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Rao, Ananth - EconWPA - 2003

Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank, Emirates Bank International, National Bank of Dubai,...

Persistent link: https://www.econbiz.de/10005413135

The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore

LOS, CORNELIS A. - EconWPA - 2004

Liberalization of Singapore's financial sector causes its fund management industry to expand rapidly. As of December 1, 1998 there were 191 unit trusts to choose from. Eventually, Singapore, like the USA and Hong Kong, will have more unit trusts than stocks listed on its exchange. Many...

Persistent link: https://www.econbiz.de/10005076989

Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

LOS, CORNELIS A. - EconWPA - 2004

The efficiency of speculative markets, as represented by Fama's 1970 fair game model, is tested on weekly price index data of six Asian stock markets - Hong Kong, Indonesia, Malaysia, Singapore, Taiwan and Thailand - using Sherry's (1992) non-parametric methods. These scientific testing methods...

Persistent link: https://www.econbiz.de/10005076962

Do Stock Markets Promote Economic Growth?

Hanousek, Jan; Campos, Nauro F.; Filer, Randall K. - EconWPA - 2001

One of the most enduring debates in economics is whether financial development causes economic growth or whether it is a consequence of increased economic activity. Little research into this question, however has used a true causality framework. This paper fills this lacuna by using...

Persistent link: https://www.econbiz.de/10005413076

The Travails of Current Macroeconomic and Exchange Rate Management in China: The Complications of Switching to a New Growth Engine

Woo, Wing Thye - EconWPA - 2003

Just when China’s leaders receive conflicting signals of “overheating” and “below-potential growth”, they encounter … challenges have their roots in China’s inadequate marketization and continued discrimination against the domestic private sector … themselves into nonperforming loans. In partially-reformed China, public-directed investments via the state enterprises tend to …

Persistent link: https://www.econbiz.de/10005062405

Galton's Error and the Under-Representation of Systematic Risk

LOS, CORNELIS A. - EconWPA - 2004

Our methodology of 'complete identification,' using simple algebraic geometry, throws new light on the continued commitment of Galton's Error in finance and the resulting misinformation of investors. Mutual funds conventionally advertise their relative systematic market risk, or 'betas,' to...

Persistent link: https://www.econbiz.de/10005134709

Relative Performance Evaluation Contracts and Asset Market Equilibrium

Kapur, Sandeep; Timmermann, Allan - EconWPA - 2004

We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers;...

Persistent link: https://www.econbiz.de/10005561719

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four...

Persistent link: https://www.econbiz.de/10005076992

Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic

Hanousek, Jan; Nemecek, Libor - EconWPA - 2001

If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related question is whether two parallel emerging markets offering more or less the same securities but using different institutional designs, can behave as a single, fully integrated...

Persistent link: https://www.econbiz.de/10005077009

Characterizing Asymmetric Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

This paper studies the international portfolio flows of US investors to examine the information structure of international equity markets. We use an empirical model of portfolio flows with both public and private information to extract measures of trades due to private information. We find that...

Persistent link: https://www.econbiz.de/10005125533

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