In spite of emphasizing on a market by economic liberalism, most experts believe that market failure caused the deepest global crisis after Great Depression (1929) to happen. Although we cannot ignore the importance to the role of attendance of government to the economy, we believe that...

In this paper we present a framework for backtesting all currently popular risk measurement methods (including value-at-risk and expected shortfall) using the functional delta method.Estimation risk can be taken explicitly into account.Based on a simulation study we provide evidence that tests...

This paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks.We evaluate whether the regulatory authorities can successfully use the mechanism of trading halts in forcing companies to disclose new and material information to the capital market.In...

In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test, since we need information of the distribution in the...

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market...

This paper (1) proposes new variables to detect informed high-frequency trading (HFT), (2) shows that HFT can help to predict takeover targets, and (3) shows that HFT in uences target announcement announcement returns. Prior literature suggests that informed trade may occur before takeovers, but...

In this paper we use credit rating data from two Swedish banks to elicit evidence on these banks’ loan monitoring ability. We do so by comparing the ability of bank ratings to predict loan defaults relative to that of public ratings from the Swedish credit bureau. We test the banks’...

Indexfonds sind aufgrund ihrer Terminmarktgeschäfte mit Agrarrohstoffen ins Zentrum öffentlicher Aufmerksamkeit und Kritik geraten. Hierzu kursieren in den Medien zahlreiche Falschinformationen, deren Korrektur sich durch klar identifizierbare Forschungslücken der empirischen Literatur...

This paper presents and critically evaluates the bank capital requirement rules proposed by the European Union - the capital requirements directive CRD IV and the capital requirements regulation CRR. First, the rules of the Basel III accord about equity capital standards of banks are briefly...