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This paper provides an overview of the strategic and operational issues as well as institutional challenges, related to the implementation of the Sovereign Asset and Liability Management (SALM) approach. Application of an SALM framework allows the authorities to identify and monitor sovereign...
Persistent link: https://www.econbiz.de/10012843498
We use a unique dataset reporting the trading of an institutional asset manager implementing trend following strategies to estimate the associated transaction costs. With information both at the trade and the fund levels, we disentangle the impact of the execution quality from the management...
Persistent link: https://www.econbiz.de/10012843548
I study the liquidity of global stock exchanges and how it determines cross sectional returns on stock portfolios of the exchanges. I measure liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock...
Persistent link: https://www.econbiz.de/10012726033
Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994) show that value stocks earn substantially higher returns than growth stocks. Barbee, Mukherji and Raines (1996) and Leledakis and Davidson (2001) show that the ratio of sales-to-price and debt-to-equity are better predictors of...
Persistent link: https://www.econbiz.de/10012730147
Studies on Samp;P 500 Index changes are unable to reject index compiler certification in explaining permanent stock price effects to index additions. The FTSE 100 Index comprises one hundred stocks ranked highest by market capitalization, and therefore precludes certification. FTSE 100 Index...
Persistent link: https://www.econbiz.de/10012735264
This paper provides new evidence on the empirical success of structural models in explaining corporate credit risk changes. A parsimonious set of common factors and firm-level fundamentals, inspired by structural models, explains more than 54% (67%) of the variation in credit spread changes for...
Persistent link: https://www.econbiz.de/10012735477
The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...
Persistent link: https://www.econbiz.de/10012955234
The study focus on the advantages and disadvantages of dividend discount model using a market based approach. The study looks at the valuation given by the market for stocks and whether that valuation is justified by returns given by the stock in the form of dividends and capital gains. The...
Persistent link: https://www.econbiz.de/10012955406
The purpose of this study is to examine patterns of price limit hits for stocks listed on the Tokyo Stock Exchange. Explanations are provided for the empirical findings and the extent to which the price limit hit patterns are related to existing stock returns patterns. We argue that if patterns...
Persistent link: https://www.econbiz.de/10012955990
This paper aims to examine the industry effect of limit hits of Tokyo Stock Exchange. The results show evidence of industry effect where information technology companies have the highest limit hits per company and utility companies have the lowest limit hits per company. High limit hit...
Persistent link: https://www.econbiz.de/10012956163