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Technical Trading, Predictability and Learning in Currency Markets

Potì, Valerio - 2013

This paper studies predictability of currency returns over time and the extent to which it is captured by trading rules commonly used in currency markets. We consider the strategies that an investor endowed with rational expectations could have pursued to exploit out-of-sample currency...

Persistent link: https://www.econbiz.de/10013091728

Employment Versus Wage Adjustment and the U.S. Dollar

Campa, José Manuel - 2008

Using two decades of annual data, we explore the links between real exchange rates and employment, wages and overtime activity in specific U.S. manufacturing industries. Across two-digit industry levels of aggregation, exchange rate movements do not have large effects on numbers of jobs or...

Persistent link: https://www.econbiz.de/10012769224

An Options-Based Analysis of Emerging Market Exchange Rate Expectations : Brazil's Real Plan, 1994-1997

Campa, José Manuel - 2008

This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density...

Persistent link: https://www.econbiz.de/10012769225

Covenant Violations, Loan Contracting, and Default Risk of Bank Borrowers

Saunders, Anthony - 2013

includes more financial covenants which are also more restrictive. Switching banks after a violation does not reduce these …

Persistent link: https://www.econbiz.de/10013080012

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex - 2012

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact ofuncertainty about the likelihood of governmental bailouts on leverage,interest rates,...

Persistent link: https://www.econbiz.de/10013113858

Trust and Delegation

Brown, Stephen J. - 2012

This paper studies operational risk in the hedge fund industry using a sample of 444 due diligence (DD) reports. Many funds suffer from operational problems, ranging from limited disclosure on past legal or regulatory offenses and the failure to use a major auditing firm to the frequent use of...

Persistent link: https://www.econbiz.de/10013116680

Activism's Impact on Diversified Investors and the Market

Katz, Barbara G. - 2013

We model activism as it affects the future distribution of prices in a portfolio context with risk-averse expected utility of end-of-period wealth maximizing investors. We characterize activism as affecting the mean, the variance, and/or the covariance of the target firm’s price with the...

Persistent link: https://www.econbiz.de/10013087873

Does Ambiguity Diversification Pay?

Izhakian, Yehuda (Yud) - 2013

With a focus on risk, classical portfolio theory assumes that probabilities of future outcomes are known. In reality, however, there is ambiguity in these probabilities. This paper studies the nature of the relationship between risk and ambiguity and proves that in most cases ambiguity cannot be...

Persistent link: https://www.econbiz.de/10013090557

The Benefit and Cost of Winner-Picking : Redistribution vs. Incentives

Gautier, Axel - 2009

, compensation and the value of diversification to the characteristics of multi-divisional firms …

Persistent link: https://www.econbiz.de/10012765928

Explaining the Diversification Discount

Campa, José Manuel - 2008

observed discount is not per se evidence that diversification destroys value. Firms choose to diversify. Firm characteristics … wrongly attribute the observed discount to diversification. Data from the Compustat Industry Segment File from 1978 to 1996 is … control for the endogeneity of the diversification decision.All three methods suggest the presence of self-selection in the …

Persistent link: https://www.econbiz.de/10012769226