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

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

We analyze a publicly-traded firm's decision to stay public or go private when managerial autonomy from shareholder intervention affects the supply of productive inputs by management. We show that both the advantage and the disadvantage of public ownership relative to private ownership lie in...

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

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

Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Tinbergen Instituut - 2013

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10011256460

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Persistent link: https://www.econbiz.de/10011256696

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 …-based: scalable, short-term, capital constrained, and with the ability to generate risk fromconcentrated positions. When a bank … inefficiencies.A bank may allocate too much capital to trading ex-post, compromising the incentives to build relationships ex …

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

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