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All Outputs (20)

Investor heterogeneity, market segmentation, leverage and the equity premium puzzle. (2001)
Journal Article
Ebrahim, M., & Mathur, I. (2001). Investor heterogeneity, market segmentation, leverage and the equity premium puzzle. Journal of Banking and Finance, 25(10), 1897-1919. https://doi.org/10.1016/s0378-4266%2800%2900164-3

Financial economists for the past two decades have attempted to explain why the equity premium is so high, now known as the equity premium puzzle (EPP). We model investor heterogeneity, market segmentation and optimal leverage, using the time separab... Read More about Investor heterogeneity, market segmentation, leverage and the equity premium puzzle..

Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase (2001)
Journal Article
Blake, D., Cairns, A. J., & Dowd, K. (2001). Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase. Insurance: Mathematics and Economics, 29(2), 187-215. https://doi.org/10.1016/s0167-6687%2801%2900082-8

We estimate values-at-risk (VaR) in the accumulation phase of defined-contribution pension plans. We examine a range of asset-return models (including stationary moments, regime-switching and fundamentals models) and a range of asset-allocation strat... Read More about Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase.

Choosing an exchange rate regime during economic transition: the case of China (2001)
Journal Article
Zhang, Z. (2001). Choosing an exchange rate regime during economic transition: the case of China. China Economic Review, 12(2-3), 203-226. https://doi.org/10.1016/s1043-951x%2801%2900051-7

The choice of an appropriate exchange rate regime during economic transition is investigated through the case of China's 1994 reform programme. Within a game-theoretic framework, the paper compares welfare under alternative policy regimes. While not... Read More about Choosing an exchange rate regime during economic transition: the case of China.

The Pricing of Debt and Pareto-Optimal Financing under Endogenous Bankruptcy (2001)
Journal Article
Ebrahim, M., & Mathur, I. (2001). The Pricing of Debt and Pareto-Optimal Financing under Endogenous Bankruptcy. International Journal of Theoretical and Applied Finance, 4(3), 491-509. https://doi.org/10.1142/s0219024901001085

Using an agency theoretical framework, this paper extends the optimal capital structure literature by modeling the rivalry between equity and debt to arrive at some very fundamental results involving endogeneity of bankruptcy, equilibrium interest ra... Read More about The Pricing of Debt and Pareto-Optimal Financing under Endogenous Bankruptcy.

Sharpe Thinking (2001)
Report
Dowd, K. (2001). Sharpe Thinking. ‘Risk’ Risk Management for Investors Special Report

Islamic Banking in Brunei Darussalam (2001)
Journal Article
Ebrahim, M., & Kai Joo, T. (2001). Islamic Banking in Brunei Darussalam. International Journal of Social Economics, 28(4), 314-337. https://doi.org/10.1108/03068290110357708

This paper studies the current realities of the Islamic banking system of Brunei Darussalam from the perspective of the theories of modern financial intermediation and Islamic financial contracting. The limited information on the banking system of Br... Read More about Islamic Banking in Brunei Darussalam.

Real exchange rate misalignment in China: An empirical investigation (2001)
Journal Article
Zhang, Z. (2001). Real exchange rate misalignment in China: An empirical investigation. Journal of Comparative Economics, 29(1), 80-94. https://doi.org/10.1006/jcec.2000.1705

Based on the theory of equilibrium real exchange rate, this paper estimates the behavioral equilibrium exchange rate and the resulting misalignment in China. Evidence shows chronic overvaluation in China's central planning period, but economic reform... Read More about Real exchange rate misalignment in China: An empirical investigation.

China's exchange rate reform and exports (2001)
Journal Article
Zhang, Z. (2001). China's exchange rate reform and exports. Economics of planning, 34(1-2), 89-112. https://doi.org/10.1023/a%3A1017549828555

The paper argues that exchange rate reform is a vital supply-side factor in China's export growth. It contributes to China's export expansion by affording a realistic exchange rate and allowing freer access to foreign exchange, thereby leading to the... Read More about China's exchange rate reform and exports.