IFRS 9 norms require classifying non-defaulted loans into two stages depending on their credit quality evolution since initial recognition by the bank. In this paper, we propose an optimal way to perform this classification. Target values of some key performance indicators of the provisioning...

We test whether firms that exclude the effects of amortization from their non-GAAP earnings allocate more of an acquisition’s purchase price to definite-lived intangible assets (DLIA). This strategy can yield two potential benefits: it can (1) increase non-GAAP earnings by shifting...

Using a simulation analysis based on historical U.S. stock market returns, we assess the total tax burden (federal plus state) of active portfolio management. Our results show that taxes can erode a large portion of the profits, even for moderately intense trading strategies where the capital...

The overall market for derivative securities is often estimated as more than ten times the World's GDP and many decry the complexity of derivatives as a main contributor to the subprime financial crisis. In this paper, we investigate whether and why complexity is used as a proxy for risk when...

Investors are inextricably linked to financial institutions, money managers, and the products they market. Mutual funds, exchange-traded funds (ETFs), hedge funds, and pension funds manage or hold roughly $55 trillion in combined wealth. This chapter examines these topics with a behavioral...

Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions that do not hold in the real world. For this reason, academics and industry professionals make...

Around the globe, the gradual move from defined benefit pensions to defined contribution pensions has increased the need for individual retirement planning. Examples of this include U.S. savings rates at historic lows, poor retirement prospects for citizens in developed countries, and the...

In the oversight of most funds, the portfolio manager holds the key decision-making power. Often regarded as foundational to the investment process, a few select managers can attract billions of dollars from investors, giving the managers increased prominence, credibility, and compensation....

This paper applies Magni's (2011) Aggregate Return On Investment (AROI)to investment performance measurement. We show that the ratio of undiscountednet cash flow to undiscounted invested capital is not a naive metric (itseemingly does not take the time value of money into account). It is a...

This chapter focuses on the attitude of investors toward financial gains and losses and their decisions on wealth allocation, and how these changes are subject to behavioral factors. The focal point is the integration of behavioral elements into the classic portfolio optimization. Individual...