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Encyclopedia of Finance Part 5

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This security can be viewed as one of the safest financial assets due to its minimal exposure to default risk and uncertain inflation.. 1 Some of the countries had extremely high inflation, such as Mexico and Brazil (114.8 percent and 69.2 percent in the year prior to the introduction of inflation- indexed securities), and others had moderate infla- tion like...

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Encyclopedia of Finance Part 6

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Most asset pricing models are special cases of the fundamental equation:. (9:1) where P t is the price of the asset at time t, and D tþ1 is the amount of any dividends, interest or other payments received at time t þ 1. By recursive substitution in Equa- tion (9.1), the future price may be eliminated to express the current...

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Encyclopedia of Finance Part 7

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One of the everyday jobs of the treasurer is to man- age the cash, and flow of funds through the organ- ization. In this spirit, this paper looks at taking care of the daily amounts of cash flowing through the firm in a systematic fashion. The pur- pose is to understand the importance of the inter- relationships involved and to...

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Encyclopedia of Finance Part 8

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hedging interest rate risk. Thus, duration represents a measure of the time dimension of a bond or other fixed-income security.. The formula calculates a weighted average of the time horizons at which the cash flows from a fixed-income security are received. Each time horizon’s weight is the percentage of the total present value of the bond (bond price) paid at...

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Encyclopedia of Finance Part 9

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A and B shares exist in the Chinese stock markets.. It is found that B-share mar- ket has persistent higher bid-ask spreads than the A-share market and traders in the B-share market bear higher informed trading and other transaction costs. In addition, the higher volatility of B-share returns can be attributed to the higher market mak- ing costs in the...

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Encyclopedia of Finance Part 10

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In addition, in the post-reform period, the spread difference between NASDAQ and the NYSE becomes insignificant with the effect of informed trading costs controlled.. Its primary role was to regulate the conduct of the over-the-counter (OTC) segment of the securities industry. In the middle of 1960s, the NASD developed an elec- tronic quote dissemination system, and in 1971, the system...

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Encyclopedia of Finance Part 11

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The related concept of Capital Asset Pricing Model asserting that the expected return of an asset must be linearly related to the covariance of its return with the return of the market portfolio if the market is efficient and its statistical tests in terms of Arbitraging Price Theory are also surveyed. Keywords: mean–variance efficiency. tion to the impact that it...

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Encyclopedia of Finance Part 12

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Not- withstanding these empirical findings, an analytical study of the relationship among these measures is missing in the literature. In the case of an augmented CAPM, a majority of these performance measures, contrary to the con- ventional wisdom, can be rather different regardless of the portfolio sizes!. where y i ¼ p p p f , which is the estimated...

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Encyclopedia of Finance Part 13

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Market risk is often defined as the losses that arise from the mark to market of the trading securities.. Market risk is referred to as the potential loss of the portfolio due to market movements.. While this is the basic idea of the market risk, the measure of the ‘‘value’’ is a subject of concern.. The annualized vola- tility of...

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Encyclopedia of Finance Part 14

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In this article, the history and the success of Real Estate Investment Trusts (REITs) and Mortgage- Backed Securities (MBS) in the U.S. Therefore, REITs and MBS enhance the width and the depth of the financial market.. The revolution in the American real estate market was enhanced by securitization. MBS also release the burden of the bank from holding long-term mortgage...

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Encyclopedia of Finance Part 15

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Because of the different economic outcomes, distinguishing between these may be useful.. What is important is the different degrees of nego- tiating power of the acquirer and acquiree in a merger. Negotiating power is usually linked to the size or wealth of the business. On the other hand, in Hampton’s (1989) def- inition, one of the two parties is dominant.....

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Encyclopedia of Finance Part 16

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MARKET EFFICIENCY HYPOTHESIS. Market efficiency is one of the most fundamental research topics in both economics and finance. In this chapter, we review elements, which are at the heart of market efficiency literature: the statistical efficiency market models, joint hypothesis testing problem, and three categor- ies of testing literature.. Keywords: market efficiency. The simplest but economically reasonable state- ment of...

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Encyclopedia of Finance Part 17

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The classical impli- cations of the absence of arbitrage are derived in economies with no market frictions. Examples of the latter include restrictions on short sales, different types of impediments to borrowing, and transactions costs. This selected review of the literature on arbitrage and market frictions adopts a framework with dis- crete states. It illustrates and discusses a sample of...

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Encyclopedia of Finance Part 18

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At the beginning of 1994, this did not affect the value of the peso, for Mexico was operating with a target zone exchange rate and its central bank stood ready to accept pesos and pay out dollars at the fixed rate. When Mexico ran out of dollars at the end of 1994, the Mexican government announced a devalu- ation of...

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Encyclopedia of Finance Part 19

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CALL AUCTION TRADING 1. A call auction is an order driven facility which, in contrast with continuous trading, batches multiple orders together for simultaneous execution in a multilateral trade, at a single price, at a predeter- mined point in time, by a predetermined matching algorithm. The chapter describes how orders are handled and clearing prices set in call auction trad-...

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Encyclopedia of Finance Part 20

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MARKET MAKERS 1. The primary focus of this entry is on market maker services, revenues, and costs. A market maker’s basic function is to service the public’s demand to trade with immediacy by continuously standing ready to buy shares from customers who wish to sell, and to sell shares to customers who wish to buy. Additionally, the market maker helps...

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Encyclopedia of Finance Part 21

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Much of the post-Enron reforms have been directed towards regulating the roles and responsi- bilities of executive directors and auditors. Independent directors may now have to focus on the management of risks, the design and functioning of an effective corporate governance infrastructure, and the moderation of the power bases of dominant executives. At about the same time, deregulation of the...

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Encyclopedia of Finance Part 22

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One major factor that led to the 1997 Southeast Asian financial crisis was the reliance of the afflicted nations on heavy borrowing from western banks. Addressing the issue of ratings is one of the real challenges that must be overcome before the Asian region could have a viable bond market.. 2 One of the reasons that enticed Asian firms to...

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Encyclopedia of Finance Part 23

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JUMP DIFFUSION MODEL. jump diffusion process. affine jump diffusion model. where o(dt) tends to 0 when t tends to 0, and l t , called the intensity, is a function of the information available at time t. Furthermore, since the term dJ t is part of the unpredictable innovation terms we make E[DJ t ] ¼ 0, which has zero...

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Encyclopedia of Finance Part 24

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A strategy that buys past winners and simultaneously sells past losers based on stock performance in the past 3 to 12 months is profitable in the U.S. Jegadeesh and Titman (1993) were the first to comprehensively test the profitability of the momentum trading strategy based on the past 3-to 12-month performance. They document that momentum strategies implemented in the U.S.....

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