Cass and Unigestion - Private Equity & Investment Management briefing - 1 May 2013

As a result of the recently established collaboration between Unigestion, the boutique Swiss Asset Management and Cass Business School's Centre for Asset Management (CAMR), this Breakfast Briefing Series is an opportunity for the academic world and the investment management world to discuss and debate investment methods and techniques, in theory and in practice.

Updated: 25/04/2013
Comments:
Views: 1,163

Modelling Dependence in CDS and Equity Markets: Dynamic Copula with Markov-Switching

Author(s):

Elena Kalotychou

 et al.
Topic:
Finance
Industry:
Banking

This research utilises copulas to build on existing work on the non-linear relation between credit spreads and tradable systematic risk factors.

Updated: 23/05/2013
Comments:
Views: 904

Non-parametric prediction of stock returns based on yearly data. The long term view.

Author(s):

Jens Nielsen

 et al.
Industry:
Banking

Is it possible to predict equity returns and premiums with the use of empirical models? This is one of the most frequently pondered and studied questions in finance. In this research we examine the predictability of returns, taking the actuarial long term view and basing predictions on yearly data.

Updated: 25/06/2013
Comments:
Views: 1,863

'Deep change' to banking ethos needed.

Author(s):

Andre Spicer

Industry:
Banking

How best to respond to the iniquities uncovered within the financial sector in recent years? Better communication, harsher punishments and stronger regulation have been touted as ways to hold banks to account - but it is important to look more deeply to achieve real and lasting change. Professor André Spicer assesses the options.

Updated: 11/01/2013
Comments:
Views: 3,473

Dynamic Debt Runs and Financial Fragility: Evidence from the 2007 ABCP Crisis

Author(s):

Enrique Schroth

 et al.
Topic:
Finance
Industry:
Banking

Debt runs played a central role in the financial crisis of 2007-2008, reigniting the debate about their causes and how they can be prevented. This research uses the 2007 asset-backed commercial paper (ABCP) crisis as a basis to study the determinants of debt runs.

This paper can may be of specific interest to financial institutions, as it has clear implications about the design of off-balance sheet investments, the degree of maturity mismatch between debt and assets, the strength of the credit guarantees and, most importantly, exactly how much leverage is unsafe. This discussion is timely, given the efforts by the Vickers report and the Liikanen report to address the problems of shadow banking.

Updated: 20/12/2013
Comments:
Views: 4,156

Momentum effects: G10 currency return survivals

Author(s):

Natasa Todorovic

 et al.
Topic:
Finance
Industry:
Banking

The aim of this paper is to analyse data dependencies and patterns in historic currency time series data and implement trading rules that lead to abnormal currency returns that cannot be explained by any systematic risk taking.

This paper analyses momentum effects in G10 currencies by applying survival analysis common in life time statistics to shed a new light on the market efficiency within the currency market.

Updated: 14/01/2013
Comments:
Views: 3,128

Corporate speculation and CEO characteristics

Author(s):

Alessandro Beber

 et al.
Topic:
Finance
Industry:
Banking

Managers are acknowledged to have their own style when taking corporate decisions. Personal characteristics of CEOs are empirically important determinants of a large range of corporate variables. However, there are still a number of unexplored research questions. One of these is to what extent the corporate risk management policies of non-financial firms departs from textbook hedging.

In this paper, Cass researchers study to what extent CEO personal beliefs and individual characteristics explain the time-series variation of foreign currency derivatives beyond industry, firm, and market fundamentals.

Updated: 14/01/2013
Comments:
Views: 3,838

Winners and losers: German equity mutual funds

Author(s):

Dirk Nitzsche

 et al.
Topic:
Finance
Industry:
Banking

The performance of individual US and UK mutual funds has been extensively analysed across a range of research.

Many newspapers and trade journals present performance results in the form of league tables, so they too emphasise funds in the tails of the cross-section distribution. The contribution of this paper is to derive the empirical distributions for individual funds in the tails of the performance distribution, for a large number of German equity mutual funds using 20 years (1990-2009) of monthly data.

Updated: 14/01/2013
Comments:
Views: 3,634

Beware fund managers bearing gifts: developments in human capital and investment

Author(s):

Chris Rowley

 et al.


After the post-2008 global financial crisis, people are much more interested in knowing more about human capital as a key indicator of future value in firms. Investors increasingly need to see early warning signs of failure or growth prospects in their investments. For bankers, lending proposals are either accepted or rejected on the basis of set financial ratios, such as debt to equity and loan to valuation.

Do these ratios tell the real story of the value which is being created, or destroyed, within a company? Is it dangerous for investors to rely on quantitative measures alone?

Updated: 14/01/2013
Comments: 1
Views: 3,948