Encyclopedia of Finance Part 23 pdf

... path of X, the jump times of Z are the jump times of a Poisson process with time varying intensity {l(X s ): 0  s  t}, and that the size of the jump of Z at a jump time T is independent of {X s : ... of foreign exchanges: tests of candidate processes.’’ Review of Economics and Statistics, 70: 638–647. Vasicek, O. (1977). ‘‘An equilibrium characterization of the term stru...

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... regard to the time of receipt or payment of cash. Financial accounting enables a manager to measure the financial performance of a firm by 398 ENCYCLOPEDIA OF FINANCE A total review of a cash management ... return of asset i, the payoff equals 1. Where the payoff of asset i is an excess return, the price equals 0. Equation (12.1) states that the expected value of the risk-...

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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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... (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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... 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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... portfolio.’’ Journal of Financial Economics, 14: 217 236 . Gordon, M. (1962). The investment, financing and valu- ation of the firm. Homewood, IL: Irwin. 382 ENCYCLOPEDIA OF FINANCE condition of the maximization. ... Jour- nal of Business, 57: 73–96. Jensen, M. (1968). ‘‘The performance of mutual funds in the period 1945-1964.’’ Journal of Finance, 23: 389-346. Jensen, M....

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... immunization.’’ Jour- nal of Banking and Finance, 12(3): 493–504. Redington, F.M. (1952). ‘‘Review of the principle of Life-Office Valuations.’’ Journal of the Institute of Actuaries, 78: 286–340. Samuelson, ... around 80 percent of the variance in holding period returns. A number of studies examine the effectiveness of immunization over sample sets of government 420 ENCYC...

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... decimalization,’’ prepared by NYSE Research Department. 442 ENCYCLOPEDIA OF FINANCE The development in the Chinese markets may affect the risk and return of A- and B-share classes. He and Wu (2003) ... 43742.14 1951.5 181.03 1914 2001=11 1153 45431.59 2092.26 200.31 237 4 436 ENCYCLOPEDIA OF FINANCE than higher systematic risk) of B-share stocks. The trading risk associated w...

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