Results 71 to 80 of about 9,158 (259)

Skew Premiums Around Earnings Announcements

Financial Review, EarlyView.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

Analysis of the Counterparty’s Environmental Reliability

Учёт. Анализ. Аудит
Today’s market shows increasing competition within consulting and audit services. Audit firms seek to expand the range of services provided and, considering the business environment, develop new areas for consulting activities.
S. М. Bychkova, O. V. Shvets
doaj   +1 more source

Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures

International Journal of Financial Studies, 2015
This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees.
Annika Westphal
doaj   +1 more source

Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties

IMF Working Papers, 2009
Counterparty risk in the United States stemming from exposures to OTC derivatives payables (after netting) is now concentrated in five banks?Goldman Sachs, JPMorgan, Bank of America, Morgan Stanley and Citi. This note analyzes how such risks have shifted over the past year.
James Aitken, Manmohan Singh
openaire   +3 more sources

Search and Inventory in Over‐the‐Counter Markets

International Economic Review, EarlyView.
ABSTRACT We investigate the sources of the dealer centrality premium in the over‐the‐counter market for corporate bonds. We model dealer heterogeneity by allowing the dealer's status in the network to determine search effort and inventory costs when choosing to conduct riskless principal or principal trades.
Evan Dudley, Hongfei Sun, Chengjie Diao
wiley   +1 more source

Central Counterparty Exposure in Stressed Markets

Management Sciences, 2019
Time is valuable, particularly in stressed markets. Because central counterparties (CCPs) have become systemically important, we need to understand the dynamics of their exposure toward clearing members at high frequencies.
Wenqian Huang, A. Menkveld, Shihao Yu
semanticscholar   +1 more source

Serial Investing and Strategic Commitment in Markets With Unknown Competitors

Journal of Economics &Management Strategy, EarlyView.
ABSTRACT We study how serial investors who regularly face unknown competitors attempt to make their projects dominant. Innovating in new markets often involves uncertainty over the nature of the final product and who the key competitors will be. Such projects also have long‐term funding needs, so a commitment to provide the necessary funds imparts a ...
Naveen Khanna, Richmond Mathews
wiley   +1 more source

Central counterparties – risk minimizers?

The Central European Review of Economics and Management, 2018
Aim: Recently, central counterparties (CCPs) have gained on popularity due to their positive impact on the financial markets during crisis (limiting contagion on cleared instruments). The post-crisis reforms favored CCPs as risk minimizers. The aim of the article is to critically assess the functioning of the CCPs and their role in the financial system.
openaire   +3 more sources

Mutual fund director compensation

Journal of Financial Research, EarlyView.
Abstract We examine director compensation using a large sample of hand‐compiled U.S. mutual fund data. We find that director compensation is positively correlated with observable productive characteristics—workload, experience, and demographics—that capture the benefits from the directors’ monitoring effort.
John Adams, Sattar Mansi, Takeshi Nishikawa   +2 more
wiley   +1 more source

Banks of a Feather: The Informational Advantage of Being Alike

Journal of Money, Credit and Banking, EarlyView.
Abstract Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary supervisory data on the quality of banks' loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps to overcome information asymmetries in interbank markets.
PETER BEDNAREK, VALERIYA DINGER, ALISON SCHULTZ, NATALJA VON WESTERNHAGEN   +3 more
wiley   +1 more source