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Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...
Persistent link: https://www.econbiz.de/10011807679
paper is that by ignoring the exchange rate component when computing portfolio credit risk one may materially underestimate … the actual risk. Particularly at times of frequent and significant exchange rate movements. …
Persistent link: https://www.econbiz.de/10013208660
four Latin American countries, we show that the credit risk, and associated Basel II capital charges, could increase by as …
Persistent link: https://www.econbiz.de/10013208745
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10012060200
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10012060201
The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk …-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We … metrics across weighting schemes and risk estimators. This can only be marginally mitigated by incorporating constraints such …
Persistent link: https://www.econbiz.de/10015327136
The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk …-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We … metrics across weighting schemes and risk estimators. This can only be marginally mitigated by incorporating constraints such …
Persistent link: https://www.econbiz.de/10015395882
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
This paper analyzes the welfare implications of mandatory disclosure of losses at financial institutions when it is common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning that banks not hit by shocks may still suffer losses...
Persistent link: https://www.econbiz.de/10010352166
Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the...
Persistent link: https://www.econbiz.de/10010397679