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Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads
Nanda, Vikram K. - 2018
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...
Persistent link: https://www.econbiz.de/10012936328
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The Effect of Regulatory Constraints on Fund Performance : New Evidence from UCITS Hedge Funds
Joenväärä, Juha - 2020
UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1 …
Persistent link: https://www.econbiz.de/10012856249
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Price of Regulations : Regulatory Costs and the Cross-section of Stock Returns
Ince, Baris - 2020
Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory operating leverage" that reflects the...
Persistent link: https://www.econbiz.de/10012827897
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The Effect of Regulatory Constraints on Fund Performance : New Evidence from UCITS Hedge Funds
Joenväärä, Juha - 2020
UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1 …
Persistent link: https://www.econbiz.de/10012831628
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Intraday Analysis of Regulation Change in Microstructure : Evidence From an Emerging Market
Kadioglu, Eyup - 2022
positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and … indicator of informed trading, and regulatory authorities can use volume to oversight volatility. This very rare regulation …
Persistent link: https://www.econbiz.de/10013307168
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The Impacts of Regulation Regime Changes on Chinext Ipos Effects of 2013 and 2020 Reforms on Initial Return, Fair Value and Overreaction
Deng, Qi; Dai, Lunge; Yang, Zixin; Zhou, Zhong-Guo; … - 2023
The Chinese version of NASDAQ, ChiNext has gone through three time periods with two different regulation regimes … different periods. We find that the IPO pricing is more demand-driven under the approval regime, but switches to value … regulations along three dimensions: 1) governing regulation regimes, 2) listing day trading restrictions, and 3) issuer profile …
Persistent link: https://www.econbiz.de/10014257197
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Investment commonality across insurance companies : fire sale risk and corporate yield spreads
Nanda, Vikram; Wu, Wei; Zhou, Xing - 2017
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...
Persistent link: https://www.econbiz.de/10011710064
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?
Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10003727414
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The other side of the trading story : evidence from NYSE
Wong, Woon K. (contributor);  … - 2008
We analyse the well-known TORQ dataset of trades on the NYSE over a 3-month period, breaking down transactions depending on whether the active or passive side was institutional or private. This allows us to compare the returns on the different trade categories. We find that, however we analyse...
Persistent link: https://www.econbiz.de/10003739617