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This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and...
Persistent link: https://www.econbiz.de/10005744848
In this paper we try to develop a theoretical framework for fund rating under the assumption that superior funds could have a higher expected return than that of inferior funds, which could arise from the segmented market information or the differentiated ability of mangers to acquire and...
Persistent link: https://www.econbiz.de/10005744859
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is...
Persistent link: https://www.econbiz.de/10010581038
We present a model in which there is uncertainty about realization of a risky asset value for an informed trader. We introduce two states such that in the "narrow" state the informed trader has better information than in the "wide" state. Then, we show that the informed trader in the wide state...
Persistent link: https://www.econbiz.de/10009020014
This paper studies an intermediated market operated by middlemen with high inventory holdings. I present a directed search model in which middlemen are less likely to experience a stockout because they have the advantage of inventory capacity, relative to other sellers. The model explains why...
Persistent link: https://www.econbiz.de/10011255953
Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele...
Persistent link: https://www.econbiz.de/10005080749
We develop a tractable model of competition among motivated MFIs. We find that equilibria may or may not involve double … default equilibrium. Interestingly, an increase in MFI competition can lower efficiency, as well as increase the extent of …
Persistent link: https://www.econbiz.de/10009422002
The study analyses the Italian market structure of banks’structured debt securities. This financial segment has experienced a tremendous growth in the last five years as to overcome the size of ordinary banking bonds. The research examines the complexity of structured bonds evaluation for...
Persistent link: https://www.econbiz.de/10008592879
This paper examines how the introduction of a direct trade alternative for buyers and sellers affects competition among …
Persistent link: https://www.econbiz.de/10005662288
This paper examines how the introduction of a direct trade alternative for buyers and sellers affects competition among …
Persistent link: https://www.econbiz.de/10005729311