This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...

The financial reporting and disclosure problems at Enron, as well as the high market valuations for its stock raise troubling questions about the performance of capital market intermediaries, regulators and governance experts whose are supposed to ensure the effective functioning of the stock...

We evaluate the performance of 51 mutual fund families based on a study of their diversified US managed mutual funds over an 11 year period and explore the determinants of performance gross of published expenses. We find that mutual fund families which charge loads, high expenses to their most...

In this paper, we develop and experiment an intensity based multi-factor model, which incorporates the joint modelling of default, prepayment and recovery risks. In this way, the model provides a link between the credit default swap (CDS) and the loan-only credit default swap (LCDS) markets. The...

In this paper, we introduce a new robust model for modelling and pricing LCDX tranches. We extend the generic one-factor model of [1], which was developed for modelling and pricing of a synthetic CDO of CDSs, to a model for tranched portfolio of loan-only CDSs (LCDSs). The essential difference...

This study aims at evaluating the performance of mutual fund managers in one of the fastest growing financial markets in emerging Europe. We use well-known performance evaluation measures to investigate whether private investors in Poland have benefited from investing in mutual funds. Our...

The article opens up a series of studies devoted to the financial system and its contemporary evolution. The aim of the articles is to review and systematize the most important issues connected with the financial system. The structure of the articles derives directly from their reviewing...

Traditionally, financial centres were held together be the need to be located in the proximity of physical exchanges. However, given the rise of information and communication technologies these quot;anchorsquot; have increasingly been lifted, with telling consequences for second-tier financial...

This short essay considers the findings and recommendations of the Paulson Report relating to securities fraud class actions under the 1934 Act and Rule 10b-5. While the report exposes numerous problems with securities litigation in the United States, it understates the problems inherent in...

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume, intermediation costs (such as breadth) etc. No general coherent definition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In...