This paper presents a first step towards a new theory of housing market fluctuations. We develop a life-cycle model where agents face credit constraints and their housing consumption is restricted to a discrete set of possibilities. The market interaction of young credit constrained agents...

Do Islamic banks perform efficiently? Although the phenomenon of Islamic banking and finance has developed significantly in recent years, only very few studies have tackled this central question. This paper provides new evidence on the performance of 18 Islamic banks over the period 1997-2000....

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing...

During the 80’s and 90’s, the increase in financial instability shook up the idyllic vision of the financial liberalization in developed nations. The difficulties borne by the banking sectors spread out in some Asian and Latin American countries as systemic crises. The deregulation of the...

This paper uses daily fund flow data to examine the extent of late trading in the U.S. mutual fund industry. Trading decisions that are required by law to have been made before 4 PM Eastern Time are correlated with market movements from 4 to 9 PM that evening. The cross- sectional variation in...

The article analyzes the structuring and applicability of the Ohlson Model (OM). The methodology used considered: (i) exploratory research as to the objectives of the study; (ii) bibliographical research as to the procedures applied; and (iii) qualitative research as to the addressing of the...

Convertible bonds are hybrid securities whose pricing relies on a set of complex inter-dependencies due to the sensitivity to interest rate risk, underlying (equity) risk, FX risk, and credit risk, and due to the convertible bond’s early exercise American feature. We present a two factor model...

Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contingent claims, i.e. tradable instruments, whose prices depend on the prices of other tradables. We show that this property induces a local scaling...

We estimate time varying risk sensitivities on a wide range of stocks' portfolios of the US market. We empirically test, on a 1926-2004 Monthly CRSP database, a classic one factor model augmented with a time varying specification of betas. Using a Kalman filter based on a genetic algorithm, we...