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Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

Persistent link: https://www.econbiz.de/10010185798

Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles

Corona Dueñas, José Asunción - In: Atlantic review of economics 1 (2012)

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

Persistent link: https://www.econbiz.de/10010049034

Structured bonds and Greek demons is the attack ”fair”?

Kiriakopoulos, Konstantinos; Mavralexakis, Theodoros - In: Journal of applied finance & banking 1 (2011) 2, pp. 231-277

The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are "fair" or not. In this paper structured bond market is analysed with particular focus on valuation issues. It...

Persistent link: https://www.econbiz.de/10010009068

Efficiency of NPA management in Indian SCBs : a bank-group wise exploratory study

Siraj, K. K.; Pillai, P. Sudarsanan - In: Journal of applied finance & banking 3 (2013) 2, pp. 123-137

Quality of asset and efficiency of bank is highly correlated. The efficiency of banking in post-liberalization period is judged not only based of its profitability but also on quality of assets it holds. Non Performing Asset (NPA) is the foremost threat for banking stability and growth. Against...

Persistent link: https://www.econbiz.de/10010148069

Returns on investment of deposit money banks (DMBs) in Nigeria

Bosede, Adegboye Folasade; Olusegun, Olowe; … - In: Journal of applied finance & banking 3 (2013) 3, pp. 195-206

and bank specific factors such as lending rate, deposit rate, Liquidity, Cash Reserve, and Inflation and also the impact … ; economy ; investment ; liquidity …

Persistent link: https://www.econbiz.de/10010148083

Measurement of liquidity-adjusted market risk by VaR and expected shortfall : evidence from Turkish banks

Aktas, Cihan; Cortuk, Orcan; Teker, Suat; Yildirim, … - In: Journal of applied finance & banking 2 (2012) 5, pp. 137-147

-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise … are reported for VaR and Expected Shortfall (ES) models in comparative to their liquidity adjusted values. Finally, the … results imply that the capital adequacy ratios of Turkish banks indicate a solid loss absorbency capacity although liquidity …

Persistent link: https://www.econbiz.de/10010058692

¿Cómo valorar los planes de pensiones del sistema individual en España?

García Padrón, Yaiza; García Boza, Juan - In: Estudios de economía 33 (2006) 1, pp. 21-43

We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...

Persistent link: https://www.econbiz.de/10009959069

An interpretation of an affine term structure model for Chile

Ochoa, J. Marcelo - In: Estudios de economía 33 (2006) 2, pp. 155-184

This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

Persistent link: https://www.econbiz.de/10009959071

The equity premium puzzle : pitfalls in estimating the coefficient of relative risk aversion

Donadelli, Michael; Prosperi, Lorenzo - In: Journal of applied finance & banking 2 (2012) 2, pp. 177-213

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...

Persistent link: https://www.econbiz.de/10010009117

Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox

Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

Persistent link: https://www.econbiz.de/10009957380