The Arab economy witnessed in the last three decades some developments as expressed by GDP per capita as well as by the human development index. However, such developments are not enough. It's varied, not comprehensive, and not as hoped. It's varied not only between individual states, but also...

The Loan CDS (LCDS) contract is in some aspects similar to a standard unsecured CDS contract, except for two main features. First, the underlying reference obligation for LCDS is secured loan. Second, the LCDS contract is canceled if there is no reference obligation available, whereas a CDS...

Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during...

Enterprise risk management (ERM) is the process of analyzing the portfolio of risks facing the enterprise to ensure that the combined effect of such risks is within an acceptable stakeholder tolerance. While ERM adoption is on the rise, little academic research exists about the costs and...

This paper shows that some of the most prominent risk-based theories offered as explanation for the value premium are at odds with data. The models proposed by Fama and French (1993), Lettau and Ludvingson (2001), Campbell and Vuolteenaho (2004), and Yogo (2005) can capture the cross section of...

We address the practical question of whether investors and researchers are likely to make invalid inferences about fund manager performance when using the wrong model and/or benchmark. We consider three well-known models, those of Jensen (1968), Treynor and Mazuy (1966), and Henriksson and...

We present and estimate a Bayesian Hierarchical model of mutual fund returns. In our model, a fund's alpha reflects not only that fund's return history, but also information from other fund returns. Because parameters are estimated simultaneously for all funds, we can identify common residual...

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...

We identify two types of momenta in stock returns - one due to total returns and one due to firm-specific residual returns. Despite similar performances over the first year, these momentum portfolios perform dramatically differently beyond year one. Total-return momentum reverses strongly;...

This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the 5 most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In...