During the subprime crisis, the U.S. Federal Reserve has been concerned about widening spreads between the overnight inter-bank lending rate such as the overnight index swap (OIS) and term London Inter-Bank Offer Rates (LIBOR). Among the tools it has used to counter the impact of the crisis, the...

This paper examines the impact of both socially responsible (SR) and conventional entrant funds on SR incumbent funds using an overlap in portfolio holdings to measure the impact of competition in the US mutual fund industry. This paper's findings indicate that over the past decade the increase...

How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to...

This study employs text-analysis software to analyze the contents of the Federal Reserve Beige Book summary of national economic and business conditions, with a particular focus on the predictive content of the text. The empirical results suggest that the Beige Book's tone changes in response to...

This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the...

This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of...

As a banking system health indicator and risk premium, the Libor-OIS spread has attracted great interest during recent years. Despite the recent Libor fixing scandal, our study based on five major currencies can still shed insights on the true determinants of the Libor-OIS spreads under...

This study shows that (1) Australian analysts are optimistic in their forecasts and underreact to new information, (2) the continuous disclosure (CD) regime has a negative impact on forecast optimism and dispersion, (3) analyst forecast bias is associated with certain firm characteristics, (4)...