This paper develops a model to identify the major determinants of a bank's profit, and the general level of profitability of a banking market. It found that in Hong Kong's case, market structure, such as market concentration and market shares of banks, is not a major contributory factor. Cost...

Capitalisation weighting has added 8,000 basis points of incremental returns to the FTSE 100 Index compared to an equally weighted portfolio of the same constituents. Industry factors explained 66% of the incremental returns, while size and style factors explained 2%. The capitalisation weighted...

The objective of this paper is to examine the nature of the Taiwanese banking sector and to analyze the impact of financial liberalization on the Taiwanese banking industry. We present empirical evidence to show that the recent wave of bank mergers observed in other countries is also suitable...

We explore the time series properties of overnight and daytime returns on the London Stock Exchange's primary stock market index, the FTSE-100 on the over the 1984-1991 period. We use a modified GARCH model to specify daytime and overnight return dynamics where (a) intra-day returns can have...

Despite continued attempts by regulators to curtail abusive short sales and increase transparency, the pattern and practice of fraudulent manipulation continues to proliferate and threaten the capitalization of a wide variety of issuers within the securities market. Identifying a meaningful...

We investigate the efficiency of a market institution (an auction) relative to a non- market institution (a quota) as a water allocation mechanism in the presence of frictions, by exploring a particular historical institutional change in Mula, Spain. We estimate a structural dynamic model under...

In over-the-counter markets, dealers facilitate trading by becoming market makers. The costs dealers face, including the cost of holding inventory on balance sheet, and the ease, or difficulty, of reducing their positions, determine the degree of liquidity they provide. We provide a stylized...

Research Summary: Firm size has long been recognized as a source of competitive advantage. However, the disruptions arising from the knowledge-based global economy are decoupling the link between firm size and profitability. We demonstrate in this article, the structural shifts and evolving...

In March of 2000 the New York Stock Exchange proposed a merger with The Nasdaq Stock Market. Applying a qualitative assessment to the proposed merger from the organizations' perspective it is argued that the merger would be favorable for both organizations. Applying a quantitative assessment to...

This paper examines competition between ETFs that hold nearly identical portfolios of securities. We provide evidence that incumbent-fund liquidity is negatively affected when a new ETF is added to an asset class. The degradation in liquidity is even more severe whenever both funds follow the...