Using a reduced rank regression framework as well as information criteria we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable...

We investigate the driving forces of corporate liquidity for a balanced panel of large Dutch non-financial firms during the period 1986-1997 using an error-correction framework. This framework allows a crucial distinction between short-run and long-run determinants of corporate liquidity. We...

In drawing on modern finance theory, this note demonstrates the importance of financial instruments for large public sector projects. An explicit link to the theory of Henry George is made, and a public sector financing approach is being demonstrated by using the example of the Oder floodings in...

Prediction markets serve as popular devices to aggregate beliefs and to assess market estimated probabilities. By looking at the interaction between real- and play-money prediction markets, this paper shows that traded volume has a significant positive effect on the probability of real- and...

We analyze in the laboratory whether an uninformed trader is able to manipulate the price of a financial asset. To do so, we compare the results of two different experimental treatments. In the Benchmark Treatment, twelve subjects trade a common value asset that takes either a high or a low...

First, we investigate the minimal univariate representation of some well known n dimensional conditional volatility models. Simple systems (e.g. a VEC(0,1)) for the joint behaviour of several variables imply individual processes with a lot of persistence in the form of long order lags. We show...

This paper proposes a new approach based on time-varying copulas to test for the presence of increases in stock market interdependence after financial crises, also known as shift-contagion process. We show that the previous approaches that take into account changes in volatility regimes are...

In this paper we assess cost and profit efficiency for a sample of banks operating on the Dutch banking market in the period 1992-1998, using stochastic frontier efficiency analysis. Over the entire period, the cost-efficient frontier deteriorates but mean cost efficiency and profit efficiency...

When investigating the role of regulatory capital in bank mergers and acquisitions (M&As) we finds that i.e. US targets are better capitalized than their acquirers and non-acquired peers and that US banks maintain higher capital than European banks. Thus, US banks strategically raise their...

This study investigates the role of project finance as a driver of economic growth. We hypothesize that project finance is beneficial to the least developed economies as it compensates for any lack of domestic financial development. The contractual structure unique to project finance should lead...