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Jimmy Melo
Pág. 165 - 187
In scenarios of increasing pessimism, arbitrageurs affect processes by inducing a recuperation in demand for a risky asset (demand effect) or as a result of their capacity to transfer resources to scenarios of scarce liquidity (the liquidity effect). If ...
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Thomas S. Howe,Ralph A. Pope
Pág. 33 - 49
This study uses empirical resampling to examine the risk of three of Perold and Sharpe?s (1988) dynamic asset allocation strategies--Buy and hold, Constant mix, and Constant Proportion Portfolio Insurance (CPPI). Generally we find greater risk from...
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Thomas S. Howe,Ralph A. Pope
Pág. 33 - 49
This study uses empirical resampling to examine the risk of three of Perold and Sharpe?s (1988) dynamic asset allocation strategies--Buy and hold, Constant mix, and Constant Proportion Portfolio Insurance (CPPI). Generally we find greater risk from...
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Jaka Sriyana,Abdul Hakim
Pág. 68 - 72
This paper models fiscal sustainability in Indonesia using the measure of liabilities-to-asset ratio (LAR), a simple measure of a country?s balanced-sheet. It uses the approach of conditional Value-at-Risk (VaR), assuming normal or t distributions, to de...
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Waeibrorheem Waemustafa,Suriani Sukri
Pág. 476 - 481
The study analyzes the macroeconomic and bank specific determinants of credit risk in Islamic and Conventional Banks. Multivariate Regression analysis is applied on the sample of 15 conventional banks and 13 Islamic Banks in Malaysia over the period betw...
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Harish S. Bhat and Nitesh Kumar
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston?s st...
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Nuno Marques de Almeida and Adolfo Crespo
The frequency and severity of natural or human-induced disaster events, such as floods, earthquakes, hurricanes, fires, pandemics, hazardous material spills, groundwater contamination, structural failures, explosions, etc., as well as their impacts, have...
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Yetti Afrida Indra
Pág. 233 - 240
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting sto...
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Thomas Poufinas
Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under...
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Gokben Cevikcan and Oktay Tas
Securities firms are the leading institutions that facilitate the flow of funds by performing key services both in primary and secondary markets. The assessment of the efficiency of these firms has become a contemporary major issue due to the increasingl...
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Charles P. Cullinan, Hui Du
Considerable realignment in the audit market occurred in the wake of the Sarbanes-Oxley Act of 2002, with many clients switching from a Big 4 to a non-Big 4 auditor. We examine a sample of 212 former Big 4 clients who switched to either a mid-sized audit...
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Ney Roberto Ottoni de Brito,Alexandre Bona,Affonso Tarciro, Jr.
Pág. pp. 119 - 136
Active funds are typically managed by placing bets against a well defined passive bench-mark. In this context, when examining the launching of a new actively managed fund with a target expected excess rate of return relative to the benchmark equal to µ, ...
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M. J. Page
AbstractIn 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather...
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M. J. Page
AbstractIn 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather...
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Titus Suciu, Patrizia Gazzola
Pág. 1 - 12
Risk is a permanent feature of the capital market, as it plays the main part on the stock exchange.The work shows us the impact of risk on the behaviour of the stock exchange traders: ignoring correlations, prejudice of familiarity, national bias, local ...
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