Search results

Conventional study on the trading pattern of investors is either done in the viewpoint of the identity of investors or analyzed on the base of investor's type, which is categorized according to the number of transactions using only restricted security company data. Dataset in this paper is extended to all ELW series and investor's type such as the LP (Liquidity Provider). High-frequency traders are categorized on the base of average number of transactions per day and average trading volume per day. We analyze their trading pattern and relationship between P/L (profit and loss) and their trading pattern. Also We develop a new measurement tool, called the holding period, to comprehend the characteristic of high frequency trading and analyze the effect of holding period on P/L of investors.

Our empirical investigation shows that, for general investors, 1) their counterparties are LP during the execution of buy low and sell high trading strategy, 2) they lose in the cumulative P/L for the intermediate transaction although their average sell price is more expensive than average buy price, 3) due to the lack of risk management technique such as stop loss, they lose in the cumulative intermediate transaction P/L although their winning ratio is higher than losing ratio. On the other hand, 1) scalpers are mainly engaged in trading index ELW market, 2) due to the appropriate execution of stop loss, they win in the cumulative P/L for the intermediate transaction although their draw ratio and trading unit price are high. Meanwhile, due to the LP's passive characteristic for the buying execution after selling, their draw ratio is very low and their buy unit price is higher than sell unit price in comparison to other investor type, and their trading pattern is negatively related to that of the other investor type. Finally we confirm that the holding period is a significant impact on P/L of general investors and scalper.

As a policy proposal, it is necessary to introduce a market maker system in the individual stock options market for activating the stock options market, which has a more competitive market structure than ELW market. In the viewpoint of financial consumer protection, education on the time value reduction of contingent claim derivatives with finite maturity is necessary.

We examine the effects of new regulations introduced by Korean government to cool down overheated Korean ELW markets. We also investigate whether ELWs are fairly priced as noted in the previous research. The empirical findings are as follows. Firstly, ELW was more expensive than KOSPI200 option not only before but also after the introduction of the new regulations. But degrees of the overpricedness are decreased significantly with the new regulations. Secondly, we confirm the well known facts in the literature that liquidity providers get extra profits as monopolistic providers for ELWs. Thirdly, we analyze the determinants of the differences in premiums between ELW and KOSPI200 option. The trading volume is negatively correlated with premium difference, however, timeto-maturity and market share are not statistically significant. Even though it seems that the financial regulator achieve their primary purpose to control the overheated market, we find that the new regulations have almost no effects on the overpricing problem, which implies that overpricing in ELW is not related to the market inefficiency.

We examine the influence of ownership structure on a blockholder’s power in a firm. We first describe the presence and ownership stakes of blockholders in a comprehensive sample of US firms. We develop a measure of the influence of the ownership structure on a blockholder’s power and show that an average blockholder loses 12% of her potential power due to the presence and size of the ownership stakes of other blockholders. Further, the influence of ownership structure varies systematically with a blockholder’s rank and identity, with the second and nonfamily manager blockholders experiencing the largest loss of power.

Decentralized finance is a technological infrastructure built on a blockchain networking environment that supplies transparent, uncensorable, and decentralized financial services and products. This infrastructure offers the opportunity to replicate traditional financial instruments on a decentralized platform and incorporate added features provided by blockchain technology. It also allows the creation of new instruments native to blockchain technology unavailable through traditional financial institutions. This chapter presents an in-depth analysis of the inner workings of stablecoins, decentralized exchanges, automated market makers, liquidity pools, decentralized lending, synthetic instruments, and asset management. It also provides specific examples for each application and presents some current challenges the sector faces.

The use of risk proxies in internal models remains a popular modelling solution. However, there is some risk that a proxy may not constitute an adequate representation of the underlying asset in terms of capturing tail risk. Therefore, using empirical examples for the financial collateral haircut model, this paper aims to critically review available statistical tools for measuring the adequacy of capturing tail risk by proxies used in the internal risk models of banks. In doing so, this paper advises on the most appropriate solutions for validating risk proxies.

This paper reviews statistical tools used to validate if the equity index/fund benchmark are proxies that adequately represent tail risk in the returns on an individual asset (equity/fund). The following statistical tools for comparing return distributions of the proxies and the portfolio items are discussed: the two-sample Kolmogorov–Smirnov test, the spillover test and the Harrell’s C test.

Upon the empirical review of the available statistical tools, this paper suggests using the two-sample Kolmogorov–Smirnov test to validate the adequacy of capturing tail risk by the assigned proxy and the Harrell’s C test to capture the discriminatory power of the proxy-based collateral haircuts models. This paper also suggests a tool that compares the reactions of risk proxies to tail events to verify possible underestimation of risk in times of significant stress.

The current regulations require banks to prove that the modelled proxies are representative of the real price observations without underestimation of tail risk and asset price volatility. This paper shows how to validate proxy-based financial collateral haircuts models.

Grocery store chain Winn-Dixie had rapidly expanded in an effort to become a national retailer, and by 1999 it had more than 1,000 stores. The company began manufacturing its own products, reasoning that by owning more of the supply chain, it could offer the customer less expensive options. With its new geographic focus and manufacturing facilities, Winn-Dixie attempted to secure a position as a low-cost provider with a national presence. Instead of improving the company's position in the market, however, this strategy crippled both the short- and long-term prospects for Winn-Dixie. The company paid a high premium to expand and increased its leverage without ever realizing the purposed synergies. In fact, there were dis-economies of scale because the distribution, marketing, and administrative costs had risen along with the increased revenue. The expansion and inefficient manufacturing added complexity to its distribution network, and with a greater debt load and less cash, the company was unable to reposition itself in the market when its low-cost provider strategy failed. Not only was the company unable to pursue other opportunities but it also did not have the cash to properly maintain many of its existing stores, which quickly became run down. Winn-Dixie was stuck as a general grocer with few options at a time when the industry was rapidly evolving. Following faulty strategies of expansion, supply chain changes, and increased debt, Winn-Dixie declared bankruptcy. Students will take the view that Paul “Flip” Huffard, lead consultant from Blackstone LP, had in determining the valuation and new capital structure of the company. These decisions would be critical, as they affected what each creditor class would receive and whether Winn-Dixie could emerge from bankruptcy.

Students will: 1. Assess the importance and negative financial impact of past strategic moves, and suggest possible future strategic directions and the expected benefits of such changes. 2. Learn quantitative valuation methods for a company in Chapter 11 and their effects on stakeholders. 3. Learn the elements of a plan of reorganization, including the capital structure, treatment of multiple creditor groups, and management compensation. 4. Discuss sources and uses of capital during a Chapter 11 turnaround.

This study proposes an analysis of the performance of companies that have assumed the responsibility of facilitating the digitalization of economic activities. Because of their potential to accelerate digitization, these companies have been financially supported. The monitoring of the performances recorded by these companies, including the evaluation of the impact of different determining factors, meets both the needs of the financiers (concerned with the evaluation of the efficiency of the use of nonreimbursable financing) and the needs of continuous improvement of the activities of the companies in the field.

The study assesses performance dynamics and the impact of its determinants. The model allows achieving a simplified vision of performance and its determinants, supporting decision-makers in the management process. The construction of an estimation model based on the multiple regression method was considered. Robustness tests were performed on the results, using parametric and nonparametric tests.

The results of the analysis at the level of the extended sample indicated that, during the analyzed period, the economic and commercial performances decreased, and significant influences in this respect include the financing structure, sales dynamics and volume of receivables. The analysis at the level of the restricted sample confirmed these interdependencies and provided additional evidence of the impact of other determinants.

The study contributes both to performance research and to the assessment of the prospects for accelerating digitalization in support of economic activities. Since the empirical research was carried out on a sample of Romanian companies that provide services in information technology, which accessed nonreimbursable financing, the representativeness of the results is limited to this sector. For the analyzed sample, the study provides support for improving performance.

The results of the study prove to be useful from a microeconomic and macroeconomic perspective as well, as they provide evidence on the performance of companies that have implemented information and communication technology (ICT) projects and on the efficiency of the use of non-reimbursable funding dedicated to business support.

The study fills the literature gap regarding the performance of companies that have developed ICT projects and received grant funding for the implementation of these projects. The literature review indicated that there are few studies conducted on these companies, which did not include Romanian companies.

To explain the benefits and the regulations pertaining to Jersey as a domicile for investment funds.

Provides an overview of Jersey as an international financial center followed by a detailed description of Jersey regulations applying to private funds, expert funds, listed funds, regulated investor funds, retail and other collective investment funds (CIFs), and notification-only funds. Explains fund vehicles including unit trusts, limited partnerships, and companies. Discusses taxes and fund service providers.

Jersey is one of the world’s major international finance centers, offering location and time-zone benefits; stability and reliability; tax neutrality; a stable political, fiscal and regulatory infrastructure; and highly-skilled financial-service providers.

Expert guidance from experienced investment-funds lawyers

This study presents the impact of Economic Policy Uncertainty (EPU)-induced Trade Supply Chain Vulnerability (TSCV) on the Small and Medium-Sized Enterprises (SMEs) in India by leveraging the World Bank Enterprise Survey data for 2014 and 2022. Applying econometric techniques, it examines firm size’ influence on productivity and trade participation, providing insights for enhancing SME resilience and trade participation amid uncertainty.

The econometric techniques focus on export participation, along with variables such as total exports, firm size, productivity, and capital intensity. It addresses crucial factors such as the direct import of intermediate goods and foreign ownership. Utilizing the Cobb-Douglas production function, the study estimates Total Factor Productivity, mitigating endogeneity and multicollinearity through a two-stage process. Besides, the study uses a case study of North Indian SMEs engaged in manufacturing activities and their adoption of mitigation strategies to combat unprecedented EPU.

Results reveal that EPU-induced TSCV reduces exports, impacting employment and firm size. Increased productivity, driven by technological adoption, correlates with improved export performance. The study highlights the negative impact of TSCV on trade participation, particularly for smaller Indian firms. Moreover, SMEs implement cost-based, supplier-based, and inventory-based strategies more than technology-based and risk-based strategies.

Policy recommendations include promoting increased imports and inward foreign direct investment to enhance small firms’ trade integration during economic uncertainty. Tailored support for smaller firms, considering their limited capacity, is crucial. Encouraging small firms to engage in international trade and adopting diverse SC mitigation strategies associated with policy uncertainty are vital considerations.

This study explores the impact of EPU-induced TSCV on Indian SMEs’ trade dynamics, offering nuanced insights for policymakers to enhance SME resilience amid uncertainty. The econometric analysis unveils patterns in export behavior, productivity, and factors influencing trade participation during economic uncertainty.

Corporate accountability and quality of corporate disclosure have impacted on many companies and banks, particularly those grown through mergers and acquisitions (M&A) and companies have had to restate their financial statements. The growth of service and technology companies (particularly by M&A) presents numerous public policy, legal, regulatory and accounting issues. Some of these companies have substantial intangible assets and the accounting for M&A and investments can be manipulated to affect reported assets and earnings. The exchange of securities and conflicts of interest in such transactions can affect financial statements – all of these factors can distort strategic planning, legal analysis, performance analysis and credit analysis. Fraudulent conveyance has typically not been considered in detail in many real life transactions (processed by law firms, the SEC, accounting firms and banks), even though it is the major means of unfair and illegal wealth transfer and fraud in corporate transactions. This paper highlights some of these issues, and illustrates the role and benefits of proper legal analysis in corporate transactions, and the convergence of corporate financial analysis and legal analysis and tax/accounting analysis.