In studying contagion e€ects it is particularly important to control for the contemporaneous release of relevant information (e.g., dividends and earnings announcements) by

Cost and pro®t function analysis from alternative output speci®cations that include both tra- ditional lending activities and non-traditional activities like fee income or o€-

Pseudo q is estimated as the average ratio of the market value of the ®rm Õ s assets to the book value of the ®rm Õ s assets for the three ®scal years before the announcement, where

Third, it is possible that UK-owned parent corporations have retained much of their loss exposure to systematic risks within the corporate group prior to the establishment of

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

In this respect, it is worth emphasizing that a comparison between the negative correlation between price levels and subsequent price changes (doc- umented in Table 5), on the one

In two equations the Her®ndahl index has an associated signi®cant negative coe- cient, meaning that the fall in market concentration was accompanied by a more aggressive price

In accordance with studies for other markets, Swedish index returns exhibit high autocorrelation, (a) after days of above average performance of the stock market, (b) after low

Risk-adjusted pro®ts are measured here under two assumptions: Foreign- exchange risk premia are time-constant (less stringently, risk-premium varia- tions are uncorrelated with

banking been e€ective in producing convergence in lending rates and second, is the degree of regional ®nancial market integration di€erent from the degree of global ®nancial

The ®rst group of papers were presented at the Conference on: ``Public Debt Management, Financial Markets and Policy Issues'' that took place on 20/22 November 1997, the second at

Nevertheless, both sets of results clearly suggest that increased transactions costs have an important impact on share price volatility; and that the sign of the e€ect depends on

Using one speci®c form of factor analysis, principal components analysis , we ®nd that the ®rst two common factors, which we interpret as parallel shift and rotation , account

In this paper we have used a model of mean-shifting investment technologies to analyze the relationship between the market structure in banking and risk taking (project choice)

Our empirical tests indicate that during periods of extreme price movements, equity return dispersions for the US, Hong Kong and Japan actually tend to increase rather than

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

As shown in the piecewise regressions, the increased risk associated with larger managerial holdings in the 1987±1989 period does not become signi®- cant until holdings exceed the

Thus, Riga provides evidence that a di€erent approach other than continuous variable price electronic trading should be used to improve the liquidity of thinly traded,