By analyzing 20 developed economies over 1920–2012, we find the following evidence of
overoptimism and neglect of crash risk by bank equity investors during credit expansions:(i) …

Purpose Real estate and stocks are two major asset types in an investor's portfolio.
Therefore, this paper aims to investigate the relationship between these two markets to …

Margin capacity, defined as the aggregate excess debt capacity of investors buying
securities on margin, strongly predicts (i) lower S&P 500 returns,(ii) lower growth in …

We use the futures commission merchants (FCMs) reports released by CFTC to construct a
frequent (monthly) and timely (one-month delay) market-level leverage measure, based on …

We analyze the effectiveness of several widely-used measures of bank business segment
diversification in capturing the 'diversification effect', ie, the ability of the measure to explain …

In recent years, macroprudential policies in the form of lending restrictions have been
implemented in Sweden with the objective of slowing down the increased indebtedness …

Real estate and stocks are the main assets in an investor's portfolio. It is essential to
investigate the long-run relationship between the real estate and the stock market regarding …

Whether inflation, namely money illusion, affects stock prices is a question of long-standing
interest to researchers. Fisher (1928) defines money illusion as “the failure to perceive that …

This thesis studies how credit market frictions affect debt pricing and the behavior of
borrowers and lenders. In the first chapter, I study the matching of corporate borrowers with …

Allowing banks to trade is considered risky. We show instead that cash flows from trading
activities can help banks hedge liquidity risk. For the bank sector, cash flows from lending …