Arbitrage in the foreign exchange market: turning on the microscope

Author(s):

Lucio Sarno

Topic:
Finance
Industry:
Banking

If markets are efficient, then there are no exploitable arbitrage opportunities. But if no one engages in arbitrage, then what eliminates such exploitable opportunities? This column puts international financial markets under the microscope and shows that arbitrage opportunities exist, but they are usually eliminated in less than five minutes. Such micro-arbitrage makes the assumption of no arbitrage safe for those looking at the bigger picture.

Updated: 24/10/2011
Comments:
Views: 19,589

The accounting statements of global financial institutions and the recent crisis

Author(s):

Alistair Milne

Topic:
Accounting
Industry:
Banking

The paper looks at major issues associated with accounting policies and standards which affected the banking sector in the run-up to the financial crisis.

Updated: 21/10/2011
Comments:
Views: 5,570

Auditor independence and the cost of capital before and after Sarbanes–Oxley: the case of newly issued public debt

Author(s):

Gilad Livne

 et al.
Topic:
Finance
Industry:
Banking

An important aim of the Sarbanes-Oxley Act (SOX) was to reduce the cost of capital by enhancing auditor independence. We contribute to this debate by first providing evidence suggesting that auditor independence has increased following SOX.

Updated: 24/10/2011
Comments:
Views: 5,873

Project portfolio management: prioritising resources for change

Author(s):

Chris Storey

 et al.
Topic:
Finance
Industry:
Banking

This research project investigated the attitudes, approach and practices geared towards project portfolio management in 24 leading financial service companies.

Updated: 05/01/2015
Comments: 7
Views: 7,605

Limited liability non-bank government debt for the Eurozone

Author(s):

Alistair Milne

Industry:
Banking

This paper examines the weaknesses in the operation of the European single currency and makes proposals for correcting them.

Updated: 24/10/2011
Comments:
Views: 6,681

Insurance solvency under parameter uncertainty

Financial institutions such as insurance companies or banks are regulated according to a Value-at-Risk principle. This means that they have to hold enough capital, such that their probability of becoming insolvent over a fixed time horizon (e.g. 1 year) is very low (e.g. at most 0.5%). Calculation of the required capital according to this principle stumbles on the quite fundamental difficulty of estimating the probability of very extreme scenarios based on limited data sets.

Updated: 10/02/2017
Comments: 4
Views: 13,230

Irresponsible lending? a case study of a U.K. credit industry reform initiative

Author(s):

Paul Palmer

Industry:
Banking

This article describes an attempt to address the challenges in the credit card industry with the initiation of the RLI, reflected in stakeholder discourse and in the context of a wider concern expressed by the involved stakeholders in terms of the need for greater responsibility in the banking industry's lending practices.

Updated: 01/01/2015
Comments: 2
Views: 7,214

The gross truth about hedge fund performance and risk: the impact of incentive fees

Author(s):

Andrew Clare

 et al.
Industry:
Banking

In this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance.

Updated: 24/10/2011
Comments:
Views: 5,274

Locking in the profits or putting it all on black? : an empirical investigation into the risk-taking behaviour of hedge fund managers

Author(s):

Andrew Clare

 et al.
Topic:
Finance
Industry:
Banking

In this paper, using a large database of hedge fund returns, we examine the risk taking behaviour of hedge fund managers in response to both their past returns relative to their high-water mark and their past returns relative to their peer group.

Updated: 28/12/2014
Comments: 23
Views: 6,647