Author(s): Alistair Milne, Cass Business School, Perry Mehrling, Barnard College, Columbia University, New York, supported by ACCA
Alistair Milne and Perry Mehrling, together with Laurence Kotlikoff of Boston University, propose using government credit insurance guarantees to combat the credit crisis. Their idea is to use these guarantees to put a floor under the prices of the better quality tranches of structured credit securities, hence restoring liquidity to credit markets and arresting the global credit contraction.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 1114
Author(s): Bruce Hearn, Cass Business School, City University London
This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted with a simple stochastic drift model on a new sample of all of Africa's major equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia, Botswana and South Africa, together with London and Paris. Costs of equity are found to be highest in Nigeria and Zambia and lowest in Tunisia, Morocco, Namibia and South Africa's blue chip stocks. Analysis of portfolio characteristics reveals that investment strategies based on either pan-African or Francophone markets outperform those of Anglophone markets in Africa, despite their lower mean returns.
Updated: 03/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 58
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: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 109
Author(s): David Blake, Cass Business School, Enrico Biffis, Imperial College Business School
This paper provides an overview of the recent developments in capital markets aimed at overcoming the difficulties of transfering longevity risk and at creating a liquid market in mortality-linked securities and derivatives.
Updated: 01/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 235
Author(s): Radu Tunaru, Cass Business School, Frank J. Fabozzi, Yale School of Management, Robert J. Shiller, Yale University
Although property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity.
Updated: 04/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 224
