Three essays on exchange traded funds

... international and country funds, and bond funds, I contribute to the literature by demonstrating momentum/contrarianism in a changing asset allocation setting which includes U.S stocks, U.S bonds, ... & Lakonishok (1996), Hong & Stein (1999)), expectation extrapolation, conservatism in expectation updating (Barberis, Shleifer, Vishny (1998)), biased self attribution or investor overconfiden...

Ngày tải lên: 30/09/2015, 17:06

... focuses on the trading activity o f bond ETFs on the secondary market (trading on exchanges), ETFs can also trade on the primary market through the creation/redemption process Trades on the primary ... The Bond ETF Market 28 I Introduction 29 II Bond ETFs and Data 31 III Results 34 IV Conclusions 41 Essay Three: D oes Exemption from the Uptick Rule Effectively Alleviate 43 Short-Sa...

Ngày tải lên: 30/09/2015, 17:06

... liquidity; Incentives for securities lending Risk implications for authorities, ETF investors and providers i Potential financial stability issues arising from recent trends in Exchange-Traded ... Contents Introduction 1 ETFs: a fast-growing market, underpinned by strong innovation Potential financial stability risks in some corners of the ETF market Increase in...

Ngày tải lên: 06/03/2014, 19:20

Ngày tải lên: 23/03/2014, 05:23

... source is stated ISSN 1020-0959 (print) ISBN 1682-7678 (online) Market structures and systemic risks of exchange-traded funds Srichander Ramaswamy † Abstract Crisis experience has shown that as ... to a build-up of systemic risks in the financial system This article examines the operational frameworks of exchange-traded funds and identifies potential channels thr...

Ngày tải lên: 23/03/2014, 12:21

Ngày tải lên: 30/03/2014, 01:20

... equation da = din cin + din d in r a db = din d in r b in k + din The rational expectations equilibrium is E-stable if and only if din Proposition Suppose that (0; 1), = and in r < > Then din in ... kt+1 = cin + in r a + in k in r b + (2.5) kt : Combining (2.5) with (2.3) gives the actual law of motion for interest rates: rt+1 = din (cin + in r a) in k + din + in r b kt...

Ngày tải lên: 03/06/2014, 02:19

... technology and cost structure in commercial banking industries in both industrialized economy (US) and transitional economy (China) In addition, internal and external factors that affect bank performance, ... (1983) on investment banking industry, Curry and Rose (1997) on thrift institutions, and Amel and Rhoades (1988, 1992) on commercial banking industry However, ther...

Ngày tải lên: 03/06/2014, 02:19

... 95 98 101 102 Chapter Introduction to the Three Essays on Bank’s Relative Efficiency 1.1 Introduction This dissertation presents three essays on banks’ relative efficiency We calculate two different ... author iv Table of Contents ABSTRACT ACKNOWLEDGEMENTS Chapter 1: Introduction to the Three Essays on Bank’s Relative Efficiency 1.1 Introduction Chapter :Review o...

Ngày tải lên: 03/06/2014, 02:19

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Ngày tải lên: 03/06/2014, 02:20

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Ngày tải lên: 03/06/2014, 02:20

... INTRODUCTION Proxies and estimation issues in environmental economics Proxies and estimation issues in international trade Environmental economics and international trade ... gravity estimates Environmental economics and international trade The third chapter, called Trade Flow Consequences of the European Union’s Regionalization of Environmental Regulations,...

Ngày tải lên: 03/06/2014, 02:20

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Ngày tải lên: 03/06/2014, 02:21

... graduated with a M.Sc in Economics in August 2004 iv DISSERTATION ABSTRACT THREE ESSAYS ON REAL ESTATE, ENVIRONMENTAL, AND URBAN ECONOMICS USING THE HEDONIC PRICE MODEL TECHNIQUE Andres Jauregui Doctor ... Stephen L McFarland Acting Dean Graduate School THREE ESSAYS ON REAL ESTATE, ENVIRONMENTAL, AND URBAN ECONOMICS USING THE HEDONIC PR...

Ngày tải lên: 03/06/2014, 02:21