On Balance Sheets, Idiosyncratic Risk and Aggregate Volatility: Is Firm Volatility Good for the Economy?

On Balance Sheets, Idiosyncratic Risk and Aggregate Volatility

The B E Journal of Macroeconomics ◽

10.2202/1935-1690.1622 ◽

2009 ◽

Vol 9 (1) ◽

Author(s):

Luis San Vicente Portes ◽

Deniz Ozenbas

Keyword(s):

Idiosyncratic Risk ◽

Balance Sheets

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Rich Pickings? Risk, Return, and Skill in Household Wealth

The American Economic Review ◽

10.1257/aer.20170666 ◽

2020 ◽

Vol 110 (9) ◽

pp. 2703-2747 ◽

Cited By ~ 5

Author(s):

Laurent Bach ◽

Laurent E. Calvet ◽

Paolo Sodini

Keyword(s):

Idiosyncratic Risk ◽

Household Wealth ◽

Expected Return ◽

Cross Sectional ◽

Balance Sheets ◽

Net Worth ◽

Average Return ◽

Risk Free Rate ◽

Free Rate

We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01 percent. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation. Furthermore, wealth returns explain most of the historical increase in top wealth shares. (JEL D31, G11, G51)

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Reaching for Yield in the ABS Market: Evidence from German Bank Investments*

Review of Finance ◽

10.1093/rof/rfz013 ◽

2019 ◽

Vol 24 (4) ◽

pp. 929-959 ◽

Cited By ~ 3

Author(s):

Matthias Efing

Keyword(s):

Market Power ◽

Idiosyncratic Risk ◽

Capital Adequacy ◽

Balance Sheets ◽

Value Differences ◽

German Bank ◽

Regulatory Constraints ◽

Ex Post ◽

Show Evidence ◽

Reaching For Yield

Abstract If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital adequacy ratios) invest more in higher yielding ABSs conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms of collateral delinquency and lose value. Differences in bank sophistication, market power, or incentives to retain securitizations are unlikely to explain the riskier ABS investments of constrained banks.

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Seti Figure of Merit

International Astronomical Union Colloquium ◽

10.1017/s0252921100015293 ◽

1997 ◽

Vol 161 ◽

pp. 711-717 ◽

Cited By ~ 1

Author(s):

John W. Dreher ◽

D. Kent Cullers

Keyword(s):

Figure Of Merit ◽

Qualitative Difference ◽

Current Generation ◽

Detection Range ◽

Sky Surveys ◽

Independent Observations ◽

Good For

AbstractWe develop a figure of merit for SETI observations which is anexplicitfunction of the EIRP of the transmitters, which allows us to treat sky surveys and targeted searches on the same footing. For each EIRP, we calculate the product of terms measuring the number of stars within detection range, the range of frequencies searched, and the number of independent observations for each star. For a given set of SETI observations, the result is a graph of merit versus transmitter EIRP. We apply this technique to several completed and ongoing SETI programs. The results provide a quantitative confirmation of the expected qualitative difference between sky surveys and targeted searches: the Project Phoenix targeted search is good for finding transmitters in the 109to 1014W range, while the sky surveys do their best at higher powers. Current generation optical SETI is not yet competitive with microwave SETI.

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