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Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads
Nanda, Vikram K. - 2018
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...
Persistent link: https://www.econbiz.de/10012936328
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The Effect of Regulatory Constraints on Fund Performance : New Evidence from UCITS Hedge Funds
Joenväärä, Juha - 2020
UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1 …
Persistent link: https://www.econbiz.de/10012856249
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Price of Regulations : Regulatory Costs and the Cross-section of Stock Returns
Ince, Baris - 2020
Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory operating leverage" that reflects the...
Persistent link: https://www.econbiz.de/10012827897
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The Effect of Regulatory Constraints on Fund Performance : New Evidence from UCITS Hedge Funds
Joenväärä, Juha - 2020
UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1 …
Persistent link: https://www.econbiz.de/10012831628
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Intraday Analysis of Regulation Change in Microstructure : Evidence From an Emerging Market
Kadioglu, Eyup - 2022
positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and … indicator of informed trading, and regulatory authorities can use volume to oversight volatility. This very rare regulation …
Persistent link: https://www.econbiz.de/10013307168
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The Impacts of Regulation Regime Changes on Chinext Ipos Effects of 2013 and 2020 Reforms on Initial Return, Fair Value and Overreaction
Deng, Qi; Dai, Lunge; Yang, Zixin; Zhou, Zhong-Guo; … - 2023
The Chinese version of NASDAQ, ChiNext has gone through three time periods with two different regulation regimes … different periods. We find that the IPO pricing is more demand-driven under the approval regime, but switches to value … regulations along three dimensions: 1) governing regulation regimes, 2) listing day trading restrictions, and 3) issuer profile …
Persistent link: https://www.econbiz.de/10014257197
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Investment commonality across insurance companies : fire sale risk and corporate yield spreads
Nanda, Vikram; Wu, Wei; Zhou, Xing - 2017
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...
Persistent link: https://www.econbiz.de/10011710064
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Predictability in the cross-section of European bank stock returns
Drobetz, Wolfgang; Erdmann, Thomas; Zimmermann, Heinz - 2007
This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a panel of 235 European banks from 1991 to 2005. The sample period marks a significant transition in the European banking sector, characterized by higher competition, lower profit...
Persistent link: https://www.econbiz.de/10011390629
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Ethical vs. non-ethical - is there a difference? Analyzing performance of ethical and non-ethical investment fund
Lundberg, Linnéa; Novák, Jiří; Vikman, Maria - 2009
Ethical investments have become increasingly popular over the past years. Ethical funds restrict their investment based on environmental, social and/or ethical criteria. Prior research on the performance of ethical versus non-ethical funds yields mixed results. This paper investigates the...
Persistent link: https://www.econbiz.de/10010322203
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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253