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Articles in "Finance"
Differences in beliefs and currency risk premia
Standard asset pricing theories have difficulty explaining episodes that are
not simply linked to fundamentals. Notable examples in the dynamics of capital
markets are the equity premium puzzle or the excess volatility puzzle.
These puzzles have motivated an increasingly large literature over the last
couple of decades that explores the general equilibrium implications of
uncertainty for asset prices.This paper studies the importance of heterogeneous
beliefs for the dynamics of asset prices.
Updated: 26/04/2012
Comments:
Views: 517
Corporate speculation and CEO characteristics
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: 12/04/2012
Comments:
Views: 733
Winners and losers: German equity mutual funds
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: 03/04/2012
Comments:
Views: 747
Asymptotics for panel models with common shocks
There is a growing body of literature dealing with limit theory for
non-stationary panels where common shocks are present among the regressors,
thereby introducing strong cross-sectional dependence
The main aim of this paper is to propose a novel asymptotic theory for panel
models where common shocks are present among the regressors, thereby
introducing strong cross-sectional dependence.
Updated: 27/03/2012
Comments:
Views: 577
Are democratic governments more efficient?
This paper explores the relationship between public sector efficiency (PSE)
and the level of democracy, both theoretically and empirically. Specifically,
it is assumed that elected officials in democracies are 'more' accountable to
voters than the respective ones in autocracies.
Do you agree that democratic governments may be seen as more economically
efficient?
Updated: 20/03/2012
Comments:
Views: 710
Risk management issues in European equity funds
The 2008 financial crisis highlighted the lack of effective risk management
in the asset management industry. There was a lack of transparency and
feasibility in the quantitative tools used to compute the value and risk
management for the exotic credit derivatives products. Clearly, risk management
was not well understood or used properly by financial companies that operated
in this turbulent environment.
This paper provides a comprehensive analysis of current risk management
practices of active European equity long-only funds and hedge funds.
Updated: 05/03/2012
Comments:
Views: 1,024
Why managers with low forecast precision select high disclosure intensity
Shin (2006) has argued that in order to understand the equilibrium patterns
of corporate disclosure, it is necessary for researchers to work within an
asset pricing framework in which corporate disclosures are endogenously
determined.
The purpose of this paper is to introduce a general equilibrium model following
the Black-Scholes paradigm with endogeneous disclosure in which firms select
uniquely determined optimal probabilities of early equity-value discovery in a
noisy environment.
Updated: 29/02/2012
Comments:
Views: 752
Learning from prices, liquidity spillovers, and market segmentation
Dealers use prices of other securities as a source of information. As prices
of less liquid securities convey less precise information, a drop in liquidity
for one security raises the uncertainty for dealers in other securities,
thereby affecting their liquidity.
This working paper looks at causes for the occurrence of liquidity (or
illiquidity) spillovers across markets and proposes a novel theoretical
explanation that provides interesting insights into recent events, for example
the 'Flash Crash' of May 2010.
Updated: 22/02/2012
Comments:
Views: 892
Credit rating migration risk and business cycles
The recent global financial crisis has served as a stark reminder of the
crucial role of systematic stress testing of financial institutions'
portfolios, particularly, their lending books. In response to the regulatory
deficiencies thus revealed, Basel III is seeking to achieve the broader
macroprudential goal of protecting the banking sector from periods of excess
credit growth by requesting longer horizon default probabilities, downturn
loss-given-default measures and improved calibration of risk models.
A Mixture of Markov Chains (MMC) approach is proposed to estimate credit rating
migration risk that controls for the business-cycle evolution during the
relevant time horizon in order to ensure adequate capital buffers both in good
and bad times.
Updated: 20/02/2012
Comments:
Views: 1,638
Money market freezes and central banks
During the global crisis central banks were accused of undertaking unconventional measures that some commentators claimed went beyond their mandate. This article focuses on central banks intervening in the money markets as a middle man. It argues that such actions can be welfare improving, but are unlikely to be fiscally neutral, thus raising questions about whether they should be left to a central bank.
Updated: 14/02/2012
Comments:
Views: 821
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