Directory UMM :Data Elmu:jurnal:J-a:Journal Of Banking And Finance:Vol24.Issue11.2000:
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If optimal holdings of all securities are always positive, or if the market process is continuous and short sales are allowed, the processes yj are local martingales for each security
We examine a hypothetical investor who switches from the S&P500 index into one of three Vanguard International index mutual funds at the close of trading on a day on which
While Choi and Elyasiani (1997) provide evidence of a link between a bank Õ s derivative activity and its interest rate and exchange risk betas, we provide evidence on the
This ®nding supports Wall (1989) agency theory explanation of the relationship between the risk of a ®rm and the bene®t from a reduction in agency costs by using an interest rate
Using the cost-of-carry model of futures prices we estimate (non-linearly) the transaction costs and trade speeds faced by ar- bitragers who take advantage of mispricing of
When we analyzed the combined abnormal returns of bidder and target for dierent types of deals, we uncover that there is a positive and signi®cant market reaction around the
The possibility that the use of interest-rate derivative instruments, in particular OTC swaps, is associated with higher growth rates in C&I loans, implies that restrictions on
To calculate the predictive mean one needs the conditional distribution of losses given the parameter of interest (often the conditional mean) and the prior distribution of
