Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly unobservable for this asset class. This paper aims to fill this gap by analyzing market risks of listed private equity vehicles. We show that aggregate market risk varies strongly over...

The new Basel III rules for liquidity and funding will have an impact on several areas of the banking business. As a consequence, it is useful to identify the key areas within a bank where Basel III has the biggest impact and to define the necessary strategies, processes, and new products to...

Starting in September 2008 stock market regulators across the world introduced, at different times and for different durations, bans on short-selling financial institution’s shares. The argument for the bans is that short selling increases the volatility and contagion risk of financial...

The link between investor sentiment and asset valuation is at the center of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our...

The authors build on research into the African equity universe to recommend a more appropriate index for investment. Three different methodologies were investigated, namely capitalization, equal, and fundamental weighting of index constituents. The authors conclude that diversification is not...

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven by fundamentals and irrational sentiments not driven by...

We propose an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio’s expected frequency and expected severity, but also its “risk” as captured by an appropriate measure of dispersion/spread. This new paradigm is...

CoCos are contingently convertible debt securities. They are an infant reform instrument that grew out of the 2007-09 crisis. As hybrid capital, they convert to common equity tier 1 (CET1) outside bankruptcy when a built-in trigger level of the regulatory capital ratio with risk-weighted assets...

The complex dynamics of world financial markets yield inherent uncertainty and the prospect of periods of enhanced volatility. The turbulent global economic and regulatory environment of the past few years has certainly illustrated this reality. As investment managers interpret clients’...

This paper reports an investigation into measures of portfolio performance. The Sharpe ratio is the natural performance measure when asset returns come from any elliptically symmetric distribution, regardless of the investor utility function and subject only to regularity conditions. Under such...