The empirical results in recent finance literature reveal that conditional performance measures generally improve our perception of fund managers. Furthermore, it has been shown that using daily data in an unconditional framework increases the proportion of abnormal performances relative to...

This paper presents an analysis of the relative importance and influence of various socio-economic, institutional and systemic factors considered relevant to portfolio managers' risk perception of securities. The analysis is based on data from a 1990 survey in which twenty institutional...

Measuring the performance of a portfolio manager (PM) is an important concern of financial theory. La mesure de la performance des gestionnaires de portefeuille est un sujet d’importance majeure en finance.

In this paper, the hypothesis that the liability insurance market for small municipalities in the province of Quebec functions "as if contestable" is tested. In light of our results, we cannot reject the hypothesis that the general liability market is indeed contestable. On the contrary, we...

Using a large sample of municipal bond data from 2001 to 2010 in the U.S., this paper documents the time variation of the value of municipal bond insurance, estimated from the insured and uninsured bonds yield at issue differentials. We find that insured municipal bonds carry significant lower...

We investigate whether the inclusion of Cat Bonds in portfolios composed of traditional assets and common factors is beneficial to investors. Various mean-variance spanning tests performed for the period of 2002 to 2017 show that under different market conditions, the addition of Cat Bonds gives...

It has been long recognized that insured banks can exploit a mispriced risk-independent flat-rate deposit insurance (DI) system by increasing leverage (i.e., decreasing capital ratios) and/or asset risk. Such a behavior is known as moral hazard. There are, however, factors that can induce...

The current paper provides a general approach to construct distortion operators that can price financial and insurance risks. Our approach generalizes the Wang (2000) transform and recovers multiple distortions proposed in the literature as particular cases. This approach enables designing...

During the subprime crisis, the FDIC has shown, once again, laxity in resolving and closing insolvent institutions. Ronn and Verma (1986) call the tolerance level below which a bank closure is triggered the regulatory policy parameter. We derive a model in which we make this parameter stochastic...

Using two market-view variables, namely the regulatory forbearance fraction imbedded in the bank capital and the market-valued of the bank equity-to-assets ratio, derived from market equity and total liabilities from listed commercial banks in the U.S. and three countries (Japan, China, India)...