Estimation in the continuous time mover-stayer model with an application to bond ratings migration

Author(s):

Ashay Kadam

 et al.
Topic:
Finance

The aim of this paper is to introduce a continuous, time-nonhomogeneuous model for bond ratings migration, which also incorporates a simple form of population heterogeneity.

Updated: 22/09/2011
Comments:
Views: 4,033

Bayesian inference for issuer heterogeneity in credit ratings migration

Author(s):

Ashay Kadam

 et al.
Topic:
Finance
Industry:
Banking

In this paper, we provide Bayesian estimates to mitigate the problem of data sparsity. We apply them to the Moodys corporate bond default database.

Updated: 22/09/2011
Comments:
Views: 3,660

Executive stock options: value to the executive and cost to the firm

Author(s):

Ashay Kadam

 et al.
Topic:
Finance
Industry:
Banking

We develop a continuous time utility-based model for valuing executive stock options (ESOs). Assuming that the ESO is perpetual (has infinite maturity) and has no vesting restrictions, we explicitly solve for the optimal exercise policy and the value of an ESO from the executive's perspective.

Updated: 22/09/2011
Comments:
Views: 3,935

An overview of the issues surrounding stock market volatility

Author(s):

Elena Kalotychou

Topic:
Finance
Industry:
Banking

The current chapter provides an overarching review of the equity market volatility, covering areas that have caught the attention of practitioners and academics alike.

Updated: 22/09/2011
Comments:
Views: 3,529

IPO lockup arrangements and trading by insiders

Author(s):

Meziane Lasfer

Topic:
Finance
Industry:
Banking

We document that the average lockup of 365 days in the UK is higher than the US 180 days and many insiders trade within the lockup period. We find that prestigious underwriters and underwriter power (longer lockup) drive their trades.

Updated: 22/09/2011
Comments:
Views: 4,748

The determinants of bank performance in China

Author(s):

Shelagh Heffernan

China's banking system has undergone gradual reform since 1978, with a view to improving efficiency and resource allocation. Recent reforms have focused on allowing banks to list some shares on domestic and foreign exchanges, greater foreign equity participation in Chinese banks, and the establishment of new rural financial institutions.

Updated: 22/09/2011
Comments:
Views: 4,442

Financial innovation in the UK

Author(s):

Shelagh Heffernan

Topic:
Finance
Industry:
Banking

This study employs a recent national survey of over 1100 British financial firms to ascertain the determinants of financial innovation and their sales success using Logit and generalised Tobit models.

Updated: 22/09/2011
Comments:
Views: 3,056

Financial innovation in the UK

Author(s):

Shelagh Heffernan

Topic:
Finance
Industry:
Banking

This study employs a recent national survey of over 1100 British financial firms to ascertain the determinants of financial innovation and their sales success using Logit and generalised Tobit models.

Updated: 22/09/2011
Comments:
Views: 3,056

Pricing and valuation in African equity markets

Author(s):

Bruce Hearn

Topic:
Finance
Industry:
Banking

This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted with a simple stochastic drift model on a new sample of all of Africa's major equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia, Botswana and South Africa, together with London and Paris. Costs of equity are found to be highest in Nigeria and Zambia and lowest in Tunisia, Morocco, Namibia and South Africa's blue chip stocks. Analysis of portfolio characteristics reveals that investment strategies based on either pan-African or Francophone markets outperform those of Anglophone markets in Africa, despite their lower mean returns.

Updated: 22/09/2011
Comments:
Views: 2,985