Search results for "050208 finance"
showing 10 items of 422 documents
The impact of quantitative easing on UK bank lending: Why banks do not lend to businesses?
2021
Abstract The growing proportion of UK bank lending to the financial sector reached a peak in 2007 just before the onset of the Global Financial Crisis (GFC). This marks a trend in the dwindling amount of bank lending to private sector non-financial corporations (PNFCs), which was exacerbated with the Great Recession. Many central banks aimed to revive bank lending with quantitative easing (QE) and unconventional monetary policy. We propose an agent based computational economics (ACE) model which combines the main factors in the economic environment of QE and Basel regulatory framework to analyse why UK banks do not prioritize lending to non-financial businesses. The lower bond yields caused…
Superiority of Optimized Portfolios to Naive Diversification: Fact or Fiction?
2017
Abstract DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds value. Nowadays several studies claim to defend the value of portfolio optimization. The commonality in all these studies is that various portfolio optimization methods are implemented using the datasets generously provided by Kenneth French and the performance is measured by means of the Sharpe ratio. This paper aims to provide a cautionary note regarding the use of Kenneth French datasets …
Optimal Dynamic Portfolio Risk Management
2016
Numerous econometric studies report that financial asset volatilities and correlations are time-varying and predictable. Over the past decade, this knowledge has stimulated increasing interest in various dynamic portfolio risk control techniques. The two basic types of risk control techniques are: risk control across assets and risk control over time. At present, the two types of risk control techniques are not implemented simultaneously. There has been surprisingly little theoretical study of optimal dynamic portfolio risk management. In this paper, the author fills this gap in the literature by formulating and solving the multi-period portfolio choice problem. In terms of dynamic portfoli…
Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics
2015
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance, relevance, and surprise it conveys, affecting severely the predictive power of semantic and statistical methods. Here we show that the aggregation of web users' behavior can be elicited to overcome this problem in a hard to predict complex system, namely the financial market. Specifically, our in-sample analysis shows that the combined use of sentiment analysis of news and browsing activity of users of Yahoo! Finance greatly helps forecasting intra-day and dai…
Portion size selection in children: Effect of sensory imagery for snacks varying in energy density
2020
Food sensory imagery - creating a vivid mental image of the sensory experience of eating - can lead to the selection of smaller portions because it serves as a reminder that eating enjoyment does not necessarily increase with portion size. The evidence is mostly limited to adults and to energy-dense foods for which it is particularly difficult to predict the satiating effects of consumption quantity. The objective was to study how food sensory imagery influences portion size selection of foods varying in energy density (brownie and applesauce) by 7- to 11-year-old children. During after-school time, 171 children were randomized into two conditions. Children in the food sensory imagery condi…
The role of internal corporate governance mechanisms on default risk: A systematic review for different institutional settings
2020
Recent financial downturns, characterized by the significant failures of firms, have revealed the need to control credit risk. Latest literature has shown that weak corporate governance structures are related to high levels of default risk, leading to financial instability. In this context, we aim to summarize the literature that focuses on the role that internal corporate governance plays in the credit risk of firms, specifically considering three corporate governance components: ownership structure, board structure and financial stakeholders’ rights and relations. Additionally, we analyse whether the effectiveness of the internal mechanisms depends on particular key factors, especially th…
Systemic Risk in a Structural Model of Bank Default Linkages
2018
Abstract We study a structural model of individual bank defaults across the banking sector; banks are interconnected through their exposure to a common risk factor. The paper introduces a systemic risk measure based on the default frequency in the banking sector; this measure depends non-linearly on the factor's loadings, in contrast to previous systemic risk measures that depend linearly on loadings. We estimate loadings in the U.S. banking system over the course of the last 36 years; we find that they have considerably increased over time and identify four major regimes. Our measure shows that systemic risk became critical in the last of our four regimes, covering the most recent time per…
Cross-autocorrelations in European stock returns
2016
This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other sectors, the Financial Services, Technology, and Telecommunications sectors lead many others. In particular, the leadership of the Technology sector has strengthened in recent years.
Rachats d'actions et augmentation de capital : une analyse de leur combinaison appliquée au marché français
2013
Noting that over 22% of capital increases thrown at the French financial market are made when a share repurchase program is in progress, we propose an original study of the combination of the two operations. From 50 operations for the period 1999-2006, we test if the buybacks "prepare" the market before launching the capital increase or means to change the distribution of voting rights. Our results infirm these two hypotheses and confirm rather the proposition of a fortuitous concomitance.
Activisme et proxy fight. Quand les actionnaires déclarent la guerre au management
2009
Les attentes des actionnaires minoritaires sont relativement heterogenes : les salaries ou les fournisseurs qui detiennent des actions ne sont pas uniquement preoccupes par les dividendes ou les plus-values, contrairement aux actionnaires patrimoniaux. Ces derniers, qui peuvent etre insatisfaits par certaines decisions strategiques ou operationnelles prises par les dirigeants, ont la possibilite d’agir pour proteger leurs interets, en s’engageant notamment dans une bataille de procuration. Dans cet article, les auteurs insistent sur les principales difficultes rencontrees par les actionnaires contestataires lors de ces batailles, sur les facteurs cles de succes, ainsi que sur les consequenc…