Search results for "Folio"
showing 10 items of 319 documents
Going Public – Going Private: The Case of VC-Backed Firms
2012
We investigate the decisions of listed firms to go private once again. We start by revealing that while a significant number of firms which go public is VC-backed, an overproportional share of these VC-backed firms go private later on (they stay on the exchange for an average of 8.5 years). We interpret this very robust pattern such that IPOs of VC-backed firms are to a large extent a temporary rather than a permanent feature of the corporate governance of these firms.We investigate various potential hypotheses why VCs actually seem to be able to bring marginal firms to the exchange by relating the going-private decisions to various characteristics of the IPO market as well as to VC charact…
The Effect of Credit Rating Events on the Emerging CDS Market
2017
We document the cross-border spillover impact of S&P sovereign credit rating events on sovereign CDS using an extensive sample of emerging economies. First, we find on average a competition (imitation) effect of downgrades (upgrades) among emerging portfolios. Results confirms that non-event portfolios responds positively to credit deteriorations in terms of an improvement in sovereign credit risk. Second, the sovereign credit risk of non-event countries within the same portfolio benefit (suffer) from downgrades (upgrades). As expected, this implies a competition effect in terms of sovereign credit risk. Moreover, we find that downgrades are more likely to spill over into other emerging mar…
Corruption, Carry Trades, and the Cross Section of Currency Returns
2017
This is the first paper to explore the effects of perceived corruption on the FX market. It finds that the currencies of countries perceived to suffer from high levels of corruption generate statistically significantly lower returns than the currencies of countries perceived to have low levels of corruption. Moreover, the portfolio spread is highly correlated with NBER recessions and U.S. consumption growth of nondurable goods. Interestingly, stochastic discount factor model analysis reveals that the portfolio spread is useful for pricing the cross section of currency returns, even when controlling for standard FX risk factors.
LR-NIMBUS : an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions
2022
In this paper, we develop an interactive algorithm to support a decision maker to find a most preferred lightly robust efficient solution when solving uncertain multiobjective optimization problems. It extends the interactive NIMBUS method. The main idea underlying the designed algorithm, called LR-NIMBUS, is to ask the decision maker for a most acceptable (typical) scenario, find an efficient solution for this scenario satisfying the decision maker, and then apply the derived efficient solution to generate a lightly robust efficient solution. The preferences of the decision maker are incorporated through classifying the objective functions. A lightly robust efficient solution is generated …
Risk Management for Sustainable Sovereign Debt Financing
2021
We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade-off debt stock and flow risks subject to sustainability constraints. We optimize static and dynamic financing strategies and demonstrate economically significant savings from optimal financing compared with simple rules and consols, and find that optimizing the trade-offs can be critical for sustainability. The model quantifies minimum refinancing risk and maximum rate of debt reduction that a sovereign can achieve given its economic fundamentals, and an extension identifies optimal timing…
CVC AND INNOVATION PERFORMANCE: THE EFFECT OF TECHNOLOGICAL DISTANCE WITH STARTUPS AND COINVESTORS
2018
Firms are increasingly opening their boundaries by engaging in corporate venture capital (CVC) programs as potential gateway into knowledge and technologies of innovative startups. By investing in promising startups across diverse industries with different technological knowledge from the knowledge base of the investing corporate, CVC programs constitute a vehicle for corporates to both exploit and explore innovation opportunities. We first examine the relationship between more explorative CVC investments portfolio and the innovation performance of the corporate. Then, we argue that when syndicating the CVC investments with a co-investor, the portfolio of syndication partners may affect the…
Information and hierarchical structure in financial markets
1999
I investigate the information content present in the time series of stock prices of a portfolio of stocks traded in a financial market. By investigating the correlation coefficient between pairs of stocks I provide a working definition of a generalized distance between the stocks of the portfolio. This generalized distance is used to obtain an ultrametric distance matrix between the stocks. The ultrametric structure of the portfolio investigated has associated a taxonomy which is meaningful from an economic point of view.
Portfolio diversification in the sovereign credit swap markets
2018
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…
Predicting Cryptocurrency Defaults
2019
We examine all available 146 Proof-of-Work based cryptocurrencies that started trading prior to the end of 2014 and track their performance until December 2018. We find that about 60% of those cryptocurrencies were eventually in default. The substantial sums of money involved mean those bankruptcies will have an enormous societal impact. Employing cryptocurrency-specific data, we estimate a model based on linear discriminant analysis to predict such defaults. Our model is capable of explaining 87% of cryptocurrency bankruptcies after only one month of trading and could serve as a screening tool for investors keen to boost overall portfolio performance and avoid investing in unreliable crypt…
Cryptocurrency as an Investment Instrument in a Modern Financial Market
2019
This paper considers the development of attractive strategies featuring cryptocurrency assets, considering their costs and potential risks. The object of analysis in this paper is cryptocurren- cy as an investment instrument. The main hypothesis of the research is that modern portfolio theory can be applied to cryptocurrency investments to design an investment portfolio with appropriate risk and profitability characteristics. The authors of the paper: (i) place crypto- currencies in the context of modern financial market and financial technology development; (ii) develop assessment criteria for determining attractiveness of individual cryptocurrencies; and (iii) develop recommendations for …