The flow-performance relationship around the world

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We find that flows are convex in past performance creating an incentive for managers to take excessive risk.

Updated: 24/10/2011
Comments:
Views: 7,570

Micro versus macro cointegration in heterogeneous panels

Author(s):

Lorenzo Trapani

 et al.
Topic:
Finance
Industry:
Banking

We consider the issue of cross-sectional aggregation in nonstationary and hetero- geneous panels where each unit cointegrates.

Updated: 24/10/2011
Comments:
Views: 4,674

Inferential theory for heterogeneity in large non-stationary panels

Author(s):

Lorenzo Trapani

Topic:
Finance
Industry:
Banking

This paper provides an estimation and testing framework to assess the presence and extent of slope heterogeneity when the units are a mixture of spurious and/or cointegrating regressions.

Updated: 24/10/2011
Comments:
Views: 5,220

On bootstrapping panel factor series

Author(s):

Lorenzo Trapani

Industry:
Banking

This paper studies the asymptotic validity of the bootstrap for nonstationary panel factor series.

Updated: 24/10/2011
Comments:
Views: 5,399

Value driving activities in Euro-zone banks

Author(s):

Helena Isidro

 et al.
Topic:
Accounting
Industry:
Banking

The paper develops and tests accounting-based valuation models for commercial banks. Based on Begley et al. (2006) framework we propose a valuation model where goodwill is generated by virtually all commercial and investment banking activities.

Updated: 21/10/2011
Comments:
Views: 6,141

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 6,390

How do UK banks react to changing central bank rates?

Author(s):

Ana-Maria Fuertes

 et al.
Topic:
Finance
Industry:
Banking

This paper explores the interest rate transmission mechanism using a broad disaggregated sample of UK deposit and credit products.

Updated: 24/10/2011
Comments:
Views: 6,366

M&A in recovery: new studies from Cass' M&A research centre

The M&A Research Centre at Cass Business School blends academic expertise with know-how and experience from practitioners to produce rigorous and relevant research in the area of global acquisitions, mergers and corporate restructurings.

Updated: 29/01/2013
Comments:
Views: 11,413

The third annual Cass-Capco conference of the Cass-Capco institute paper series on risk

Author(s):

Podcast containing interviews, presentations and keynote address of the event at Cass Business School on 19 April 2010

Updated: 10/02/2017
Comments:
Views: 12,262