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City University of London (Cass)
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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)
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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)
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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)
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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)
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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)
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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)
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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...
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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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)
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"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)
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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)
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"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)
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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)
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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)
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