Capital structure and debt maturity in Europe: the role of integration and FDI

Author(s):

Gulnur Muradoglu

Topic:
Finance

We investigate capital structures and debt maturities of firms in Europe. Europe is different from the rest of the world as major European economies have bank-based financial systems and European emerging markets are integrating with them through accession.

Updated: 22/09/2011
Comments:
Views: 6,230

Momentum in credit rated stocks: is momentum investors' reaction to uncertainty across business cycle?

Momentum returns are mainly earned by speculative grade stocks and during contractions.

Updated: 22/09/2011
Comments:
Views: 4,979

Decomposition of momentum return: which component contributes most?

This paper investigates the contribution of common components and stock specific components in generating momentum return.

Updated: 22/09/2011
Comments:
Views: 5,112

Drivers of real estate fund performance: a panel data analysis

The principle aim of this research is to elucidate the factors driving the total rate of return of non-listed funds using a panel data analytical framework.

Updated: 05/01/2015
Comments: 12
Views: 8,189

Which money is smart? mutual fund buys and sells of individual and institutional investors

Gruber (1996) and Zheng (1999) report that investors channel money towards mutual funds that subsequently perform well. Sapp and Tiwari (2004) find that this smart money effect no longer holds after controlling for stock return momentum.

Updated: 22/09/2011
Comments:
Views: 5,283

Mutual fund performance persistence and competition: a cross-sector analysis

Author(s):

Aneel Keswani

Topic:
Finance

Existing work on mutual fund performance persistence obtains diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition.

Updated: 22/09/2011
Comments:
Views: 5,929

Development strategy in offshore markets: evidence from the Channel Islands

This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for the Channel Islands, London FTSE100 and AIMS as well as Paris CAC40 and Medium & Small 190.

Updated: 29/09/2011
Comments:
Views: 5,241

Integration and the asymmetric transmission of volatility: a study of equity markets in Sub-Saharan Africa

Author(s):

Bruce Hearn

Topic:
Finance

Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric.

Updated: 22/09/2011
Comments:
Views: 5,153

The costs and opportunities for portfolio diversification in Southern Africa's smallest equity markets

This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and time varying parameter CAPM, for the three very small SADC equity markets of Namibia, Swaziland, Mozambique, and South Africa.

Updated: 21/10/2011
Comments:
Views: 4,925