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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the …
Persistent link: https://www.econbiz.de/10013405318
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Analyst Coverage : Does the Listing Location Really Matter?
Hassan, Omaima A. G. - 2015
This study examines the impact of listing location, whether the stock is listed on the main board or the junior market of the London Stock Exchange, on the number of analysts following the stock. It also examines whether the determinants of analyst coverage can be conditional on listing...
Persistent link: https://www.econbiz.de/10013027893
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A Regulatory Framework for Exchange-Traded Funds
Hu, Henry T. C. - 2018
Persistent link: https://www.econbiz.de/10012925355
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Optimal ESG Portfolios : Which ESG Ratings to Use?
Schmidt, Anatoly B.; Zhang, Xu - 2021
The idea behind the optimal ESG portfolio (OESGP) is to expand the mean variance theory by adding the portfolio ESG value (PESGV) multiplied by the ESG strength parameter γ (which is investor’s choice) to the minimizing objective function (Pederson et al., 2019; Schmidt, 2020). PESGV is assumed...
Persistent link: https://www.econbiz.de/10013222555
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How Do Voluntary Disclosures on Climate Risk and Their Tone Affect CDS Premiums?
Imerman, Michael B.; Ye, Xiaoxia; Zhao, Ran - 2022
We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about climate risks. The model predicts a negative relation...
Persistent link: https://www.econbiz.de/10013404223
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Short-selling bans around the world : evidence from the 2007 - 09 crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10011382070
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Investigating the Role of Illiquidity in Explaining the UK Closed-End Country Fund Discount
Davies, John Richard (Dick) - 2013
In this paper we examine whether the UK closed-end country fund discounts are related to the illiquidity of the UK fund or the illiquidity of the country the fund invests in. We also consider whether emerging market country funds behave differently in terms of their discount and illiquidity to...
Persistent link: https://www.econbiz.de/10013090792
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Asset Liquidity and Stock Liquidity : International Evidence
Charoenwong, Charlie - 2013
. Finally, our study shows that the positive asset-stock liquidity relation may be attributed to transparency and/or liquidity …This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More …
Persistent link: https://www.econbiz.de/10013071686