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Do firms buy their stock at bargain prices? Evidence from actual stock repurchase disclosure
Ben-Rephael, Azi; Oded, Jacob; Wohl, Avi - 2011
We use new data from SEC filings to investigate how S&P 500 firms execute their open market repurchase programs. We find that smaller S&P 500 firms repurchase less frequently than larger firms, and at a price which is significantly lower than the average market price. Their repurchase activity...
Persistent link: https://www.econbiz.de/10010308547
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Liquidity (risk) concepts: definitions and interactions
Nikolaou, Kleopatra - 2009
We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature …
Persistent link: https://www.econbiz.de/10011605054
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Quantitative analysis of financial market infrastructures: further perspectives on financial stability
Laine, Tatu (contributor) - 2015
This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary...
Persistent link: https://www.econbiz.de/10012148914
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Portfolio choice and the effects of liquidity
González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection … using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained … frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we …
Persistent link: https://www.econbiz.de/10010317124
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Liquidity and real equilibrium interest rates: a framework of analysis
Stracca, Livio - 2005
financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly …, liquidity services may be asymmetric according to whether the financial instrument is held as an asset or as a liability, and … the effect of (broadly defined) liquidity factors on equilibrium rates of return and intertemporal allocation. …
Persistent link: https://www.econbiz.de/10011604588
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Towards a single European market in asset management
Heinemann, Friedrich; Schröder, Michael; Schüler, Martin - 2003
Persistent link: https://www.econbiz.de/10011288127
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Internal sources of finance and the great recession
Barnes, Michelle L.; Pancost, N. Aaron - 2010
The rising stockpile of cash as a share of total assets at U.S. firms has intrigued economists since at least the paper of Bates, Kahle, and Stulz (2006), yet there has been relatively little work on where this cash has come from and how it is related to investment performance. We exploit...
Persistent link: https://www.econbiz.de/10010280899
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Portfolio Selection with Heavy Tails
Hyung, Namwon; de Vries, Casper G. - 2005
Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner...
Persistent link: https://www.econbiz.de/10010325558
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The Downside Risk of Heavy Tails induces Low Diversification
Hyung, Namwon; de Vries, Casper G. - 2010
Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...
Persistent link: https://www.econbiz.de/10010325744
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Cross-border diversification in bank asset portfolios
Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - 2005
Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...
Persistent link: https://www.econbiz.de/10011604475