Investment Reputation Indes: Family Firms vs Non-Family firms in the UK [PDF]
Family firm researchers have found a host of characteristics that are unique to family firms. These familial attributes are often taken as plausible explanations for governance and operational differences between family firms and their non-family ...
Dr. Carol Padgett, Suranjita Mukherjee
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A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index [PDF]
In this paper we examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500 Composite Index for the period 1888-2001.
Apostolos Katsaris, Chris Brooks
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Diabetic encephalopathy: a concept requiring definition
Mìžnarodnij Endokrinologìčnij ŽurnalThe review addresses diabetic encephalopathy as a controversial and insufficiently defined complication of diabetes mellitus. Cognitive impairment associated with diabetes has been described for more than 80 years; however, clear diagnostic criteria ...
M.M. Rygan, M.M. Oros, M.M. Oros Jr.
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A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates [PDF]
In this paper we investigate the claim that hedge funds offer investors a superior risk-return trade-off. We do so using a continuous time version of Dybvig’s (1988a, 1988b) payoff distribution pricing model.
Chris Brooks, Melvin J. Hinich
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Who Should Buy Hedge Funds? The effect of including Hedge Funds in Portfolios of Stocks and Bonds [PDF]
Using monthly return data on 455 hedge funds over the period 1994-2001 we study the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. Our results indicate that although the inclusion of hedge funds may
Gaurav Amin, Harry. M Kat
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Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector? [PDF]
This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the S&P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to
Apostolos Katsaris, Chris Brooks
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The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies [PDF]
This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a long-short equity market neutral strategy.
Anca Dimitriu, Carol Alexandra
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A Constructive Review of Basel's Proposals on Operational Risk [PDF]
Risk and loss are common words that need to be clearly defined when embarking on the task of assessing operational risks. Financial institutions may rush into implementing the methodologies proposed by Basel in the hope of achieving better risk ...
Jacques Pezier
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Credit Risk Diversification [PDF]
We study the role of diversification in reducing the volatility of corporate bond returns induced by changes in credit spreads. Specifically, we look at how credit risk can be diminished when a portfolio is diversified across countries, industry sectors,
Simonne Varotto
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