Similar Search Results

Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …

Persistent link: https://www.econbiz.de/10011257598

Forecasting Earnings Forecasts

Bruijn, Bert de; Franses, Philip Hans - Tinbergen Instituut - 2013

We analyze earnings forecasts retrieved from the I/B/E/S database concerning 596 firms for the sample 1995 to 2011, with a specific focus on whether these earnings forecasts can be predicted from available data. Our main result is that earnings forecasts can be predicted quite accurately using...

Persistent link: https://www.econbiz.de/10011255828

How Informative are the Unpredictable Components of Earnings Forecasts?

Bruijn, Bert de; Franses, Philip Hans - Tinbergen Instituut - 2015

An analysis of about 300000 earnings forecasts, created by 18000 individual forecasters for earnings of over 300 S&P listed firms, shows that these forecasts are predictable to a large extent using a statistical model that includes publicly available information. When we focus on the...

Persistent link: https://www.econbiz.de/10011256066

Banking and Trading

Boot, Arnoud W.A.; Ratnovski, Lev - Tinbergen Instituut - 2012

We study the effects of a bank’s engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, short-term, capital constrained, and with...

Persistent link: https://www.econbiz.de/10011256147

Giants at the Gate: On the Cross-Section of Private Equity Investment Returns

Lopez-de-Silanes, Florencio; Phalippou, Ludovic; … - Tinbergen Instituut - 2011

We examine the determinants of private equity returns using a newly constructed database of 7,500investments worldwide over forty years. The median investment IRR (PME) is 21% (1.3), gross offees. One in ten investments goes bankrupt, whereas one in four has an IRR above 50%. Only one ineight...

Persistent link: https://www.econbiz.de/10011256257

Market Liquidity, Investor Participation and Managerial Autonomy: Why do Firms go Private?

Boot, Arnoud W.A.; Gopaian, Radhakrishnan; Thakor, Anjan V. - Tinbergen Instituut - 2006

ownership relative to private ownership lie in the liquidity of public ownership. While the liquidity of public ownership lets … shareholders trade easily and supply capital at a lower cost, the liquidity-engendered trading also results in stochastic shocks to … higher cost of capital. Thus, capital market liquidity, while being a principal advantage of public ownership, also has a …

Persistent link: https://www.econbiz.de/10011256406

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - Tinbergen Instituut - 2013

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacic). We explore the relationship between the S&P 500 daily continuously compounded...

Persistent link: https://www.econbiz.de/10011256625

Private Equity Waves

Smit, Han; Berg, Ward A. van den - Tinbergen Instituut - 2006

This study presents a dynamic model for the private equity market in which information revelation and uncertainty rationally explain the cyclical pattern of investment flows into private equity. The net benefit of private equity over public equity is i) uncertain and ii) agents have private...

Persistent link: https://www.econbiz.de/10011256663

Banks and Market Liquidity

Arping, Stefan - Tinbergen Instituut - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

Persistent link: https://www.econbiz.de/10011256979

Cross-Border Mergers and Acquisitions: The Role of Private Equity Firms

Humphery-Jenner, Mark; Sautner, Zacharias; Suchard, Jo-Ann - Tinbergen Instituut - 2012

We study the role of private equity firms in cross-border mergers and acquisitions. We find that private equity-owned firms are more likely to become targets in crossborderM&A transactions. This effect is particularly strong in transactions where the target or its shareholders actively reach out...

Persistent link: https://www.econbiz.de/10011257381