether the systemic risk of financial institutions is associated with the risk-taking incentives generated by executive compensation. We measure managerial risk-taking incentives with the sensitivities of chief executive officer (CEO) and chief financial officer (CFO) compensation to changes in stock prices (pay-performance sensitivity) and stock return volatility (pay-risk sensitivity). Using data on large U.S. financial institutions over the period 2005–2010, we document a negative association between systemic risk and the sensitivities of CEO and CFO compensation to stock return volatility. However, our results also demonstrate that financial institutions with greater managerial risk-taking incentives were associated with significantly higher levels of systemic risk during the peak of the financial crisis in 2008. We further document that the relation between pay-performance sensitivity and systemic risk is essentially nonexistent. Overall, our empirical findings indicate that the association between managerial risk-taking incentives and banks’ systemic risk is ambiguous and is not stable over time.fi=vertaisarvioitu|en=peerReviewed

Another look at value and momentum : volatility spillovers

This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926–2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and that these shifts in spillover intensity can be linked to prominent economic events and financial market turmoil. Our results further demonstrate that value returns increase and momentum returns decrease monotonically with increasing volatility spillovers between the two strategies. Given this linkage between spillover intensity and returns, we propose a simple trading strategy which utilizes a volatility spillover index for allocating funds between value and momentum portfolios. The proposed trading strategy outperforms value and momentum strategies and generates payoffs that are not subject to option-like behavior.© The Author(s) 2020. Creative Commons Attribution v4.0 International licence (CC BY).fi=vertaisarvioitu|en=peerReviewed

Why do corporations embrace the LGBTQ+ cause?

©2023 Authors. This manuscript version is made available under the Creative Commons Attribution–NonCommercial–NoDerivatives 4.0 International (CC BY–NC–ND 4.0) license, https://creativecommons.org/licenses/by-nc-nd/4.0/fi=vertaisarvioimaton|en=nonPeerReviewed

How to compare apples with oranges: using interdisciplinary "exchange rates" to evaluate publications across disciplines

Academic research performance is typically assessed on the basis of scientific productivity. While the number of publications may provide an accurate and useful metric of research performance within one discipline, interdisciplinary comparisons of publication counts prove much more problematic. To solve this problem, Timo Korkeamäki, Jukka Sihvonen, and Sami Vähämaa introduce interdisciplinary "exchange rates", which can be used to convert the publication records of individuals or institutions to a common scale. Adopting such an approach can increase the objectivity of cross-disciplinary comparisons by eliminating disparities in publishing potential across disciplines

Female leadership and bank risk-taking : Evidence from the effects of real estate shocks on bank lending performance and default risk

This paper examines whether banks with female Chief Executive Officers (CEOs) and chairpersons of the board are associated with better lending performance and lower default risk when faced with severe real estate price shocks. Using a large panel of U.S. commercial banks, we document that female-led banks with high real estate exposure are associated with lower loan charge-offs and lower non-accrual loans relative to similar male-led banks. Furthermore, our empirical findings indicate that female-led banks with high real estate exposure have lower default risk and are less likely to fail in the aftermath of real estate price shocks. However, we find no evidence of superior lending performance or reduced default risk for female-led banks which are not exposed to severe real estate price shocks through high levels of real estate lending.©2020 Elsevier. This manuscript version is made available under the Creative Commons Attribution–NonCommercial–NoDerivatives 4.0 International (CC BY–NC–ND 4.0) license, https://creativecommons.org/licenses/by-nc-nd/4.0/fi=vertaisarvioitu|en=peerReviewed

Essays on option-implied information

fi=vertaisarvioitu|en=peerReviewed

Did Good Corporate Governance Improve Bank Performance During The Financial Crisis?

Let e ⊂ ℝ be a finite union of ℓ + 1 disjoint closed intervals, and denote by ω j the harmonic measure of the j left-most bands. The frequency module for e is the set of all integral combinations of ω 1,..., ω ℓ. Let {ã n, b̃ n} ∞n=-∞ be a point in the isospectral torus for e p̃ n its orthogonal polynomials. Let {a n, b n} ∞n=1 be a half-line Jacobi matrix with a n = ã n,+ δa n, b n = b̃ n + δb n. Suppose and have finite limits as N → ∞ for all ω in the frequency module. If, in addition, these partial sums grow at most subexponentially with respect to ω, then for z ∈ ℂ \ℝ, pn(Z)/P̃n(Z) has a limit as n → ∞. Moreover, we show that there are non-Szego{double acute} class J\u27s for which this holds. © 2012 Springer Science+Business Media, LLC