Encyclopedia of Finance Part 16 potx

... of investment portfolios.’’ Journal of Business, 42: 167 –247. Kendall, M.G. (1953). ‘‘The analysis of economic time- series, Part I: Prices.’’ J ournal of the Royal Statistical Society, 96 (Part ... Press’’ Journal of International Eco- nomics, 61: 467–471. 594 ENCYCLOPEDIA OF FINANCE Chapter 30 THE MICROSTRUCTURE= MICRO -FINANCE APPROACH TO EXCHANGE RATES MELODY LO, Uni...

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... (1989). ‘‘The impact of data errors on meas- urement of the foreign exchange risk premium.’’ Jour- nal of International Money and Finance, 8: 147–157. 356 ENCYCLOPEDIA OF FINANCE asset on each ... swap CREDIT DERIVATIVES 341 Counterparty A 100 Counterparty B Counterparty A Counterparty B Reference asset worth P Dirty C LIBOR + S C Counterparty A Counterparty B 100 100 Maturity Pa...

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... elimination of cumu- lative voting in the election of directors. The proposed changes do not result from any present knowledge on the part of the Board of Directors of any proposed tender offer or ... invention. Millions of individ- uals voluntarily entrust billions of dollars, francs, pesos, etc., of personal wealth to the care of managers on the basis of a complex set...

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... problem of handling big block orders. A lot of interaction with the market is needed to trade large orders. That is where some see the advantage of continuous trading. It offers a special kind of ... clear- 624 ENCYCLOPEDIA OF FINANCE of 49 there are only two sell orders. For this rea- son, the clearing price in a call auction is typically identified as the value that maximize...

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... together in call auction 640 ENCYCLOPEDIA OF FINANCE Chapter 38 STRUCTURE OF SECURITIES MARKETS 1 ROBERT A. SCHWARTZ, City University of New York, USA LIN PENG, City University of New York, USA Abstract The ... (1996).‘‘Limit order trading.’’ Journal of Finance, 51: 1835–1861. Ho, T. and Stoll, H. (1983). ‘‘The dynamics of dealer markets under competition.’’ Journal of Fin...

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... and professionals, in an attempt to meet the demand for a key source of fundamental finance terminology and concepts. This Encyclopedia of Finance contains five parts. Part I includes finance terminology ... Distinguished Professor of Finance at Rutgers Busi- ness School, Rutgers University and was chairperson of the Department of Finance from 1988–1995. He has also se...

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... company subsidiaries. Furthermore, there is a limitation of the total assets of all financial subsidiaries of 45 percent of the total assets of the bank or $50 billion. 2.3. Functional Regulation ... http:==econ.worldbank.org=programs =finance= topic=depinsurance= 304 ENCYCLOPEDIA OF FINANCE The law, as passed, requires regulators to estab- lish standards to ensure the privacy...

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... Maturity ¼ n years. Empty cell represents the improbable case of r pf < r z . 318 ENCYCLOPEDIA OF FINANCE Journal of international Money and Finance, 9: 182–192. De Santis G. and Gerard, B. (1997). ... theory of capital asset pricing.’’ Journal of Economic Theory, 13: 341–360. Sharpe, W. (1964). ‘‘Capital asset prices: a theory of market equilibrium under conditions of r...

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... the Arbitrage Pricing Theory.’’ Journal of Finance, 43(3): 721–733. 372 ENCYCLOPEDIA OF FINANCE Chapter 7 TREASURY INFLATION-INDEXED SECURITIES QUENTIN C. CHU, The University of Memphis, USA DEBORAH N. PITTMAN, ... Cri- tique.’’ Journal of Financial Economics, 18: 91–110. Sharpe, W. F. (1964). ‘‘Capital asset prices: a theory of market equilibrium under conditions of risk.’’...

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... Jour- nal of Finance, 58: 1393–1414. Foster, D., Smith, T., and Whaley, R. (1997). ‘‘Asse ss- ing goodness -of- fit of asset pricing models: the dis- tribution of the maximal R-squared.’’ Journal of Finance, ... a predictor of market returns.’’ Journal of Financial Economics, 49: 141 160 . Roll, R. (1977). ‘‘A critique of the asset pricing theory’s tests -part 1: On past and...

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