Working paper

Working paper

Equal or Value Weighting? Implications for Asset-Pricing Tests

Author(s) : Raman Uppal
To answer this question we first show that, with monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of...
2014

Working paper

Equal or Value Weighting? Implications for Asset-Pricing Tests

Author(s) : Grigory Vilkov
To answer this question we first show that, with monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of...
2014

Working paper

Growth Optimal Portfolio Insurance for Long-Term Investors

Author(s) : Daniel Mantilla-Garcia
The level of the optimal time-varying multiplier turns out to be lower than the standard constant multiplier of CPPI for common parameter values. As...
2014

Working paper

Global Style Portfolios Based on Country Indices

Author(s) : Timotheos Angelidis
The comparison between stock and country based factor portfolios suggests that country based value, size and momentum factor portfolios implemented...
2014

Working paper

Global Style Portfolios Based on Country Indices

Author(s) : Nikolaos Tessaromatis
The comparison between stock and country based factor portfolios suggests that country based value, size and momentum factor portfolios implemented...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) : Markus Glaser
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) : Markus Glaser
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) :
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) :
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) : Florencio Lopez-de-Silanes
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) : Florencio Lopez-de-Silanes
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) : Zacharias Sautner
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Internal Capital Markets and Managerial Power: Implications for Family Groups

Author(s) : Zacharias Sautner
But it also presents additional findings that may be useful for family firms and firms with a large...
2014

Working paper

Optimising the Compression Cycle: Algorithms for Multilateral Netting in OTC Derivatives Markets

Author(s) : Dominic OKane
In compression, market participants share position information via a third party company, TriOptima, which then proposes a set of trades which will “...
2014

Working paper

Do Multiple Credit Ratings Signal Complexity ? Evidence from the European Triple-A Structured Finance Securities

Author(s) : Frank J. Fabozzi
Both of these hypotheses predict an inverse relationship between the number of ratings and a security’s funding cost; that is, more ratings will...
2014

Working paper

Do Multiple Credit Ratings Signal Complexity ? Evidence from the European Triple-A Structured Finance Securities

Author(s) : Mike E. Nawas
Both of these hypotheses predict an inverse relationship between the number of ratings and a security’s funding cost; that is, more ratings will...
2014

Working paper

Do Multiple Credit Ratings Signal Complexity ? Evidence from the European Triple-A Structured Finance Securities

Author(s) : Dennis Vink
Both of these hypotheses predict an inverse relationship between the number of ratings and a security’s funding cost; that is, more ratings will...
2014

Working paper

Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis

Author(s) : Adrian Buss
The regulatory measures we study are the Tobin tax, shortsale constraints, and leverage constraints. The main contribution of our research is to...
2014

Working paper

Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis

Author(s) : Bernard Dumas
The regulatory measures we study are the Tobin tax, shortsale constraints, and leverage constraints. The main contribution of our research is to...
2014

Working paper

Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis

Author(s) : Raman Uppal
The regulatory measures we study are the Tobin tax, shortsale constraints, and leverage constraints. The main contribution of our research is to...
2014

Pages