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Credit Default Swaps: A Survey
Augustin, Patrick; Subrahmanyam, Marti G.; Tang, Dragon … - In: Foundations and Trends(R) in Finance 9 (2014) 1-2, pp. 1-196
, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses … market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge …, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS …
Persistent link: https://www.econbiz.de/10011103415
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The Impact of Large Orders in Electronic Markets
Bosetti, Luisella; Gottardo, Pietro; Murgia, Maurizio; … - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2014
market for large blocks; the asymmetry between the price impacts of buy and sell orders; and the behaviour of liquidity in … the limit order book around large orders. Price impacts and liquidity effects of block trades at BI are surprisingly … downstairs market with a selection of liquidity-driven orders and unprecedented low price impacts. …
Persistent link: https://www.econbiz.de/10010897154
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Hedge Funds and Retail Business : Comparing German, Italian, Swedish and English Law
Chaher, Santiago J. - 2009
The aim of this work is to compare the German, Italian, Swedish and English law as to see the principal policies and regulatory cornerstones that will lead us to understand and comprehend the way in which Hedge Funds and their relationship with retail investors is developing. To attain our goal...
Persistent link: https://www.econbiz.de/10012721401
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Shareholders at the Gate? Institutional Investors and Cross-Border Mergers and Acquisitions
Massa, Massimo - 2009
We study the role of institutional investors in cross-border mergers and acquisitions (Mamp;A). We find that foreign institutional ownership is positively associated with the intensity of cross-border Mamp;A activity worldwide. Foreign institutional ownership increases the probability that a...
Persistent link: https://www.econbiz.de/10012721415
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Minimising Operational Risk in Portfolio Allocation Decisions
Fernandes, Jose L. B. - 2009
Models play an important role in strategic asset allocation (SAA), however by too much trust in the model stability, results are typically not so useful for practitioners. Professionals usually face the challenging problem of choosing a SAA model that matches their goals, bearing the operational...
Persistent link: https://www.econbiz.de/10012721463
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Have April 2000 Changes in Japanese Tax Law Been Effective?
Lajbcygier, Paul - 2008
The Japanese mutual fund industry has provided systematic negative risk adjusted returns over the past three decades. It has been suggested that this underperformance may be attributed to antiquated tax regulation. The Japanese government enacted new tax laws in April 2000. This, along with...
Persistent link: https://www.econbiz.de/10012723546
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Financial Markets Trend : Ageing and Pension System Reform
Panetta, Ida Claudia - 2008
Ageing have prompted important changes in the structure of pension system with substantial differences across the most developed countries. Given that ageing populations are driving a growing need for private form of saving for retirement, the pension fund industry is like to exert an increasing...
Persistent link: https://www.econbiz.de/10012723587
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Information Diffusion among International Fund Managers : Multi-Country Evidence
Parwada, Jerry T. - 2008
Investors seeking exposure to global equity markets commonly buy international mutual funds managed by locally based fund managers. How competitive is this form of intermediated investing? We investigate whether international equity fund managers mimic each other's portfolio holdings and analyze...
Persistent link: https://www.econbiz.de/10012724718
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Bubbles and Buyers : Are Individual Investors the Culprits?
Henker, Julia - 2008
Which investor class causes stock price anomalies? Are individual investors responsible for prices that deviate from fundamental value? We address these questions in the context of a specific anomaly, that of stock price 'bubbles.' Using data from the Australian Stock Exchange Clearinghouse...
Persistent link: https://www.econbiz.de/10012726355
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A Portrait of Hedge Fund Investors : Flows, Performance and Smart Money
Baquero, Guillermo - 2008
liquidity restrictions, high searching costs, and active investor monitoring. Second, consistent with the theory that …
Persistent link: https://www.econbiz.de/10012727396