We identify 72 bank Mergers and Acquisitions (M&As), in which US banks acquired other financial institutions. We focus on the role of timing at M&A in the context of boom phase and financial crisis. Applying event study methodology, we examine: value generation to bank shareholders; value...

1. Introduction Power industry deregulation and electricity market restructuring, which began in Chile in the 1980s and then spread to Norway, New Zealand and the UK, were introduced in the United States with the passage of the Energy Policy Act (EPA) of 1992 (Jameson, 1997). The EPA and...

Stock market wealth effects on the level of consumption in the United States economy have been constantly debated; there is evidence for arguments for and against its prominence and its symmetry. This paper seeks to investigate the strength of its negative effect by creating models to analyze...

Regression analysis has shown that recovery rates are determined by a variety of conditions at the time of default. These conditions can be broken into five major categories: (1) a security's seniority within the capital structure of the defaulting firm, (2) the type of default event, (3)...

The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

This paper evaluates if and how speculation affects the volatility of commodity futures: it distinguishes between short term and long term measures of speculation and investigates if the impact on volatility is different. Speculation is measured by means of four indexes: scalping, Working’s T,...

Options should play an important role in asset allocation. They allow for kernel spanning and provide access to additional (priced) risk factors such as stochastic volatility and negative jumps. Unfortunately, traditional methods of asset allocation (e.g. mean-variance optimization) are not...

This paper discusses the key characteristics of the U.S. financial crisis 2007-2009 and focuses on the Federal Policy Response to the lack of liquidity in the financial sector known as the “Credit Crunch”. The surprising depth of the crisis required unprecedented policy measures to be used...

This paper examines the e-learning strategies adopted by universities, from the perspective of three common objectives: widening access to educational opportunity; enhancing the quality of learning; and reducing the cost of higher education. The discussion is illustrated by drawing on case...