Report NEP-FIN-2005-10-04

This is the archive for NEP-FIN, a report on new working papers in the area of Finance. Philip Yu issued this report. It is usually issued weekly.

This report is closed
Other reports in NEP-FIN

The following items were announced in this report:

• John Knight & Stephen Satchell, 2005. "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics.
• Darcey McVanel, 2005. "The Impact of Unanticipated Defaults in Canada's Large Value Transfer System," Staff Working Papers 05-25, Bank of Canada.
• Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo.
• Richard Disney, 2005. "Household Saving Rates and the Design of Social Security Programmes: Evidence from a Country Panel," CESifo Working Paper Series 1541, CESifo.
• Clara Graziano & Annalisa Luporini, 2005. "Ownership Concentration, Monitoring and Optimal Board Structure," CESifo Working Paper Series 1543, CESifo.
• M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series 1548, CESifo.
• Cooper, Ian & Nyborg, Kjell, 2005. "The Value of Tax Shields IS Equal to the Present Value of Tax Shields," CEPR Discussion Papers 5182, C.E.P.R. Discussion Papers.
• Menkhoff, Lukas & Rebitzky, Rafael & Schröder, Michael, 2005. "Do Dollar Forecasters Believe too Much in PPP?," Hannover Economic Papers (HEP) dp-321, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
• Nina Smith & Valdemar Smith & Mette Verner, 2005. "Do Women in Top Management Affect Firm Performance? A Panel Study of 2500 Danish Firms," CIE Discussion Papers 2005-03, University of Copenhagen. Department of Economics. Centre for Industrial Economics.
• Marc Henrard, 2005. "Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures," Finance 0509027, University Library of Munich, Germany.
• Nigel Driffield & Vidya Mahambare & Sarmistha Pal, 2005. "How Ownership Structure Affects Capital Structure and Firm Performance? Recent Evidence from East Asia," Finance 0509028, University Library of Munich, Germany.
• Yanhua ZHANG, 2005. "Collusion and Commitment in Bank Bailout," Industrial Organization 0509011, University Library of Munich, Germany.
• Maria-Teresa Marchica, "undated". "Debt Maturity and the Characteristics of Ownership Structure: An Empirical Investigation of UK Firms," Discussion Papers 05/29, Department of Economics, University of York.
• Kadri Männasoo & David G Mayes, 2005. "Investigating the Early Signals of Banking Sector Vulnerabilities in Central and East European Emerging Markets," Bank of Estonia Working Papers 2005-08, Bank of Estonia, revised 10 Oct 2005.
• Kaltenhaeuser, Bernd, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series 0286, European Central Bank.
• Carletti, Elena & Hartmann, Philipp & Spagnolo, Giancarlo, 2003. "Bank mergers, competition and liquidity," Working Paper Series 0292, European Central Bank.
• Gropp, Reint & Moerman, Gerard, 2003. "Measurement of contagion in banks' equity prices," Working Paper Series 0297, European Central Bank.
• Freixas, Xavier & Parigi, Bruno M. & Rochet, Jean-Charles, 2003. "The lender of last resort: a 21st century approach," Working Paper Series 0298, European Central Bank.
• Manna, Michele, 2004. "Developing statistical indicators of the integration of the euro area banking system," Working Paper Series 0300, European Central Bank.
• Gropp, Reint & Vesala, Jukka, 2004. "Deposit insurance, moral hazard and market monitoring," Working Paper Series 0302, European Central Bank.
• Afonso, António & Strauch, Rolf, 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU," Working Paper Series 0303, European Central Bank.
• de Bondt, Gabe & Marqués-Ibáñez, David, 2004. "The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area," Working Paper Series 0313, European Central Bank.
• Derviz, Alexis, 2004. "Exchange rate risks and asset prices in a small open economy," Working Paper Series 0314, European Central Bank.
• Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 0315, European Central Bank.
• Holthausen, Cornelia & Rønde, Thomas, 2004. "Cooperation in international banking supervision," Working Paper Series 0316, European Central Bank.
• Koeppl, Thorsten Volker, 2004. "Risk sharing through financial markets with endogenous enforcement of trades," Working Paper Series 0319, European Central Bank.
• Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2004. "Fundamentals and joint currency crises," Working Paper Series 0324, European Central Bank.
• Moerman, Gerard, 2004. "Diversification in euro area stock markets: country versus industry," Working Paper Series 0327, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 0354, European Central Bank.
• Christoffersen, Peter & Mazzotta, Stefano, 2004. "The informational content of over-the-counter currency options," Working Paper Series 0366, European Central Bank.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004. "Sovereign risk premia in the European government bond market," Working Paper Series 0369, European Central Bank.
• Koeppl, Thorsten Volker & Monnet, Cyril, 2004. "Guess what: it's the settlements!," Working Paper Series 0375, European Central Bank.
• Holthausen, Cornelia & Tapking, Jens, 2004. "Raising rival's costs in the securities settlement industry," Working Paper Series 0376, European Central Bank.
• Ewerhart, Christian & Cassola, Nuno & Ejerskov, Steen & Valla, Natacha, 2004. "Liquidity, information, and the overnight rate," Working Paper Series 0378, European Central Bank.
• Castrén, Olli, 2004. "Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?," Working Paper Series 0379, European Central Bank.
• Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004. "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series 0385, European Central Bank.
• Tapking, Jens & Yang, Jing, 2004. "Horizontal and vertical integration and securities trading and settlement," Working Paper Series 0387, European Central Bank.
• Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 0397, European Central Bank.
• Altunbas, Yener & Marqués-Ibáñez, David, 2004. "Mergers and acquisitions and bank performance in Europe: the role of strategic similarities," Working Paper Series 0398, European Central Bank.
• Kaas, Leo, 2004. "Financial market integration and loan competition: when is entry deregulation socially beneficial?," Working Paper Series 0403, European Central Bank.
• Iori, Giulia, 2004. "An analysis of systemic risk in alternative securities settlement architectures," Working Paper Series 0404, European Central Bank.
• Takáts, Elod, 2004. "Banking consolidation and small business lending," Working Paper Series 0407, European Central Bank.
• Breedon, Francis & Vitale, Paolo, 2004. "An empirical study of liquidity and information effects of order flow on exchange rates," Working Paper Series 0424, European Central Bank.
• Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 0425, European Central Bank.
• Miller, Darius P. & Puthenpurackal, John J., 2005. "Security fungibility and the cost of capital: evidence from global bonds," Working Paper Series 0426, European Central Bank.
• Kauko, Karlo, 2005. "Interlinking securities settlement systems: a strategic commitment?," Working Paper Series 0427, European Central Bank.
• Pons-Sanz, Vicente, 2005. "Who benefits from IPO underpricing? Evidence form hybrid bookbuilding offerings," Working Paper Series 0428, European Central Bank.
• Buch, Claudia M. & Driscoll, John C. & Ostergaard, Charlotte, 2005. "Cross-border diversification in bank asset portfolios," Working Paper Series 0429, European Central Bank.
• Da Rin, Marco & Nicodano, Giovanna & Sembenelli, Alessandro, 2005. "Public policy and the creation of active venture capital markets," Working Paper Series 0430, European Central Bank.
• Calzolari, Giacomo & Loranth, Gyongyi, 2005. "Regulation of multinational banks: a theoretical inquiry," Working Paper Series 0431, European Central Bank.
• Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 0436, European Central Bank.
• Papaioannou, Elias, 2005. "What drives international bank flows? Politics, institutions and other determinants," Working Paper Series 0437, European Central Bank.
• Castrén, Olli, 2005. "Estimating and analysing currency options implied risk-neutral density functions for the largest new EU member states," Working Paper Series 0440, European Central Bank.
• Monnet, Cyril & Quintin, Erwan, 2005. "Why do financial systems differ? History matters," Working Paper Series 0442, European Central Bank.
• Rosati, Simonetta & Secola, Stefania, 2005. "Explaining cross-border large-value payment flows: evidence from TARGET and EURO 1 data," Working Paper Series 0443, European Central Bank.
• Castrén, Olli & Mazzotta, Stefano, 2005. "Foreign exchange option and returns based correlation forecasts: evaluation and two applications," Working Paper Series 0447, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2005. "Transparency, disclosure and the federal reserve," Working Paper Series 0457, European Central Bank.
• Miller, Marcus & Castrén, Olli & Zhang, Lei, 2005. "Capital flows and the US ‘New Economy’: consumption smoothing and risk exposure," Working Paper Series 0459, European Central Bank.
• Pajuste, Anete, 2005. "Determinants and consequences of the unification of dual-class shares," Working Paper Series 0465, European Central Bank.
• Ehrmann, Michael & Fratzscher, Marcel, 2005. "Communication and decision-making by central bank committees: different strategies, same effectiveness?," Working Paper Series 0488, European Central Bank.
• Tinn, Katrin, 2005. "Optimal research in financial markets with heterogeneous private information: a rational expectations model," Working Paper Series 0493, European Central Bank.
• Giannetti, Mariassunta & Ongena, Steven, 2005. "Financial integration and entrepreneurial activity: evidence from foreign bank entry in emerging markets," Working Paper Series 0498, European Central Bank.
• Cappiello, Lorenzo & Gérard, Bruno & Manganelli, Simone, 2005. "Measuring comovements by regression quantiles," Working Paper Series 0501, European Central Bank.
• Wilhelmsen, Bjørn-Roger & Zaghini, Andrea, 2005. "Monetary policy predictability in the euro area: an international comparison," Working Paper Series 0504, European Central Bank.
• Bolt, Wilko & Humphrey, David, 2005. "Public good issues in TARGET: natural monopoly, scale economies, network effects and cost allocation," Working Paper Series 0505, European Central Bank.
• Pagès, Henri & Humphrey, David, 2005. "Settlement finality as a public good in large-value payment systems," Working Paper Series 0506, European Central Bank.
• Durré, Alain & Giot, Pierre, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Series 0515, European Central Bank.
• Van Roy, Patrick, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Working Paper Series 0517, European Central Bank.
• de Bondt, Gabe & Mojon, Benoît & Valla, Natacha, 2005. "Term structure and the sluggishness of retail bank interest rates in euro area countries," Working Paper Series 0518, European Central Bank.
• Stracca, Livio, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 0520, European Central Bank.
• Albuquerque, Rui & Bauer, Gregory H. & Schneider, Martin, 2004. "International equity flows and returns: a quantative equilibrium approach," Working Paper Series 0310, European Central Bank.
• Holthausen, Cornelia & Rochet, Jean-Charles, 2005. "Incorporating a "public good factor" into the pricing of large-value payment systems," Working Paper Series 0507, European Central Bank.
• Galos, Peter & Soramäki, Kimmo, 2005. "Systemic risk in alternative payment system designs," Working Paper Series 0508, European Central Bank.