Articles in "Finance"

European real estate market convergence

Author(s):

Stephen Lee

 et al.

This paper uses the concepts of Beta-convergence and Sigma-convergence to evaluate empirically the hypothesis of rent and yield convergence in seven European office markets during the period 1982-2009.

Updated: 24/10/2011
Comments:
Views: 3,717

Micro versus macro cointegration in heterogeneous panels

Author(s):

Lorenzo Trapani

 et al.
Topic:
Finance
Industry:
Banking

We consider the issue of cross-sectional aggregation in nonstationary and hetero- geneous panels where each unit cointegrates.

Updated: 24/10/2011
Comments:
Views: 2,253

Inferential theory for heterogeneity in large non-stationary panels

Author(s):

Lorenzo Trapani

Topic:
Finance
Industry:
Banking

This paper provides an estimation and testing framework to assess the presence and extent of slope heterogeneity when the units are a mixture of spurious and/or cointegrating regressions.

Updated: 24/10/2011
Comments:
Views: 2,595

On bootstrapping panel factor series

Author(s):

Lorenzo Trapani

Industry:
Banking

This paper studies the asymptotic validity of the bootstrap for nonstationary panel factor series.

Updated: 24/10/2011
Comments:
Views: 2,795

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 3,824

Momentum profits, non-normality risks and the business cycle

This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.

Updated: 24/10/2011
Comments:
Views: 3,033

Barriers to university spin out funding: perceptions of the participants academic and venture capitalists

Author(s):

Julie Logan

 et al.
Topic:
Finance
Industry:
Any Industry

This paper considers the barriers which effect the funding of university spin outs, by exploring the perceptions of the academic and the venture capitalists, who are the two key participants in the funding process. The investigation therefore differs from previous studies that have concentrated on the "hard" issues, such as the sources of commercial funding and the amount of funds available.

Updated: 24/10/2011
Comments:
Views: 3,619

How do UK banks react to changing central bank rates?

Author(s):

Ana-Maria Fuertes

 et al.
Topic:
Finance
Industry:
Banking

This paper explores the interest rate transmission mechanism using a broad disaggregated sample of UK deposit and credit products.

Updated: 24/10/2011
Comments:
Views: 3,882

Tactical allocation in commodity futures markets: combining momentum and term structure signals

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies.

Updated: 22/09/2011
Comments:
Views: 4,243