This paper analyses the effect of soliciting a rating on the rating outcome of banks. This type of analysis sheds light on an important policy question, namely whether there is a difference in treatment between banks which request a rating and those which do not. Using a sample of Asian banks...

This paper evaluates bank exit regimes in selected financial centres using econometric methods. The focus is on bank exit regimes applicable to commercial banks in New York, London, Frankfurt, Helsinki and Tokyo in 1998–2002. Bank exit regimes are studied from the perspective of bank creditors...

This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...

We investigate the effect of financial liberalization on the probability of a banking crises in economies with poor transparency We construct a model with imperfect information where banks cannot distinguish between aggregate shocks on the one hand, and government’s policy and firms’...

The study of transparency is increasingly a more topical, broadly relevant, but also more under-researched enterprise. The Asian financial crisis has highlighted not only the welfare consequences of financial sector transparency, sparking a series of yet unresolved debates, but has also linked...

A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This paper proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade...

In an earlier paper (Los, 1998a), the exact and complete return attribution framework of Singer and Karnosky (1995) was extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting identities, the resulting degenerate portfolio choice...

At first sight, the idea of investing internationally seems exciting and full of promise because of the many benefits of international portfolio investment. By investing in foreign securities, inves-tors can participate in the growth of other countries, hedge their consumption basket against...

Hedge Fund Performance and Persistence in Bull and Bear Markets DANIEL P.J. CAPOCCI University of Liege - Economics, Business Administration and Social Sciences A. CORHAY University of Liege - Department of Financial Management; University of Maastricht (formerly University of Limburg) -...

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...