Similar Search Results

Karbalaee, Ali - 2013

To study the January effect, four major pairs including EURUSD, USDJPY, GBPUSD and USDCHF during January 2002 to November 2012 are investigated. By calculating average daily return for each month, 12 series are sorted out from January to December in 2002-2012. Initial finding are offering that...

Persistent link: https://www.econbiz.de/10013077716

Total Return Meltdown : The Case for Treating Total Return Swaps as Disguised Secured Transactions

Marks, Colin P. - 2022

use of total return swaps, Archegos sparked a $30 billion dollar sell-off that left many of the world’s largest banks … characteristics of total return swaps and Archegos’ formation as a family office, both of which permitted Archegos to skirt trading … return swaps with the banks whereby the bank is the actual owner of the stock, but Archegos would bear the risk of loss …

Persistent link: https://www.econbiz.de/10013295797

How to (Properly) Compute Credit Default Swap Returns

Kang, Le (Lexi); Kim, Hwagyun; Kim, Ju Hyun; Kim, … - 2023

This paper proposes empirical methods to measure Credit Default Swap (CDS) return and explores its factor structure. We find that approximated CDS returns deviate significantly from actual returns based on the upfront fee, computed with protection sellers' cash flows. Past CDS returns and the...

Persistent link: https://www.econbiz.de/10014351134

What drives the Quotes of Earnings Forecasters?

de Bruijn, Bert; Franses, Philip Hans - 2012

Earnings forecasts can be useful for investment decisions. Research on earnings forecasts has focused on forecast performance in relation to firm characteristics, on categorizing the analysts into groups with similar behaviour and on the effect of an earnings announcement by thefirm on future...

Persistent link: https://www.econbiz.de/10010326351

Determinants of Capital Market Reactions to Seasoned Equity Offers by German Corporations

Gebhardt, Günther; Heiden, Stefan; Daske, Holger - 2001

Our study provides evidence on the share price reactions to the announcement of equity issues in Germany, where capital market is characterized by institutional features distinct from the U.S. market. German seasoned equity issues yield a positive market reaction which contrasts to the...

Persistent link: https://www.econbiz.de/10010316306

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10003891679

Expected returns to stock investments by angel investors in groups

DeGennaro, Ramon P.; Dwyer, Gerald P. <jun.> - 2010

Angel investors invest billions of dollars in thousands of entrepreneurial projects annually, far more than the number of firms that obtain venture capital. Previous research has calculated realized internal rates of return on angel investments, but empirical estimates of expected returns have...

Persistent link: https://www.econbiz.de/10008664602

What drives the value of analysts' recommendations : earnings estimates or discount rate estimates?

Kecskes, Ambrus; Michaely, Roni; Womack, Kent - 2009 - Rev.

Sell-side analysts change their stock recommendations when their valuations differ from the market's. These valuation differences can arise from either differences in earnings estimates or the non-earnings components of valuation methodologies. We find that recommendation changes motivated by...

Persistent link: https://www.econbiz.de/10003930524

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Secrets of the academy : the drivers of university endowment success

Lerner, Joshua; Schoar, Antoinette; Wang, Jialan - 2007 - Rev.

In this paper, we have sought to understand what has been the performance of university endowments, and what drives the observed pattern of performance. Our key observations are as follows: (a) the endowments of elite universities have grown dramatically faster than endowments overall; (b)...

Persistent link: https://www.econbiz.de/10003948682

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