Results 91 to 100 of about 708 (257)

The big impact of small change: Fresh estimates of English wheat market integration, 1693–1893

The Economic History Review, EarlyView.
Abstract Using existing and new price data sets, we provide the first estimates of market integration across England over the entire 200 years of the industrial revolution. We document a significant, though not huge, integration improvement for markets furthest from London. Full integration was achieved by the 1830s. Our price data sets vary in quality
Liam Brunt, Edmund Cannon
wiley   +1 more source

Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT)

International Journal of Business, Economics, and Social Development
Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This
Puspa Dwi Ayu Banowati, Betty Subartini, Sukono Sukono   +2 more
doaj   +1 more source

Atlantic trade and the West African market economy: New evidence from cowry imports, 1650–1905

The Economic History Review, EarlyView.
Abstract Between the seventeenth and twentieth centuries, billions of cowries arrived in West Africa, leaving one of the few quantitative traces available for historians to measure the Atlantic trade's impact on the precolonial market economy. Yet, current estimates substantially underestimate the volume of cowry imports.
María José Pont Cháfer
wiley   +1 more source

Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

Lahore Journal of Economics
The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others ...
Ali Ataullah
doaj  

Risk premia reconsidered: Illiquidity and selection bias for stocks and corporate bonds in the pre‐First World War period

The Economic History Review, EarlyView.
Abstract Financial history is plagued by a visibility trap. Using the Brussels Stock Exchange (1850–1913), we demonstrate that asset illiquidity introduced selection bias, which systematically inflated historical risk premia. Applying a latent return model, we argue that correcting for this illiquidity decreases the equity and corporate bond risk ...
Justin Case, Eline Poelmans, Gertjan Verdickt   +2 more
wiley   +1 more source

How Regulatory Costs Impede Financial Technology Gains

European Financial Management, EarlyView.
ABSTRACT While financial technology innovation lowers intermediation costs, regulatory frictions may prevent these gains from reaching long‐term investors and borrowers. Using variation in retail investor participation driven by state securities registration lapses in peer‐to‐peer lending, we demonstrate that regulatory frictions are associated with ...
Shyam Venkatesan, Brian Wolfe, Woongsun Yoo   +2 more
wiley   +1 more source

Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach

Copernican Journal of Finance & Accounting
This article's core objective is to analyze how firm characteristics collectively effect the risk-adjusted returns of Indian stocks. It aims to understand the simultaneous explanatory power of multiple variables that have shown to predict the cross ...
Sanjay Shanbhag, Kamran Quddus
doaj  

Global Banks and Local Rules: The Effects of Macroprudential Policy on US Bank Branch Lending

European Financial Management, EarlyView.
ABSTRACT The discretionary nature of macroprudential policy implementation may stimulate regulatory arbitrage opportunities by global banks, undermining national regulators’ efforts to fine‐tune business, credit or financial cycles within the domestic perimeter. This paper examines how local macroprudential tools affect the lending behaviour of foreign
Carmela D'Avino, Suwan Long, Mimoza Shabani, Maria Tselika   +3 more
wiley   +1 more source

Revisiting Momentum Through Dynamic Kernel Learning

European Financial Management, EarlyView.
ABSTRACT This paper revisits momentum through a dynamic kernel framework that links return continuation to the speed at which return‐relevant shocks propagate through prices. Using nearly 60 years of US equity data, we estimate nonnegative and geometric kernels that govern how past returns are weighted over time.
Feng Dong, Ningxi Zhang
wiley   +1 more source

How Territorial Financial Governance Complicates Vertical Relationships in the Multi‐National United Kingdom

Financial Accountability &Management, EarlyView.
ABSTRACT The United Kingdom is an asymmetric polity, in part because it is a multi‐national state brought together by conquest and voluntary union. The 1998 devolution settlements for Scotland, Wales, and Northern Ireland were conceived and implemented in the context of UK membership of the European Union (EU).
David Heald
wiley   +1 more source