Showing 101 - 110 of 611
In this paper we analyze the link between stock market performance and macroe conomic performance for a large number of countries. We study the short-run and long-run relationships and find that stock market returns do not coherently predict future macroeconomic changes for the majority of...
Persistent link: https://www.econbiz.de/10010883508
Event studies indicate that divestitures create shareholder value. However, managers are generally disinclined to execute a divestiture due to their inherent preferences for growing the firm’s assets. Governance structures can play a significant role in restraining this agency conflict. Using...
Persistent link: https://www.econbiz.de/10010883509
We study two different safe haven assets, US government bonds and gold, and examine how the price changes of these assets can be used to infer investor behavior under uncertainty. We find that investors are ambiguity-averse, that is they buy gold when faced with extreme uncertainty about the...
Persistent link: https://www.econbiz.de/10010883510
We measure the impact of murders on prices and rents of homes in Sydney. We find that housing prices fall by 3.9% for homes within 0.2 miles of the murder, in the year following the murder, and weaker results in the second year after a murder. We do not find any effects of murders on rents....
Persistent link: https://www.econbiz.de/10010883511
In the valuation of continuous barrier options the distribution of the first hitting time plays a substantial role. In general, the derivation of a hitting time distribution poses a mathematically challenging problem for continuous but otherwise arbitrary boundary curves. When considering...
Persistent link: https://www.econbiz.de/10010752818
Persistent link: https://www.econbiz.de/10010752819
Diversification has its obvious benefits but its pursuit can involve a trade-off between risk-controls and returns. We investigate this trade-off by examining the relative performance of diversified versus concentrated portfolios both formed on the basis of the same stock preferences. Using US...
Persistent link: https://www.econbiz.de/10010752820
One of several important strategic decisions that have to be made by an active funds management organization is how aggressively it implements its investment process. In this paper we model this decision on the assumption that the organization’s objective is to maximise the present value of...
Persistent link: https://www.econbiz.de/10010752821
This paper studies the exposure of Australian gold-mining firms to changes in the gold price, the stock market and the Australian dollar - US dollar exchange rate. The empirical analysis uses daily, weekly and monthly data of all gold-mining firms in the S&P/ASX All Ordinaries Gold Index for the...
Persistent link: https://www.econbiz.de/10010752822
Standard early warning models to predict bank failures cannot be estimated during periods of few or zero failures, precluding any updating of such models during times of good performance. Here we address this problem using an alternative approach, forecasting the simple leverage ratio...
Persistent link: https://www.econbiz.de/10010752823