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Articles in "Finance"
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: 50
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: 187
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: 237
The market valuation of bonus distributions in an inflationary environment
In inflationary environments, companies can avoid paying cash dividends to
their shareholders. Instead they give them free shares, referred to as bonus
distributions. This issue has not been analysed in previous studies, partly
because the inflation in many western countries is relatively low and
stable.
In this study, the market valuation of this unusual form of stock dividends
was assessed, this was carried out by transferring the accumulated equity
reserves, mainly the inflation revaluation equity reserves, to paid-in capital
leaving the total equity unchanged.
Updated: 09/02/2012
Comments:
Views: 243
Firm incentives, institutional complexity and the quality of “harmonised” accounting numbers
A recent attempt to harmonise accounting standards internationally, through
the adoption of IFRS, has raised expectations of greater similarity in
reporting quality across jurisdictions.
Although research shows that high-quality standards generally improve
accounting quality, there is evidence that standards have a limited role in
determining financial reporting quality.
Updated: 01/02/2012
Comments:
Views: 455
Determinants of debt rescheduling in Eastern European countries
From 1990 to 2005, a number of Eastern European countries became an
attractive region for investments. This paper looks at 15 of those countries
and aims to estimate debt rescheduling probabilities by using a set of
macroeconomic, financial and political variables.
This research is of particular relevance to policy makers, institutional and
private foreign investors to investigate determinants or debt rescheduling
probabilities in those countries.
Updated: 27/01/2012
Comments:
Views: 262
Are positive reactions to bad news plausible? The consideration of fraud in audit and reporting delays
In June 2009 came the news of the alleged fraud in Countrywide Financial,
one of the largest mortgage loan providers in the US before the credit crunch
hit. The allegation against Countrywide reminded people of an unfulfilled role
of auditors in the financial market: fraud detection.
Considering previous literature, the majority of which focuses on accounting
fraud, this paper focuses on the misappropriation of assets and draws a range
of conclusions.
Updated: 13/02/2012
Comments:
Views: 468
Public sector efficiency: leveling the playing field between OECD countries
It has long been recognised that the efficient function of the public sector
is a prerequisite for a country's competent economic performance.
This paper aims to identify a robust methodology for the measurement of the
relative public sector efficiency (government efficiency) of 19 OECD countries
over the period 1980-2000.
Updated: 12/01/2012
Comments:
Views: 374
What does equity sector orderflow tell us about the economy?
Investors rebalance their portfolios as their views about expected returns
and risk change.
In this study empirical measures of portfolio rebalancing were used to back out
investors' views, specifically their views about the state of the
economy.
Contrary to many theories of price formation, did trading activity therefore
contain information that that is not entirely revealed by resulting relative
price changes?
Updated: 05/01/2012
Comments:
Views: 713
The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
The recent financial turmoil has taken a heavy toll on the global economy
and had a devastating effect on public finances. Following the crisis, a number
of Southern European countries have found themselves with a problematic public
sector.
A team including Dr Manthos Delis, Senior Lecturer in Banking, used data from a
number of these countries, including Greece, Italy, Portugal and Spain to
provide the first empirical assessment of the dynamic interrelation between
government bond spreads and their associated credit default swaps.
Updated: 09/12/2011
Comments:
Views: 560
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