Can common components eliminate momentum returns?

Author(s):

Gulnur Muradoglu

Topic:
Finance
Industry:
Banking

This paper investigates the presence of momentum return when priced for common components. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show significant momentum return remains both at the portfolio level and at the individual stock level.

Updated: 22/09/2011
Comments:
Views: 3,959

IPO flipping and its determinants in Bangladesh

Author(s):

Sirajum Munira

Topic:
Finance
Industry:
Banking

In this paper, we attempt to determine the degree of IPO flipping and to investigate the factors that explain IPO flipping in Bangladesh.

Updated: 29/09/2011
Comments:
Views: 3,491

Decomposition of momentum return: which component contributes most?

This paper investigates the contribution of common components and stock specific components in generating momentum return.

Updated: 22/09/2011
Comments:
Views: 4,002

Liquidity, bank credit and money

Author(s):

Alistair Milne

Topic:
Finance

One consequence of the current global financial crisis has been that central banks can no longer closely control market rates of intersts and have reverted to quantitative approaches to monetary policy. Macromonetary models lag well behind these developments and this paper provides a step towards filling this gap.

Updated: 22/09/2011
Comments:
Views: 4,168

The lending channel under optimal choice of monetary policy

Author(s):

Alistair Milne

Topic:
Finance
Industry:
Banking

Building on Cecchetti and Li (2005), we show that the bank lending channel affects monetary policy trade-offs only when interest rates affect marginal costs of production (ie when there is a cost channel of monetary policy) in the New Keynesian monetary policy model. In our calibrated model the resulting impact of the bank lending channel on output-inflation trade-offs is quantitatively small and of ambiguous sign. When bank capital varies counter cyclically and bank loan rates have a relatively large impact on marginal costs, variation of bank loan margins improves monetary policy trade-offs. The new Basel accord, by increasing capital requirements during economic downturns, offsets this beneficial impact.

Updated: 22/09/2011
Comments:
Views: 3,856

The bank lending channel reconsidered

Author(s):

Geoffrey Wood

Topic:
Finance
Industry:
Banking

We examine macroeconomic data for the G8 countries and find no evidence that banking sector deposits respond negatively to tightening of monetary policy, as the accepted view of the bank lending channel requires.

Updated: 22/09/2011
Comments:
Views: 4,405

Private equity backed IPOs in UK

Author(s):

Mario Levis

Topic:
Finance
Industry:
Banking

In sharp contrast to the well established evidence of IPO aftermarket underperformance, the impact of venture capital and private equity backing on the subsequent performance of newly floated firms remains unresolved. I use a unique sample of private equity-backed IPOs during the period January 1992 to December 2004 to investigate the short and long run performance of venture capital-backed, private equity-backed buyouts and other IPOs in the London markets.

Updated: 22/09/2011
Comments:
Views: 4,567

Changes in block ownership in the London Stock Exchange

Author(s):

Meziane Lasfer

Topic:
Finance
Industry:
Banking

We analyze the time-series distribution of large blockholders and managerial ownership in the UK over the last decade.

Updated: 22/09/2011
Comments:
Views: 4,397

To trade or not to trade: the strategic trading of insiders around news announcements

Author(s):

Meziane Lasfer

Topic:
Finance
Industry:
Banking

In this paper, we provide evidence that insider buying is driven by the trade-off, while selling is primarily influenced by the deterring effect of the regulatory and reputation risks. We show that insiders strategically choose the amount of shares bought ahead of good news announcements.

Updated: 17/10/2012
Comments:
Views: 4,284