Showing 1 - 10 of 87
Inflation-indexed bonds represent a sizeable source of financing for corporations in emerging market countries, while they provide significant portfolio benefits to investors. In particular, inflation-indexed bonds can reduce borrowing costs and facilitate a maturity extension for a corporate...
Persistent link: https://www.econbiz.de/10004981468
Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly unobservable for this asset class. This paper aims to fill this gap by analyzing market risks of listed private equity vehicles. We show that aggregate market risk varies strongly over...
Persistent link: https://www.econbiz.de/10008478775
This paper investigates the initial returns and long run performance of initial public offerings (IPOs) using a sample of 38 private equity-backed IPOs and 68 non-private equity-backed IPOs in the period 1985-1998 on the Amsterdam Stock Exchange. We find that private equity-backed firms...
Persistent link: https://www.econbiz.de/10008517613
The essence of investing is to generate return and manage risk. In the absence of arbitrage opportunities, return generation is about gaining exposure to risks that are well rewarded. To manage this exposure, we can diversify rewarded risks and hedge risks that are not rewarded. However, our...
Persistent link: https://www.econbiz.de/10008459958
Historically, the practice of trustees of defined benefit programs has been to make the asset allocation decision based on prevailing risk-return relationship for asset classes without regard to the plan’s economic funded ratio, liability structure, and liability economic growth rate. Once the...
Persistent link: https://www.econbiz.de/10010840602
The recent financial crisis highlighted the dangers of systemic risk. In this regard no common view appears to exist on the definition, measurement, and real impact of systemic risk on the financial system. This paper aims to analyze the relationship between systemic risk and portfolio...
Persistent link: https://www.econbiz.de/10010840604
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
Traditional risk management of hedge funds is often complicated by their lack of transparency. Consequently, plan sponsors traditionally rely on returns analysis to manage the risk of a portfolio of hedge funds. Such an approach involves some obvious difficulties, for example, returns data is...
Persistent link: https://www.econbiz.de/10010840618
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