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Grima bezzina (eds ) contemporary issues in bank financial management (2016)

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  • Front Cover

  • Contemporary Issues in Bank Financial Management

  • Copyright page

  • Contents

  • List of Contributors

  • Contemporary Studies in Economic and Financial Analysis special edition - Volume 97 Contemporary Issues in Bank Financial M...

    • References

  • Active versus Passive Investing: An Empirical Study on The US and European Mutual Funds and ETFs

    • Introduction

    • Aim of the Study

    • Literature Review

      • Theoretical Background

      • CAPM and Risk-Adjusted Models

        • Single-Factor Regression Model

        • Multi-Factor Regression Models

      • Evidence on Active and Passive Management

      • Evidence on Index Mutual Funds and Passive ETFs

    • Methodology and Data

      • Sample Description

      • Asset Pricing Models, Benchmarks and Proxies

      • Regression Models

      • OLS and CLRM Assumptions

      • Dataset and Residual Diagnostics Results

    • Results and Analysis

      • Orthodox Asset Pricing Models Results

      • Portfolios’ Characteristics Analysis

      • Hybrid Equity Mutual Funds

      • Active Management Costs as a Subsidy for Market Efficiency

    • Conclusion

    • Limitations and Recommendations for Future Research

    • Notes

    • References

  • FX Hedging Using Forwards and ‘Premium-Free’ Options

    • Introduction

    • Literature Review

      • Exotic (Barrier) Options

      • Knock-Ins and Knock-Outs

      • Structured Barrier Options – The Forward Extra

      • Constructing a Forward Extra

      • Understanding How the ‘Zero-Premium’ Is Achieved

    • Window Forward Extra and At-Expiry Forward Extra

      • The Possible Outcomes of a Forward Extra

      • The Pay-off Diagram of a Forward Extra

      • Hedging

      • Long-Term and Short-Term Hedging

    • Aim and Methodology

      • Data Used

      • Creating Portfolios

      • Portfolio Coding Sample

      • VIX Chart Analysis

      • Plotting Histograms

    • Findings

      • Analysing the Portfolios’ Risk

      • Testing the Statistical Significance of Portfolios’ Outcomes

      • EURUSD Portfolio and the VIX Level

      • Portfolios Histograms and Distribution Curves

      • Interpretation of Histograms

      • Kurtosis Analysis

      • Summary of Findings

    • Recommendations and Conclusions

      • Recommendations for Professionals

      • Introducing Additional Strategies

      • Portfolios Risk

      • Segregating Portfolios

      • Histograms

      • Recommendations for Clients

    • Conclusion

    • References

    • APPENDIX A

    • APPENDIX B

    • APPENDIX C

  • Director Trading in Malta: An Analysis of Returns

    • Introduction

      • Aim of Study

    • Legislative Framework and Notification of Transactions by Directors in Malta

    • Literature Review

      • Impact of Purchases and Sales to Outsiders

      • Impact of Volume of Trades

    • Research Questions and Hypotheses

    • Method

    • Sample Selection Method and Data Adjustments

    • Results and Discussion

    • Conclusion

      • Limitations and Recommendations for Future Research

    • References

  • Equity Mutual Fund Performance Evaluation: An Emerging Market Perspective

    • Introduction

    • Aim of the Research

    • Literature Review

      • From ‘Unity Creates Strength’ to the World’s Most Popular Investment Vehicle

      • Why Emerging Economies?

      • Portfolio Performance Measures

      • Mutual Fund Performance

      • Determinants of Mutual Fund Performance

    • Methodology and Data

      • Sample Description

      • Asset Pricing Models, Benchmarks and Proxies

      • Model Design in the Regression Analysis

      • The CLRM Assumptions

    • Results and Analysis

      • Asset Pricing Model Results for Mutual Funds with an Emerging Market Exposure

      • Fund Managers’ Investment Style Analysis

      • Influence of Mutual Fund Characteristics on Risk-Adjusted Performance

        • Size

        • Total Expense Ratio

        • Fund Longevity

        • Risk

    • Conclusion

    • Limitations and Recommendations for Future Research

    • References

  • Recent Annual Report Weaknesses by a Supreme Audit Institution: An Analysis

    • Introduction

    • Literature Review

      • Corporate Governance

      • The Functions of Public Sector Auditing

      • The Annual Report

      • The Preparation Process of the Annual Report

    • Research Methodology

      • Classification of Reported Weaknesses in the Annual Reports

      • Unstructured Interviews

    • Research Findings

      • Inadequate Record-Keeping

      • Non-compliance with Policies and Procedures

      • Lack of Authorisations

      • Inadequate Safeguarding of Assets

      • Lack of Reconciliations

      • Inadequate Segregation of Duties

    • Discussion

      • The Issues and Their Significance: Beyond the Figures

      • The Bigger Picture: Reflections on the Government System

      • Communication and Its Adequacy

    • Conclusion

    • References

  • Analysis of Risk Parity Approach for Sovereign Fixed-Income Portfolios in Eurozone Countries

    • Introduction

    • Bond Portfolios Creation throughout the Years

      • Equity Research

      • Fixed-Income Research

    • Risk-Parity Concept

    • Research Question and Hypothesis

      • Moody’s as the Unique Sole Provider of Credit Rating

      • CDS as a Measure of Country Risk

    • Methodology – The Creation of Bond Portfolios in This Study

    • Debt-Risk Parity

    • GDP-Risk Parity

    • Rating-Risk Parity

    • Fundamental-Risk Parity

      • Fundamental-Ranking Risk Parity

      • Fundamental-Weighting Risk Parity

    • Risk Contributions

      • The Karush–Kuhn–Tucker (KKT)

      • Trading or Turnover Costs

    • Limitations and Assumptions of the Methods

    • Results and Analysis

      • CDS for Eurozone Countries

      • Risk Contribution Weights versus Actual Allocation

    • Performance Analysis

      • Yearly Performance

      • Sub-periods Performance

      • Tests of Significance

    • Conclusion

    • References

    • APPENDIX A: DEFINITIONS AND ABBREVIATIONS

    • APPENDIX B: MOODY’S RATING METHODOLOGY

    • APPENDIX C: RISK CONTRIBUTIONS VERSUS ACTUAL WEIGHTINGS

    • APPENDIX D: RISK METRICS

  • The Evolution of the Retail Payment Market – A Focus on Malta

    • Introduction

    • Aim of Study

    • Literature Review

      • Developments in the Current Legislative and Regulatory Regime

        • EU Directives and Regulations Binding Retail Payments

        • The Current Impact and Challenges Faced by Stakeholders

      • Developments in Retail Payment Methods

        • The Approach towards Unregulated Virtual/Crypto Currencies

        • Cost-Efficient, Innovative and Secure Retail Payments

      • Looking Ahead into the Future

    • Method

      • Measures

      • Participants and Criteria for Selection

      • The Thematic Approach

      • Sample Size and Selection

    • Results and Discussion

      • Legislation and Regulation Pertaining to Retail Payments

      • Approach to Retail Payments in Malta

      • Cost-Efficient, Regulated Innovative and Secure Retail Payments

      • Target Customers and Customer Awareness

      • Benefits for Malta’s Economy

      • Recommendations for Amendments to Current and Prospective Laws and Regulations

      • Ability to Promote Cost-efficient, Innovative and Secure Retail Payments

      • Envisaged Developments in the Retail Payment Market over the Next 5–10 Years

      • Implications of the Research

      • Recommendations for Future Research

    • Concluding Note

    • References

  • About the Authors

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