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And Death Shall Have No Dominion: Life Settlements and the Ethic of Profiting from Mortality 死亡无权统治:生命的归宿与从死亡中获利的伦理
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-16 DOI: 10.2139/SSRN.1344332
D. Blake, D. Harrison
{"title":"And Death Shall Have No Dominion: Life Settlements and the Ethic of Profiting from Mortality","authors":"D. Blake, D. Harrison","doi":"10.2139/SSRN.1344332","DOIUrl":"https://doi.org/10.2139/SSRN.1344332","url":null,"abstract":"\"And death shall have no dominion: Life settlements and the ethics of profiting from mortality\" was published on Monday 7 July 2008. The report is the first major independent study of the ethics of investing in US life settlements (also known as traded life policies or TLPs). It analyses the potential benefits of this secondary market for policyholders wishing to sell and for investors seeking to diversify risk but it also raises concerns over current inconsistencies in the regulation of the market. It concludes that there would appear to be no particular ethical issues associated with investing in this asset class that distinguish it from well-established pensions and life market investments, which are also based on mortality projections, provided that products and processes are fully transparent to all parties, including the original policyholder and the end investor, and provided that the privacy of the policyholder is safeguarded.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86582423","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 21
Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes 非对称收益-波动关系、波动传导与隐含波动指数
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1344413
Ihsan Badshah
{"title":"Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes","authors":"Ihsan Badshah","doi":"10.2139/ssrn.1344413","DOIUrl":"https://doi.org/10.2139/ssrn.1344413","url":null,"abstract":"The purpose of this study is twofold: First, to investigate the asymmetric return-volatility phenomenon with newly adapted robust volatility indexes VIX, VXN, VDAX and VSTOXX. Second, we examine the dynamic implied volatility transmissions across the implied volatility indexes using techniques such as Granger causality, generalized impulse response function and variance decomposition. We find pronounced negative and asymmetric return-volatility relationships between each volatility index and its corresponding stock market index. The VIX volatility index presents the highest asymmetric return-volatility relationship followed by the VSTOXX, VDAX and VXN volatility indexes, respectively. Moreover, there are significant spillover effects across the volatility indexes, bi-directional causality running between the volatility indexes. Further, in innovation accounting investigations, the VIX volatility index influences the other three volatility indexes considerably. However, in the European context, VDAX is the dominant source of information. Our findings have implications for trading strategies, hedging portfolios, pricing and hedging volatility derivatives, and risk management.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80436127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Leasing and Economic Growth - Evidence for Central and South Eastern Europe 租赁与经济增长——以中欧和东南欧为例
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1343887
Elisabeth Kichler, P. Haiss
{"title":"Leasing and Economic Growth - Evidence for Central and South Eastern Europe","authors":"Elisabeth Kichler, P. Haiss","doi":"10.2139/ssrn.1343887","DOIUrl":"https://doi.org/10.2139/ssrn.1343887","url":null,"abstract":"Credit and its vast growth in transition economies attracted a lot of research while less attention was given to the even faster growth of leasing and the aggregate impact of financial market segments. Applying a panel data approach over 1999-2006, we investigate the finance-growth nexus (credit, stock, bond) for ten Eastern European countries with a production function and include leasing. We find that leasing and credit positively contributed to economic growth; we confirm on a broader basis that macroeconomic stability and a sound legal system are important preconditions for a positive impact of the financial sector; we find that leasing and credit are rather complements than substitutes and that taking alternative forms of finance like leasing into consideration is necessary for a full picture of the impact of finance.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79683492","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Leasing, Credit and Economic Growth: Evidence for Central and South Eastern Europe 租赁、信贷和经济增长:中欧和东南欧的证据
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1393162
P. Haiss, Elisabeth Kichler
{"title":"Leasing, Credit and Economic Growth: Evidence for Central and South Eastern Europe","authors":"P. Haiss, Elisabeth Kichler","doi":"10.2139/ssrn.1393162","DOIUrl":"https://doi.org/10.2139/ssrn.1393162","url":null,"abstract":"Credit and its vast growth in transition economies attracted a lot of research while less attention was given to the even faster growth of leasing and the aggregate impact of financial market segments. Applying a panel data approach over 1999-2006, we investigate the finance-growth nexus (credit, stock, bond) for ten Eastern European countries with a production function and include leasing. We find that leasing and credit positively contributed to economic growth; we confirm on a broader basis that macroeconomic stability and a sound legal system are important preconditions for a positive impact of the financial sector; we find that leasing and credit are rather complements than substitutes and that taking alternative forms of finance like leasing into consideration is necessary for a full picture of the impact of finance.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76891878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
The Role of Corporate Governance News: Evidence from Italy 公司治理新闻的作用:来自意大利的证据
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-14 DOI: 10.2139/ssrn.1343631
A. Carretta, Vincenzo Farina, Franco Fiordelisi, D. Martelli, Paola Schwizer
{"title":"The Role of Corporate Governance News: Evidence from Italy","authors":"A. Carretta, Vincenzo Farina, Franco Fiordelisi, D. Martelli, Paola Schwizer","doi":"10.2139/ssrn.1343631","DOIUrl":"https://doi.org/10.2139/ssrn.1343631","url":null,"abstract":"Stock market prices reflect information on firms' business environments, operations and, in general, firms' fundamentals. Recently, various studies analyze the link between news coverage and stock prices showing that mass media has a significant impact on financial markets. This paper analyze the interactions between the mass media and the stock market focusing on corporate governance news release. By using a large sample of corporate governance news released between 2003 and 2007, we examine the link between abnormal stock returns and corporate governance news. We find evidence that stock returns are influenced by the semantic content of corporate governance news, by firm performance and health and by the interaction of these variables.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78652791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Influence of Financial Advisors on Household Portfolios: A Study on Private Investors Switching to Financial Advice 财务顾问对家庭投资组合的影响:私人投资者转向财务顾问的研究
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-14 DOI: 10.2139/ssrn.1343607
Ralf G. Gerhardt, A. Hackethal
{"title":"The Influence of Financial Advisors on Household Portfolios: A Study on Private Investors Switching to Financial Advice","authors":"Ralf G. Gerhardt, A. Hackethal","doi":"10.2139/ssrn.1343607","DOIUrl":"https://doi.org/10.2139/ssrn.1343607","url":null,"abstract":"Investment advisors have significant influence on private investors' financial decisions but empirical studies of their behavior are rare. Based on a large and unique data set of the detailed portfolio compositions and daily transactions of more than 65,000 customers of a large German direct bank, we first compare advised investors with groups of non-advised investors, including matched peers. We find that the effect of investment advice is probably less than assumed. To underline this finding, we conduct an event study comparing 597 investors before and after the decision to take regular investment advice. We find much higher trading activity after the event due to advisors re-structuring clients' portfolios, less risky and speculative trading and rising diversification.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.1343607","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72536749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 53
Are Private Equity Investors Corporate Raiders or Corporate Doctors? The Influence of Geography on the Success of Private Equity Investments in Listed Equity 私募股权投资者是企业掠夺者还是企业医生?地理因素对私募股权投资成功的影响
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-13 DOI: 10.2139/ssrn.1342522
Olaf Stotz
{"title":"Are Private Equity Investors Corporate Raiders or Corporate Doctors? The Influence of Geography on the Success of Private Equity Investments in Listed Equity","authors":"Olaf Stotz","doi":"10.2139/ssrn.1342522","DOIUrl":"https://doi.org/10.2139/ssrn.1342522","url":null,"abstract":"This paper analyses short-term wealth effects and long-term wealth effects of private equity investments in target companies already listed on a stock exchange and examines the importance of geography on stock returns and accounting returns. In general, risk-adjusted short-term and long-term stock returns of target companies are positive. Moreover, target companies realize higher announcement returns and larger improvements in accounting returns when the private equity investor and the target are from the same country. These observations support the hypothesis that private equity investors are corporate doctors (and are also perceived as doctors by the market).","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78399166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do Arbitrage Opportunities Exist in the UK Gilt Market? 英国金边债券市场存在套利机会吗?
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-13 DOI: 10.2139/ssrn.1342429
L. Hodgkinson, Jo Wells
{"title":"Do Arbitrage Opportunities Exist in the UK Gilt Market?","authors":"L. Hodgkinson, Jo Wells","doi":"10.2139/ssrn.1342429","DOIUrl":"https://doi.org/10.2139/ssrn.1342429","url":null,"abstract":"The UK Government introduced a Strip facility for UK Gilts on 8th December 1997. The Strip facility enables investors to exchange a coupon bearing Gilt (conventional) for a series of individual cash flows, each of which can then be traded separately. Investors can also reconstitute the Gilt by exchanging the series of Stripped cash flows for the original conventional Gilt. Arbitrage opportunities exist if the portfolio of Stripped components trades at significantly different values to the corresponding conventional Gilt. If the Stripped components have a lower value than the conventional Gilt, the investor should short sell the conventional and buy the Stripped components which they then reconstitute to close the short position. If the cash flows arising from this are greater than the transaction costs (including the bid-ask spread), an arbitrage profit is made. If the Gilt market is efficient arbitrageurs will limit the divergence in prices. This paper examines for arbitrage opportunities at different maturities and coupon rates and thus questions whether the Gilt market is efficient.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85853317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Efficiency View of Corporate Boards: Evidence from Italian Listed Firms 公司董事会效率观:来自意大利上市公司的证据
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-12 DOI: 10.2139/ssrn.1341612
A. Baglioni, L. Colombo
{"title":"The Efficiency View of Corporate Boards: Evidence from Italian Listed Firms","authors":"A. Baglioni, L. Colombo","doi":"10.2139/ssrn.1341612","DOIUrl":"https://doi.org/10.2139/ssrn.1341612","url":null,"abstract":"We investigate the determinants and characteristics of the board structure of Italian listed companies over the period 2004-2007. Our results are consistent with the view, commonly shared by the governance literature, that corporate boards are designed so as to control agency issues and maximize firm value. The idea that boards in closely held firms — typical of the Italian market — are shaped in order to enable large shareholders to extract private benefits is refuted by the data. In particular, we find that board composition favors independent members in firms where free cash flow (measuring the scope for private benefit extraction) is higher. Conversely, it favors executive members in firms with high ownership concentration, where small shareholders are more protected by the “incentive alignment effect”; the same holds for family firms. Large boards are more likely to be organized in committees, presumably to enhance the efficiency of the decision process. Firms with higher growth opportunities — and high tech firms in particular — rely more heavily on the specific knowledge provided by executive members.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82443821","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
A Simultaneous Equation Model of the Office Cycle for the Parisian Region (French) 巴黎地区办公周期的联立方程模型(法文)
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2009-02-01 DOI: 10.2139/SSRN.1423382
Richard Malle
{"title":"A Simultaneous Equation Model of the Office Cycle for the Parisian Region (French)","authors":"Richard Malle","doi":"10.2139/SSRN.1423382","DOIUrl":"https://doi.org/10.2139/SSRN.1423382","url":null,"abstract":"This paper presents a simultaneous equation model for the office market. We determine supply and demand relationships to link main fundamentals of commercial real estate: net absorption, vacancy rate, real rents and construction. This model is applied to the office market in the Paris region over the 1994-2008 period. Office market cycles are then established according to different employment forecasts from 2009 to 2020. The results show that the employment cycle determines the cycle of office market fundamentals. Interest rates have a limited impact on the decisions of property actors. From 2009 to 2010, empirical results show that real rents may be historically low because of the economic shock in 2008-2009.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78305638","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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