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Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
Babalos, Vassilios; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences …. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently … with previous studies, no significant differences in performance and risk are found between female and male managed funds …
Persistent link: https://www.econbiz.de/10010658791
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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10008855329
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Evaluating Greek Equity Funds Using Data Envelopment Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data … funds. The most striking result is that the percentage of assets under management affects performance negatively, a …
Persistent link: https://www.econbiz.de/10004963857
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How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets?: Evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks...
Persistent link: https://www.econbiz.de/10011276389
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Why Do Firms Switch Their Main Bank?: Theory and Evidence from Ukraine
Stephan, Andreas; Tsapin, Andriy; Talavera, Oleksandr - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We examine why firms change their main bank and how this affects loans, interest payments and firm performance after …, appears to be one of the main drivers of firm switching behavior. Furthermore, we find that firms have lower performance after …
Persistent link: https://www.econbiz.de/10005068870
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Bank Market Structure and Firm Capital Structure
Baert, Lieven; Vennet, Rudi Vander - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
We explore the impact of concentration in the banking markets on the capital structure of publicly quoted non-financial firms in the EU15 over the period 1997- 2005, an era marked by intensive merger activity in the banking sector. Our main finding is a negative and significant relationship...
Persistent link: https://www.econbiz.de/10005069147
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Bank Market Structure and Firm Capital Structure
Baert, Lieven; Vennet, Rudi Vander - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
We explore the impact of concentration in the banking markets on the capital structure of publicly quoted non-financial firms in the EU15 over the period 1997- 2005, an era marked by intensive merger activity in the banking sector. Our main finding is a negative and significant relationship...
Persistent link: https://www.econbiz.de/10010896118
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What Influences Banks' Choice of Risk Management Tools?: Theory and Evidence
Bülbül, Dilek; Hakenes, Hendrik; Lambert, Claudia - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper investigates the factors influencing banks' decision to engage in advanced risk management, from both a theoretical and an empirical perspective. In recent decades, credit risk management in banks has become highly sophisticated and banks have become more active and advanced in the...
Persistent link: https://www.econbiz.de/10011128841
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Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area
Fratzscher, Marcel; Rieth, Malte - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall...
Persistent link: https://www.econbiz.de/10011164334
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10008557208