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We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...
Persistent link: https://www.econbiz.de/10013077120
This paper analyses the X-efficiency level of Italian Asset Management Companies (AMC). This topic seems really important since there is a huge amount of literature that deals with X-efficiency with regard to the banking system; the aim of these works is to discover which factors can improve the...
Persistent link: https://www.econbiz.de/10013089070
We argue that a fundamental reason for the short term perspective of corporate executives is the short-term orientation of shareholders and financial markets that drive the performance benchmarks of CEOs. In our view, long-term committed shareholders can provide substantial benefits to the...
Persistent link: https://www.econbiz.de/10013089426
When banks are confronted with systemic crises, some banks reduce the credit risk in their loan portfolios, whereas … increasing internal bank credit risk. In contrast, during non-crisis periods, the bank’s credit risk is positively related to its …
Persistent link: https://www.econbiz.de/10013252143
exposure of banks to interest rate risk, using three different scenarios: parallel shift, slope shift, and bump shift of …
Persistent link: https://www.econbiz.de/10013035341
asset's share of the invested capital markets is both useful information and a good starting point for investors considering …
Persistent link: https://www.econbiz.de/10013006681
Given ongoing financial disintermediation and the need for central banks to establish interest rate corridors …, commercial banks have increasingly enriched their asset allocation choices, forming an allocation pattern that combines … greater volatility. Using the quarterly panel data of 23 listed commercial banks in China from 2002 to 2017, the empirical …
Persistent link: https://www.econbiz.de/10012038701
to information on the counterparty’s portfolio quality, banks with an exposure to similar industries and regions strongly … react to this private information. Lending between similar banks is particularly important for borrowers with an opaque loan …Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary …
Persistent link: https://www.econbiz.de/10014320321
various financial variables to 1,363 SMEs in Asia. Adoption of this comprehensive and efficient method would enable banks to …
Persistent link: https://www.econbiz.de/10010425546
with the incomplete information, which are characterized by the asymmetric information flows and impacted by the various … venture capital investment schemes. We propose that the information signals can be mixed and self-modulated during the … asymmetric information flows in the information transmission channels between the market agents, resulting in the origination of …
Persistent link: https://www.econbiz.de/10012971891