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Modeling Share Prices of Banks and Bankrupts
Kitov, Ivan - 2010
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium long-term relation between observed and predicted time...
Persistent link: https://www.econbiz.de/10013146882
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Modeling Volatility & Jumps in the Athens Stock Exchange
Vortelinos, Dimitrios I. - 2011
In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE …-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE … volatility which are then used in modeling realized volatility with the class of Heterogeneous Autoregressive (HAR) models. This …
Persistent link: https://www.econbiz.de/10013134236
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Liquidity Choice and Misallocation of Credit
Ebrahimy, Ehsan - 2020
This paper studies a novel type of misallocation of credit between investments of varying liquidity. One type of …-term welfare and output in a constrained inefficient equilibrium if it raises the liquidity of the liquid type. I show a maximum …
Persistent link: https://www.econbiz.de/10012843309
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Investment-Cash Flow Sensitivity and Financing Constraints : Study of Pakistani Business Group Firms
Mehmood, Yasir - 2019
A large discrepancy exists on the use of the investment–cash flow sensitivity as a measure of financing constraints of firms. We examine this discrepancy by considering business group affiliated firms in Pakistan. The study includes 58 group affiliated firms and 32 non-group affiliated firms...
Persistent link: https://www.econbiz.de/10012861026
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100 Research Ideas : Extending the Frontiers of Research in Corporate Finance
Ang, James S. - 2019
Where can one systematically find research ideas? I propose a scheme to classify and broadly generalize the sources of inspiration for research topics, with emphasis on corporate finance. In the process, I propose 100 new research topics awaiting the brave and persistent
Persistent link: https://www.econbiz.de/10012889800
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The Equity Premium Puzzle : An Artificial Neural Network Approach
Wong, Shee Q. - 2019
This paper presents evidence suggesting that artificial neural networks approach (ANNs) outperform traditional statistical methods and can forecast equity premiums reasonably well. The study replicates out-of-sample estimates of regression using ANN with economic fundamentals as inputs. The...
Persistent link: https://www.econbiz.de/10012895878
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The Persistence of Opportunistic Insider Trading
Cline, Brandon N. - 2017
We document that corporate insiders' trading behavior exhibits persistence over time. Classifying insiders as “Persistently Profitable (PP)” based on profits generated from historical trades, we find the current transactions of these insiders better predict firm performance. The relative...
Persistent link: https://www.econbiz.de/10012959142
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The Theory of Finance : A Novel Finance Model Being Formed on the Internet
Yandiev, Magomet - 2015
The present paper argues that the present Internet conditions favour an entirely new finance model. Understood to soon supplement the existing ones (classical finance, corporate finance, and Islamic finance), it is argued that the new model will be defined by the destructive effect it is to have...
Persistent link: https://www.econbiz.de/10013028577
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The Hedge Fund Regulation Dilemma : Direct vs. Indirect Regulation
Nabilou, Hossein - 2015
This article studies the regulatory strategies to address the potential systemic risk of hedge funds operation in financial markets. Due to the implications of the choice of regulatory strategies and instruments in terms of mitigating systemic risk, the article focuses on one critical aspect of...
Persistent link: https://www.econbiz.de/10013035084
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Information Intermediaries in the Crypto-Tokens Market
Bourveau, Thomas - 2019
Using a global sample of 2,357 attempted initial coin offerings (ICOs), we examine whether ICO rating providers act as information intermediaries that may reduce information asymmetry and the associated adverse selection problem in the crypto-tokens market. We find that issuer-supplied voluntary...
Persistent link: https://www.econbiz.de/10012899080