VAR analysis on a measure of bank lending standards collected by the Federal Reserve reveals that shocks to lending standards are significantly correlated with innovations in commercial loans at banks and in real output. Credit standards strongly dominate loan rates in explaining variation in business loans and output. Standards remain significant when we include various proxies for loan demand...

Currently, in difficult epidemiological conditions, there are significant changes all spheres of human life. Also, the negative impact coronavirus epidemic (COVID-19) was not spared by such a area for humanity as mortgage. Mortgage activity has undergone context pandemic, especially under influence factors. However, despite Government Russian Federation proposed supportive measures and provided...

In May 1927, the German central bank intervened indirectly to reduce lending to equity investors. The crash that followed ended the only stock market boom during Germany’s relative stabilization 1924-28. This paper examines the factors that lead to the intervention as well as its consequences. We argue that genuine concern about the ‘exuberant’ level of the stock market, in addition to worries ...

The investment in mutual funds has steadily increased in this decade. This growth has created a need for comprehensive and expandable financial decision support systems (DSS) that embody the knowledge of an expert in making investment decisions. This study illustrates the design and development of an intelligent, object-oriented decision support system: MFS -–Mutual Fund Selector. MFS takes int...

Recently, P2P lending has become a hot research topic in finance, especially after the global financial crisis. Most existing research did not consider the efficiency from the borrowers’ perspective. This paper proposes a decision support system based on intelligent agents in P2P Lending for borrowers. The system provides borrowers with individual risk assessment, eligible lender search, lendin...

normal today. The 1960 volume of the Financial Analysts Journal contains a pair of remarkable articles. In the first, “The Case for an Unmanaged Investment Company,” Edward Renshaw and Paul Feldstein compared the returns of mutual funds to those of the DJIA and found that only 11 of 89 diversified common stock and balanced funds had returns higher than those of the DJIA. This and similar eviden...

It is well known that the pro forma performance of a sample of investment funds contains biases. These biases are documented in Brown, Goetzmann, Ibbotson and Ross (1992) using mutual funds as subjects. The organization structure of hedge funds, being private and often offshore vehicles, makes data collection a much more onerous task. This amplifies the impact of performance measurement biases....

This chapter reviews some important innovations in quantitative strategies for investment management. We summarize the advantages and limitations of applying cointegration and principal component analysis to portfolio construction. Empirical examples show that by exploiting the presence of common factors, both models can significantly enhance traditional optimization strategies. More important,...