- Subscribe to this page:
- RSS
- Email Alert
City University of London (Cass)
(100 results)-
White Papers
Price Discovery In Foreign Exchange Markets: A Comparison Of Indicative And Actual Transaction Prices
November 6, 2008, 12:00am PST
This paper compares four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, this paper finds,...
Provided by City University of London (Cass)
-
White Papers
Do Futures lead Price Discovery in Electronic Foreign Exchange Markets?
August 1, 2008, 12:00am PDT
Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems:...
Provided by City University of London (Cass)
-
White Papers
"Fiscal Policy And Asset Markets: A Semiparametric Analysis"
August 29, 2007, 12:00am PDT
Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the U.S. asset markets (stocks, corporate and treasury bonds). This paper...
Provided by City University of London (Cass)
-
White Papers
The Greek Bank-Insurance Model: A Look At A Not-So-New Corporate Structure
November 17, 2008, 12:00am PST
One of the notable characteristics of modern financial markets is the convergence among financial institutions, which until recently preformed different tasks. To this end, the present study...
Provided by City University of London (Cass)
-
White Papers
"US Monetary Policy Surprises And Currency Futures Markets: A New Look"
March 1, 2008, 12:00am PST
Intraday currency futures prices react to both surprises in the federal funds target rate (the target factor) and surprises in the anticipated future direction of Federal Reserve monetary policy...
Provided by City University of London (Cass)
-
White Papers
Innovation And Performance Of European Banks Adopting Internet
March 18, 2010, 12:00am PDT
Ebanking has been a bit of a fad. Virtual banks were believed to challenge traditional banks. The burst of the internet bubble brought down this first generation of internet banks. Traditional...
Provided by City University of London (Cass)
-
White Papers
Does Securitization Reduce Credit Risk Taking? Empirical Evidence From US Bank Holding Companies
January 31, 2010, 12:00am PST
This paper investigates the impact of securitization on the credit-risk taking behavior of banks. Using US bank holding company data from 2001 to 2007 it is found that banks with a greater balance...
Provided by City University of London (Cass)
-
White Papers
Bank Productivity Changes In Two Asian Giants
January 20, 2010, 12:00am PST
China and India have experienced rapid economic growth over the last two decades, and finance is central to growth. Banking is the dominant form of finance in both countries, so an interesting...
Provided by City University of London (Cass)
-
White Papers
Emerging Themes In Banking: Recent Literature And Directions For Future Research
November 10, 2009, 12:00am PST
This paper presents a review of the recent literature in banking around the core themes of performance, risk and governance of financial institutions. This paper backdrop of the recent financial...
Provided by City University of London (Cass)
-
White Papers
The Profitability Of Banks in Japan: The Road To Recovery?
November 1, 2009, 12:00am PDT
This paper investigates the profitability of City, Trust, Regional, Second Association Regional, Shinkin and Credit Cooperative banks following the major financial crisis that affected Japan in...
Provided by City University of London (Cass)
-
White Papers
Regulatory Reform And Productivity Change In Indian Banking
October 25, 2009, 12:00am PDT
This paper examines the impact of regulatory reform on TFP growth and its sources and on the relationship between ownership and cost efficiency for Indian banks in 1992-2004. The methodology...
Provided by City University of London (Cass)
-
White Papers
Securitization And Bank Performance
September 28, 2009, 12:00am PDT
Theory suggests that securitization provides financial institutions with an opportunity to lower the cost of funding; improve credit risk management and increase profitability. In practice,...
Provided by City University of London (Cass)
-
White Papers
Competition And Risk Taking Incentives In The Lending Market: An Application To Indian Banking
September 1, 2009, 12:00am PDT
This paper develops a structural model of competition in the lending market to examine the impact of financial reforms both on competition and on banks' risk taking incentives. Drawing on the...
Provided by City University of London (Cass)
-
White Papers
Does Competition Lead To Efficiency? The Case of EU Commercial Banks
January 1, 2009, 12:00am PST
Using bank level balance sheet data for commercial banks in the major EU banking markets, this paper aims to shed some light on the recent developments in competition, concentration and bank...
Provided by City University of London (Cass)
-
White Papers
High And Low Frequency Correlations In Global Equity Markets
November 10, 2009, 12:00am PST
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period...
Provided by City University of London (Cass)
-
White Papers
Practical Issues With State Space Models with Mixed Stationary And Non-Stationary Dynamics
November 20, 2009, 12:00am PST
State-space models, and the state-space representation of data, are an important tool for econometric modeling and computation. However, when applied to observed (rather than detrended) data, many...
Provided by City University of London (Cass)
-
White Papers
Why Are We In A Recession?: The Financial Crisis Is The Symptom Not The Disease!
August 1, 2009, 12:00am PDT
Globalization has brought a sharp increase in the developed world's labor supply. Labor in developing countries - countries with vast pools of underemployed people - can now more easily augment...
Provided by City University of London (Cass)
-
White Papers
Leverage, Value And Firm Scope
October 26, 2008, 12:00am PDT
This paper observes that holding-subsidiary structures (HS) provide a conditional guarantee to their lenders, and compares it to both the unconditional guarantee binding conglomerate divisions and...
Provided by City University of London (Cass)
-
White Papers
The Fractional Merton Model: A New Approach To Credit Risk Pricing (Revised)
October 30, 2008, 12:00am PDT
Merton model is known to underestimate credit spreads. In this paper the authors develop the theoretical framework of the fractional Merton model, which allows to embed long memory properties of...
Provided by City University of London (Cass)
-
White Papers
Testing For Instability In Factor Structure Of Yield Curves
May 30, 2008, 12:00am PDT
A widely relied upon but a formally untested consideration is the issue of stability in factors underlying the term structure of interest rates. In testing for stability, practitioners as well as...
Provided by City University of London (Cass)
-
White Papers
The Fractional Merton Model: A New Approach To Credit Risk Pricing
March 17, 2008, 12:00am PDT
In this paper the authors develop the theoretical framework of the fractional Merton model, which allows to embed long memory properties of spreads in a straightforward manner in a credit risk...
Provided by City University of London (Cass)
-
White Papers
Theory Testing In Economics And The Error Statistical Perspective
April 1, 2008, 12:00am PDT
The main thesis of this paper is that the error statistical perspective can provide a coherent framework wherein the 'third way' can foster its twin goals of developing an adequate methodology and...
Provided by City University of London (Cass)
-
White Papers
Philosophy Of Econometrics
December 1, 2007, 12:00am PST
The current state of applied econometrics, viewed as the empirical understructure of economics, calls for much greater attention to be paid to the philosophical foundations of empirical modeling....
Provided by City University of London (Cass)
-
White Papers
Copula-Based Tests For Cross-Sectional Independence In Panel Models
January 30, 2008, 12:00am PST
This paper considers tests of cross-sectional dependence using copulas in panel models. It is important to test the cross-sectional dependence in panel models because the existence of...
Provided by City University of London (Cass)
-
White Papers
Evaluating Value-At-Risk Models With Desk-Level Data
July 31, 2007, 12:00am PDT
This paper presents new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. The dataset includes daily P/L...
Provided by City University of London (Cass)
-
White Papers
On The Relationship Between Cross-Section And Time Series Measures Of Uncertainty
June 29, 2007, 12:00am PDT
In this paper, the authors provide a coherent theoretical investigation of the relationship between cross-section and time series measures of uncertainty, which are often employed as perfect...
Provided by City University of London (Cass)
-
White Papers
Investors Overconfidence: A Survey On The Tunisian Stock Market
September 18, 2009, 12:00am PDT
The aim of this paper is to check if investors in emergent markets, especially in the Tunisian stock market, suffer from the overconfidence bias. To achieve this purpose the authors adopted a...
Provided by City University of London (Cass)
-
White Papers
Determinants Of Cross-Sectional Stock Return Variations In Emerging Markets
March 1, 2008, 12:00am PST
This paper extends the studies on the relative importance of country and industry effects in explaining cross-sectional stock return variations by exploring the fundamental sources of the country...
Provided by City University of London (Cass)
-
White Papers
Asset Pricing With Spirit Of Capitalism In A Rare Disaster Framework
May 21, 2010, 12:00am PDT
The equity premium puzzle is celebrating its silver jubilee this year! And it is not because of lack of efforts on the part of economists. Diverse approaches - nonstandard preferences, transaction...
Provided by City University of London (Cass)
-
White Papers
Time Varying Prospective Utility And Optimal Asset Allocation For Australasian Stocks And Bonds
May 21, 2010, 12:00am PDT
This paper presents evidence that the concept of the frequency of portfolio evaluation required to produce indifference between Stocks and Bonds is highly dependent upon the actual test sample...
Provided by City University of London (Cass)
-
White Papers
Momentum, Book-To-Market Equity, And The 2003 Dividend Tax Cut
June 23, 2010, 12:00am PDT
The authors investigate market reactions and portfolio performance around the announcement of the January 2003 proposal to eliminate shareholder-level taxes on dividends. They examine portfolios...
Provided by City University of London (Cass)
-
White Papers
Revenue Diversification And Insolvency Risk: Evidence From Banks In Emerging Economies
December 16, 2007, 12:00am PST
This paper investigates the impact of revenue diversification on insolvency risk in emerging economies as measured by the distance to default. Using a panel dataset of 322 listed banks across 22...
Provided by City University of London (Cass)
-
White Papers
Unlocking the potential of The UK?s Hidden Innovators
April 1, 2008, 12:00am PDT
The Enterprise Strategy Whitepaper launched in March by the Department for Business, Enterprise and Regulatory Reform highlighted the need for the UK to create a culture of Enterprise, Innovation...
Provided by City University of London (Cass)
-
White Papers
Dark Omens In The Sky: Do Superstitious Beliefs Affect Investment Decisions?
June 1, 2009, 12:00am PDT
Psychological research documents that individuals are more likely to resort to superstitious practices when operating in environments dominated by uncertainty, high stakes, and perceived lack of...
Provided by City University of London (Cass)
-
White Papers
Can Risk Aversion Really Explain The Negative Investment-Uncertainty Relationship?
January 1, 2010, 12:00am PST
This paper shows the role of risk aversion and intertemporal substitutability in the investment-uncertainty relationship. Using recursive preferences, the paper demonstrates that not only the...
Provided by City University of London (Cass)
-
White Papers
Does Financial Globalization Contribute To Productivity Growth?
October 29, 2007, 12:00am PDT
Economic theory has identified a number of channels through which financial globalization could have a positive impact on productivity growth. However, while there has been a vast empirical...
Provided by City University of London (Cass)
-
White Papers
Performance-Structure And Market Power Versus Efficiency In Latin American Banking
February 22, 2008, 12:00am PST
Since the mid-1990s the Latin American banking sector has experienced profound changes due to financial liberalization, a significant increase in foreign investments and greater mergers...
Provided by City University of London (Cass)
-
White Papers
Monetary Disorder And Financial Regimes: The Demand For Money In Argentina, 1900-2006
December 11, 2009, 12:00am PST
Argentina is a unique experience of protracted economic instability and monetary disorder. In the framework of a long-term view, the authors of this paper investigate the demand for narrow money...
Provided by City University of London (Cass)
-
White Papers
Disentangling Liquidity And Size Effects In Stock Returns: Evidence From China
October 1, 2007, 12:00am PDT
Both size effect and liquidity effect in stock returns have been well-documented in the literature. Since firm size and stock liquidity are closely correlated, it is generally difficult to...
Provided by City University of London (Cass)
-
White Papers
Who Is Really interested In Risk Management?
January 1, 2010, 12:00am PST
The global credit crisis has once again focused attention on risk management practices in the banking industry. The discipline of risk management had been developing quite rapidly in both the...
Provided by City University of London (Cass)
-
White Papers
Investment Model Uncertainty And Fair Pricing
July 23, 2008, 12:00am PDT
Modern investment theory takes it for granted that a Security Market Line (SML) is as certain as its "Corresponding" Capital Market Line. (CML). However, it can be easily demonstrated that this is...
Provided by City University of London (Cass)
-
White Papers
Recent Developments On Internal Auditing Legislation In Public Institutions Of Turkey: A Hospital Case
July 1, 2009, 12:00am PDT
Today, the fundamental aims of business enterprises are to become current throughout the world and to expand in this competitive environment, and to increase the value and profit of shares. The...
Provided by City University of London (Cass)
-
White Papers
Hedge Funds And Unconscious Fantasy
November 26, 2009, 12:00am PST
The authors help to explain the rapid growth in aggregate hedge fund assets under management until June 2008 followed by their collapse in terms of the conflicting emotions such investment...
Provided by City University of London (Cass)
-
White Papers
Government's Role As Credit Insurer Of Last Resort And How It Can Be Fulfilled
October 9, 2008, 12:00am PDT
What caused the credit crisis? What will end the credit crisis? What will restore credit markets to normal functioning? This paper answers these three questions. There is of course no single cause...
Provided by City University of London (Cass)
-
White Papers
Economies of Scale and Scope in China's Banking Sector
August 22, 2008, 12:00am PDT
Employing the stochastic frontier approach and expansion path measures, this article estimates economies of scale and scope in China's banking sector during the period 1985 to 2002. The objective...
Provided by City University of London (Cass)
-
White Papers
Credit Risk And Business Cycle Over Different Regimes
October 1, 2007, 12:00am PDT
In the recent banking literature on the relationship between credit risk and business cycle, the presence of asymmetric effects both across credit risk regimes and through the business cycle has...
Provided by City University of London (Cass)
-
White Papers
The Design Of Bank Loan Syndicates In Emerging Markets Economies
July 1, 2007, 12:00am PDT
This paper empirically explore the influence of loan characteristics, banking and financial structure, and regulatory and institutional factors on the design of bank loan syndicates in emerging...
Provided by City University of London (Cass)
-
White Papers
Cass Business School Workshop On The Proposed New UK Regime For Resolution Of Banking Problems
April 29, 2008, 12:00am PDT
This is a record of the discussion that took place on 7th April at a workshop organized by Cass Business School, on current proposals for a new UK regime for the resolution of banking problems....
Provided by City University of London (Cass)
-
White Papers
Government Backed Insurance Of Extreme Systemic Risk
December 15, 2008, 12:00am PST
Governments' worldwide have recapitalised their banks, but this has not been enough to persuade banks to lend again. Despite large interest rate reductions the supply of credit to households and...
Provided by City University of London (Cass)
-
White Papers
Corporate Social Responsibility And Financial Distress
September 23, 2007, 12:00am PDT
Using both multivariate regressions, simultaneous nonlinear equations and a discrete time hazard model, I find that the level of CSR (Corporate Social Responsibility) in a firm, proxied by KLD...
Provided by City University of London (Cass)
-
White Papers
Destructive Corporate Leadership And Board Loyalty Bias: A Case Study Of Michael Eisner's Long Tenure At Disney Corporation
June 25, 2010, 12:00am PDT
In this paper the authors argue that the widely-held public corporation, characterised by "Strong managers and weak owners" (Roe, 1994) is exposed to what Padilla, et al (2007) identify as...
Provided by City University of London (Cass)
-
White Papers
The Market Potential For Privately Financed Long Term Care Products In The UK
January 1, 2009, 12:00am PST
This paper considers the market potential for privately financed long term care products in the UK. It finds that since the present market is undeveloped there is scope to increase the range of...
Provided by City University of London (Cass)
-
White Papers
The Impact Of Hedging On Firm Value: Evidence From Brazil
February 21, 2008, 12:00am PST
This paper examines the impact of company's hedging activities on firm value for a sample of non-financial Brazilian companies from 1996 to 2005. The results show that hedging activities do...
Provided by City University of London (Cass)
-
White Papers
On The Monitoring Role Of The Board Of Directors: The Case Of The Adoption Of Cadbury Recommendations In The UK
September 1, 2008, 12:00am PDT
The author test empirically the hypothesis that the monitoring roles of the board of directors depend on the severity of the agency problems and the amount of information needed to monitor. He...
Provided by City University of London (Cass)
-
White Papers
The Interrelationship Between Managerial Ownership And Board Structure
October 17, 2007, 12:00am PDT
The paper tests the hypothesis that high managerial ownership entrenches managers by allowing the CEO to create a board that is unlikely to monitor. The results show a strong negative relationship...
Provided by City University of London (Cass)
-
White Papers
Why Do Managers Avoid EPS Dilution?
October 30, 2009, 12:00am PDT
Survey and empirical evidence reveals that managers prefer to avoid earnings dilution, though financial theory suggests that it is irrelevant in firm valuation. The paper explores contracting and...
Provided by City University of London (Cass)
-
White Papers
Asymmetric Linkages Between High-Frequency DEM/USD and GBP/USD Exchange Rates
November 27, 2007, 12:00am PST
This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, the authors study the high frequency volatility...
Provided by City University of London (Cass)
-
White Papers
Optimism And Portfolio Choice
September 6, 2009, 12:00am PDT
This study develops three heuristics to measure financial optimism: financial expectation, a priori optimism, and a posteriori optimism. This paper finds that financial optimism has a significant...
Provided by City University of London (Cass)
-
White Papers
An Econometric Analysis Of Fractional Models To Credit Risk Pricing
February 1, 2008, 12:00am PST
The authors propose a fractional version of two well-known credit risk pricing structural models: the Merton and Black and Cox models. The authors assume that the value of the firm obeys to a...
Provided by City University of London (Cass)
-
White Papers
The Impact Of Manager Changes On Fund Performance
April 11, 2008, 12:00am PDT
Using the unique database of UK fund manager changes and event study methodology, the authors examine the impact of such changes to establish whether this impact varies depending upon whether the...
Provided by City University of London (Cass)
-
White Papers
A Transaction Data Study Of The Forward Bias Puzzle
April 1, 2010, 12:00am PDT
Using a market microstructure analytical framework Authors decompose the FX forward discount bias into elements due to time-varying risk premia (related to EBS order flow) and forecast errors...
Provided by City University of London (Cass)
-
White Papers
Asset Growth And Stock Returns: Evidence From The Pacific-Basin Markets
April 1, 2008, 12:00am PDT
This study examines the effect of corporate asset growth on stock returns using data on nine equity markets in the Pacific-Basin region (PACAP). There is a pervasive negative relation between...
Provided by City University of London (Cass)
-
White Papers
Time-Varying Price Discovery In The European Treasury Markets
April 19, 2010, 12:00am PDT
This paper study's the price discovery process in the Euro area government bond markets. Authors of this paper analyze the most active German, French, Italian and Spanish sovereign securities...
Provided by City University of London (Cass)
-
White Papers
What Kind Of Trading Drives Return Autocorrelation?
March 1, 2008, 12:00am PST
This paper proposes new tests for the prediction of Llorente, Michaely, Saar, and Wang (2002) that information trading drives the positive autocorrelation and allocation trading the negative...
Provided by City University of London (Cass)
-
White Papers
Dividend Resumptions, Future Profitability And Stock Returns
April 5, 2008, 12:00am PDT
This paper presents a new approach to examining the dividend signaling hypothesis by investigating dividend resumptions by UK former dividend payers. Evidence regarding the signaling hypothesis...
Provided by City University of London (Cass)
-
White Papers
Dividends And Momentum
October 13, 2009, 12:00am PDT
This paper investigates the relationship that exists between dividend yield and momentum strategies. Both have been shown to explain the cross-section of returns and yet they are negatively...
Provided by City University of London (Cass)
-
White Papers
Price And Momentum As Robust Tactical Approaches To Global Equity Investing
May 1, 2009, 12:00am PDT
This paper investigates the performance of momentum and timing approaches for investing across 32 international equity markets, adding to a growing body of literature including Siegel [2002] and...
Provided by City University of London (Cass)
-
White Papers
Futures Trading And Market Microstructure Of The Underlying Security: A High Frequency Natural Experiment At The Single Stock Future Level
April 25, 2008, 12:00am PDT
This paper examines the differences in volume, volatility and liquidity in the underlying market during intervals when futures trade with those in which they do not trade using high frequency...
Provided by City University of London (Cass)
-
White Papers
Corporate Governance And Market Segmentation: Evidence From The Price Difference Between Chinese A And H Shares
October 1, 2007, 12:00am PDT
This paper empirically examines the determinants of the price difference between Chinese A shares which are traded in the domestic market, and their matching H shares which are traded in the Hong...
Provided by City University of London (Cass)
-
White Papers
Managerial Overconfidence, Moral Hazard Problems, And Excessive Life-Cycle Debt Sensitivity
March 27, 2009, 12:00am PDT
This paper analyses the effects of managerial overconfidence on financing decisions and firm value when investors face managerial moral hazard. Authors consider two cases. In the first case, the...
Provided by City University of London (Cass)
-
White Papers
The Attractiveness Of Central Eastern European Countries For Venture Capital And Private Equity Investors
February 21, 2008, 12:00am PST
This paper addresses the attractiveness of Central Eastern European countries for Venture Capital and Private Equity investors by the construction of a composite index. For the index's composition...
Provided by City University of London (Cass)
-
White Papers
The Changing Role Of Industry And Country Effects In The Global Equity Markets'
November 13, 2008, 12:00am PST
Using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001 this paper examines the roles of the country and industry effects in international equity...
Provided by City University of London (Cass)
-
White Papers
Security Transaction Taxes And Financial Volatility: Evidence From The Athens Stock Exchange'
November 22, 2007, 12:00am PST
The study examines the effects of security transaction tax on volatility. It focuses on whether the tax has a greater effect on highly traded stocks since it penalizes entering and exiting the...
Provided by City University of London (Cass)
-
White Papers
Locking In The Profits Or Putting It All On Black? An Empirical Investigation Into The Risk-Taking Behaviour Of Hedge Fund Managers
July 1, 2009, 12:00am PDT
The ideal fee structure aligns the incentives of the investor with those of the fund manager. Mutual funds typically only charge a management fee which is a proportion of the funds under...
Provided by City University of London (Cass)
-
White Papers
The Performance Of UIP And PPP: Emerging Markets
January 1, 2008, 12:00am PST
The earlier work (Campbell, et al. 2007), which was based on data for developed countries, pointed to errors in exchange-rate expectations as the major force behind the poor performance of UIP and...
Provided by City University of London (Cass)
-
White Papers
FDI And Growth In Emerging Markets: Does The Sectoral Distribution Matter - The Case Of Egypt
October 1, 2008, 12:00am PDT
This study contributes to the on-going discussion on FDI relation with growth in emerging markets. It is based on evidence from Egypt, testing FDI's effect on growth over the period 1974-2005. The...
Provided by City University of London (Cass)
-
White Papers
Spread Components In The Hungarian Forint-Euro Market
January 15, 2010, 12:00am PST
The authors apply the spread decomposition model by Huang and Stoll (1997) to a new data set on the Hungarian Forint-Euro market. The results show differences between the small and less liquid...
Provided by City University of London (Cass)
-
White Papers
Why Are Savings Rates Of Urban Households In China Rising
December 1, 2008, 12:00am PST
From 1995 to 2005, the average urban household saving rate in China rose by 7 percentage points, to about one quarter of disposable income. The authors use household-level data to explain why...
Provided by City University of London (Cass)
-
White Papers
Does Bank Ownership Increase Firm Value? Evidence From China
January 1, 2009, 12:00am PST
Direct bank ownership of company shares is believed to benefit borrowing companies in developed markets. However, little is known about how such bank relationship works in emerging markets, where...
Provided by City University of London (Cass)
-
White Papers
How Attractive Is Central Eastern Europe For Risk Capital Investors
January 1, 2009, 12:00am PST
This paper addresses the attractiveness of Central Eastern European countries for Venture Capital and Private Equity investors by the construction of a tailored composite index. The authors define...
Provided by City University of London (Cass)
Keep Up with TechRepublic
Submit a Paper
Get your content listed in our directory!
Our directory is the largest library of vendor-supplied technical content on the Web. It’s also the first place IT decision makers turn to when researching technology solutions. Our members are already finding your competitors’ papers here - shouldn’t they find yours, too? It's FREE so click here and submit your white paper, case study, data sheet, research report, or other document today!
