Showing 1 - 10 of 63
We examine a claim in the popular press that Goldman Sachs Inc was largely responsible for causing and profiting from various financial crises over the years. We revisit our sample of high-tech IPOs launched during the dotcom bubble of the late 1990s. We find that based on the aftermarket price...
Persistent link: https://www.econbiz.de/10008502782
Dodd-Frank Wall Street Reform regulations and other postcrisis regulations and guidelines have put enormous pressure on financial institutions to optimize the use of their scarce capital and to improve their return on equity (ROE) which has been significantly compressed compared to historical...
Persistent link: https://www.econbiz.de/10010840605
In this study we survey practices and supervisory expectations for stress testing (ST) in a credit risk framework for banking book exposures. We introduce and motivate ST; and discuss the function, supervisory requirements and expectations, credit risk parameters, interpretation results with...
Persistent link: https://www.econbiz.de/10010840610
Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. The literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between...
Persistent link: https://www.econbiz.de/10010840614
The new Basel III rules for liquidity and funding will have an impact on several areas of the banking business. As a consequence, it is useful to identify the key areas within a bank where Basel III has the biggest impact and to define the necessary strategies, processes, and new products to...
Persistent link: https://www.econbiz.de/10010840615
This paper explores capital commitment and cash-flow management issues in private equity fund investing. It provides a theoretical framework to structure private equity capital commitment issues in a formal manner, and defines variables, inter-relationships, and boundaries in such a way that the...
Persistent link: https://www.econbiz.de/10010840616
Starting in September 2008 stock market regulators across the world introduced, at different times and for different durations, bans on short-selling financial institution’s shares. The argument for the bans is that short selling increases the volatility and contagion risk of financial...
Persistent link: https://www.econbiz.de/10010840619
The link between investor sentiment and asset valuation is at the center of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our...
Persistent link: https://www.econbiz.de/10010840627
The authors build on research into the African equity universe to recommend a more appropriate index for investment. Three different methodologies were investigated, namely capitalization, equal, and fundamental weighting of index constituents. The authors conclude that diversification is not...
Persistent link: https://www.econbiz.de/10010840631
The daily returns on leveraged and inverse-leveraged exchange-traded funds (LETFs) are a multiple of the daily returns of a reference index. Because LETFs rebalance their leverage daily, their holding period returns can deviate substantially from the returns of a leveraged investment. While...
Persistent link: https://www.econbiz.de/10010840633