This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture distributions. Asset return distributions are frequently assumed to follow a normal or lognormal distribution. It also can follow Brownian motion or Geometric Brownian motion...

The objective of this study is to increase understanding of why poison put covenants are included in convertible bond contracts. We compare characteristics of convertible bond issuers who used poison puts with those who did not for the period from 1986 to 2002. We focus our analysis on two sub...

This paper examines the influence of bond design on the long-run operating performance of convertible bond issuers and the determinants of this performance. Bonds are classified as equity-like and debt-like according to their probability of conversion at the time of the issue. The measure of...

In this paper, we study the long-run operating performance of preferred stock issuers. We use three different measures of operating performance; pre-tax cash flows, profit margin and return on assets. We study the performance of industrial firms, financial firms, and utilities separately, as well...

The paper describes the characteristics of the market for private placements and discusses the necessary conditions for their uptake in Europe. A private placement is a method of financing used mainly by medium-sized companies which, unable to access the public bond market, turn to one or more...

On November 14th, 2014, SUERF – The European Money and Finance Forum – and CNMV, Comisión Nacional del Mercado de Valores – the Spanish Authority for supervision of securities markets – jointly organized a conference in Madrid: Challenges in Securities Markets Regulation: Investor...

We disaggregate the self-employed into incorporated and unincorporated to distinguish between "entrepreneurs" and other business owners. We show that the incorporated self-employed and their businesses engage in activities that demand comparatively strong nonroutine cognitive abilities, while...

This paper analyzes the causes and consequences of the enforcement actions (sanctions) imposed by supervisory authorities for banks. Focusing on a sample of Italian banks between 2005 and 2012, we found 302 sanctions regarding 3,588 persons (i.e. Board of directors, Top Managers, and Chief...

In this paper, we quantify the subtle concepts of soundness and safety of financial institutions through option pricing theory. This approach permits to intuit many solvency issues, including capital adequacy, financial strain or distress, balance sheet rebuilding and critical recapitalization,...

We use a survey data set of 4348 SMEs from 25 European countries to analyze the association between the use of factoring as a form of SME financing and the legal environment of the country where in which they operate. Our findings indicate that firms operating in countries with legal...