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This paper proposes instantaneous versions of the Sharpe ratio and Jensen’s alpha as performance measures for managed portfolios. Both are derived from optimal portfolio selection theory in a dynamic model. The instantaneous Sharpe ratio equals the discrete Sharpe ratio plus half of the...
Persistent link: https://www.econbiz.de/10005666483
This Paper analyses the behaviour and motivation of fund managers in foreign exchange markets reflected in questionnaire evidence. We find that fund managers and FX dealers differ significantly. Fund managers rely more on fundamentals, basically due to their longer forecasting horizons, and...
Persistent link: https://www.econbiz.de/10005791422
of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We … analyze various types of public intervention — mandatory transparency standards, provision of liquidity to distressed banks or … secondary market price support — and find that they have quite different welfare implications. Finally, transparency is greater …
Persistent link: https://www.econbiz.de/10005504512
transparency, of the media, and of political contestability for taming corruption. The existing empirical evidence is shown to …
Persistent link: https://www.econbiz.de/10005504531
transparency and political coherence. …
Persistent link: https://www.econbiz.de/10005498019
Stanley Fischer is a rarity among economic policymakers. He came to the policy world as an internationally recognized intellectual leader on macroeconomic theory and policy. He confronted numerous emerging market crises, including the globally systemic Asian crisis, as the IMF’s First Deputy...
Persistent link: https://www.econbiz.de/10011083383
We propose a theory by which geographic variations in the transparency of the production process explain cross … geography and these institutions, we posit, is via the effect of transparency on the state's extractive capacity. We apply our …
Persistent link: https://www.econbiz.de/10011083761
How does increasing globalization affect corporate transparency? Freer trade represents two facets and in theory has … ambiguous effects on corporate transparency. On the one hand, by exposing firms to more product market competition, it could …, it may promote more transparency. Rather than simply estimating a net effect, this paper pursues an approach that allows …
Persistent link: https://www.econbiz.de/10011083813
Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds shows the dealer network has a core-periphery structure. Central dealers are more efficient at matching buyers and sellers than peripheral dealers, which shortens intermediation...
Persistent link: https://www.econbiz.de/10011084269
How does transparency, a key feature of central bank design, affect the deliberation of monetary policymakers? We … (particularly Latent Dirichlet Allocation) to measure the effect of increased transparency on debate. Commentators have hypothesized … the career concerns literature uncovers evidence for both effects. However, the net effect of increased transparency …
Persistent link: https://www.econbiz.de/10011084486