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Author Euro Working Group for Financial Modeling. Meeting (41st : 2007 : Lisbon, Portugal)

Title New developments in financial modelling / edited by Joaõ O. Soared, Joaquim P. Pina and Margarida Catalaõ-Lopes
Published Middlesex : Cambridge Scholars Publishing, 2008

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Location Call no. Vol. Availability
 MELB  332.015 Soa/Ndi  AVAILABLE
Description vii, 377 pages : illustrations ; 22 cm
Contents Machine derived contents note: New Developments in Financial Modelling: An Introduction 1 -- Joao O. Soares, Joaquim Pina and Margarida Catalao-Lopes -- Section 1 - Banking -- Chapter O ne 5 -- The Number of Bank Relationships and the Cost of Borrowing: -- An Empirical Study -- Diana Bonfim, Qinglei Dai and Francesco Franco -- C hapter T w o 34 -- Product Differentiation and the Measurement of Cost Efficiency -- in Banking: The Case of Portuguese Banks -- Filipa Lima -- Chapter Three 77 -- Is There a Nonlinear Mean Reversion in the Term Structure of Interest -- Rates at the Polish Interbank Market? -- Maria Blangiewicz and Pawel Milobqdzki -- Section 2 - Corporate Governance -- C hapter Four 95 -- Shareholder Activism among Portfolio Managers: Rational Decisions -- or 15 Minutes of Fame? -- Lars Nord6n and Ther6se Strand -- Chapter Five 116 -- Corporate Governance and the Cost of Debt -- Jasper Blom and Marc B.J. Schauten -- Section 3 - Portfolio Selection -- C hapter Six 146 -- A Multiple Criteria Methodology for Constructing Common Stock -- Portfolios: An Application for Companies of the FTSE/ATHEX 140 -- Panagiotis Xidonas, Dimitrios Askounis and John Psarras -- C hapter Seven 174 -- Islamic Investment: An Overview of Asset Classes -- Jaap Spronk and Ghassan Chammas -- C hapter E ight 196 -- Application of Dynamic Rankings to Portfolio Selection -- Andrzej M.J. Skulimowski -- Section 4 - Market Microstructure and Liquidity -- C hapter N ine 2 13 -- Cross-Sectional Liquidity Interactions from Intraday Perspectives -- Emmanuel Kopp, Michael Huetl, Otto Loistl and Johannes Prix -- C hapter T en 245 -- Price Limits, Volatility, Liquidity and Overreaction: An Event Study -- from the Athens Stock Exchange -- Theodoros Stamatiou -- Chapter Eleven 276 -- Effect of Increased Liquidity on the Returns of Small-Cap Equities: -- Evidence from the Istanbul Stock Exchange -- Serkan Aran -- Section 5 - Risk and Volatility in Financial Markets -- Chapter Tw elve 290 -- The Volatility-volume Relation around Takeover Announcements: -- A French Evidence -- Dorra Mezzez Hmaied -- C hapter Thirteen 314 -- What "Hides" Behind Sovereign Debt Ratings? -- Ant6nio Afonso, Pedro Gomes and Philipp Rother
Summary This volume brings together a variety of issues, methods and market instruments that should prove useful for topics courses, finance and asset management practice, and also foster future research. This collection of contributions is a selected subset of those presented at the XLI Meeting of the EURO Working Group on Financial Modelling, Lisbon, November 2007, and has a rich manifold of applied, theoretical and methodological work: Banking, empirical assessment of efficiency and relationship banking; Corporate Governance; Market Microstructure: liquidity; price limits; volatility; Risk: sovereign debt rating; volatility-volume around takeover announcements; Multicriteria approach and portfolio selection; Modified Tempered Stable Distribution and GARCH modelling. In sum, this contributed volume, joining many authors from academia and practice on finance, offers a multiplicity of issues and methodology that broadens the knowledge and skills in finance matters and raises research questions for further development
Notes Includes index
Bibliography Includes bibliographical references and index
Notes Description based on print version record
Subject Banks and banking, European.
Business enterprises -- Finance.
Corporate governance.
Finance -- Mathematical models -- Congresses.
Finance -- Mathematical models.
Genre/Form Conference papers and proceedings.
Author Catalão-Lopes, Margarida.
Pina, Jpaquim P
Soares, João O. (João Oliveira)
LC no. 2009396276
ISBN 1847186742
9781847186744