Michael Shafer
Providence College
8 Papers
19 Citations
Michael Shafer is an academic researcher from Providence College. The author has contributed to research in topics: Operational risk & Decile. The author has an hindex of 3, co-authored 8 publications. Previous affiliations of Michael Shafer include Syracuse University.
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Papers
Environmental, social, and governance practices and perceived tail risk
Michael Shafer,Edward Szado +1 more
TL;DR: In this paper, the implied volatility smirk on individual equity securities is used to measure perceived tail risk, and the authors find that better environmental, social and governance practices significantly reduce exante expectations of a left-tail event.
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The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties
TL;DR: In this article, the authors examined how tenant diversification impacts credit spreads for mortgages on retail properties and found that mortgages on properties with a highly diversified tenant base have spreads that are up to 7.1 basis points higher than spreads on mortgages for single-tenant properties.
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Operational Risk and Equity Prices
Michael Shafer,Yildiray Yildirim +1 more
TL;DR: In this article, the authors use an empirical model to categorize firms into portfolios based on operational risk, and use these portfolios to show that a strategy of buying firms in the highest decile of operational risk and shorting stocks in the lowest decile OFR has a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000.
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Operational risk and equity prices
TL;DR: In this article, the authors use an empirical model to categorize firms into portfolios based on operational risk, and use these portfolios to show that a strategy of buying firms in the highest decile of operational risk and shorting stocks in the lowest decile OFR has a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000.
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