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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -

Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013

). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …

Persistent link: https://www.econbiz.de/10011201776

Liquidity and Asset Prices

Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - Volkswirtschaftliche Fakultät, … - 2005

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …

Persistent link: https://www.econbiz.de/10008645110

New methodology for event studies in Bonds

Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2010

The new methodology to study the impact of corporate events on bonds is comprised of a sampling technique and regression model. The method is different from standard approaches, motivated by the belief that event impact should be reflected in levels of yield premium. The regression tests for a...

Persistent link: https://www.econbiz.de/10008694014

Market Bubbles and Chrashes

Kaizoji, Taisei; Sornette, Didier - Volkswirtschaftliche Fakultät, … - 2008

Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of...

Persistent link: https://www.econbiz.de/10004976970

US Industry-Level Returns and Oil Prices

Fan, Qinbin; Jahan-Parvar, Mohammad R. - Volkswirtschaftliche Fakultät, … - 2009

This paper takes a closer look at the puzzle uncovered by Driesprong et al. (2008) and finds empirical support for the "oil effect" in equity returns. Using forty nine US industry-level returns series and changes in oil spot and future prices, we address whether industry-level returns are...

Persistent link: https://www.econbiz.de/10004980390

Evolution of security transaction tax in India

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2012

Securities Transaction Taxes have received much attention over the last few years with countries and global organizations trying to control the level of speculations, especially since the Global Financial Crisis. This study examines the impact of an increase in the level of securities...

Persistent link: https://www.econbiz.de/10011107269

Sovereign and bank CDS spreads: two sides of the same coin?

Avino, Davide; Cotter, John - Volkswirtschaftliche Fakultät, … - 2014

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six major European economies, we find that sovereign and...

Persistent link: https://www.econbiz.de/10011107398

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10011107807

Why African Stock Markets Should Formally Harmonise and Integrate their Operations

Ntim, Collins G - Volkswirtschaftliche Fakultät, … - 2012

Despite experiencing rapid growth in their number and size, existing evidence suggests that African stock markets remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency. Therefore, this study attempts to empirically ascertain whether...

Persistent link: https://www.econbiz.de/10011108992

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10011109053

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