https://thesis.eur.nl/col/4300/ List of Publications en https://thesis.eur.nl/pub/5027/ Thu, 04 Dec 2008 00:00:01 GMT <div>Akyol, N.</div> This paper consists of two parts. The first section deals with the theory of Islamic banking to understand better the need for capital adequacy regulation. To add value to the theoretical part it ends with a mathematically and graphically representation of a replicated Conventional bond with Islamic financial contracts in a complete market. The second part focuses on the capital adequacy requirements of Islamic banks and does not deal with other aspects of Basel II. Under the Basel II Accord Islamic financial institutions receive special treatment due to its nature of contracts and unique risks. A case study is developed which shows that following the IFSB guidelines, a major bank in GCC region is well capitalized for the years 2002-2005. It should be noted that the way in which one deals with the unrestricted investment accounts impacts whether the bank can meet the CAR measure. Further the implications of Pillar 1 on Islamic banking are discussed in detail. https://thesis.eur.nl/pub/5159/ Thu, 01 Jan 2009 00:00:01 GMT <div>Wieland, M.F.G.</div> https://thesis.eur.nl/pub/5322/ Thu, 01 Jan 2009 00:00:01 GMT <div>Dietvorst, A.</div> https://thesis.eur.nl/pub/5339/ Thu, 01 Jan 2009 00:00:01 GMT <div>Kats, M. van</div> https://thesis.eur.nl/pub/4922/ Tue, 07 Apr 2009 00:00:01 GMT <div>Leeden, Kees van der</div> https://thesis.eur.nl/pub/4923/ Wed, 08 Apr 2009 00:00:01 GMT <div>Schout, Bram</div> https://thesis.eur.nl/pub/5087/ Fri, 15 May 2009 00:00:01 GMT <div>Tan, R.K.S.</div> In this thesis default swap spreads and cash bond spreads of European companies are compared, by analyzing the movement of the difference between the two spreads. We find a significant positive nonzero basis. The basis is not constant over time, with an average positive basis before the credit crisis and an average negative basis during the crisis. The existence of the basis is primarily caused by a lead-lag relationship between synthetic and cash credit markets. Default swap spreads lead in price discovery compared to bond spreads. https://thesis.eur.nl/pub/5157/ Wed, 20 May 2009 00:00:01 GMT <div>Kourdoupalos, S.</div> This master thesis treats the question whether prices of book equity to market equity sorted stock portfolios follow a random walk. In the theoretical part of the thesis, the random walk model is derived as a testable expression of market informational efficiency assuming constant expected returns and its statistical tests, namely the regression beta and the variance ratio, are discussed. As alternatives to the random walk, the structural models of fads and time varying expected returns are presented. A new model which incorporates the characteristics of the previous two models is also proposed. In the empirical part, the random walk test statistics are estimated. The random walk is rejected for portfolios with low BE/ME ratio by the variance ratio. The observationally equivalent ARMA forms of the alternative models are estimated and an ARMA(2,2) process is found to fit better the data. Moreover, to measure the ability of the statistical tests to reject the random walk when the alternative models considered are true, the power of the variance ratio and regression beta is calculated. The power of the variance ratio is higher than the regression beta and it deteriorates exponentially with the return interval. https://thesis.eur.nl/pub/5163/ Wed, 20 May 2009 00:00:01 GMT <div>Neven, S</div> This paper gives an overview of the worldwide financial crisis that shook the world from 2007. It tries to capture all factors that are important in this crisis and bring them together. It starts with an analysis of the bubble in the U.S. housing market. After that the mechanics of the hedge fund market are examined. An in-depth elaboration into the mortgage-backed security-market and securitization of it is given. The riskyness of these markets is discussed as well. The last part of the theoretical framework of this paper is about the contamination of the rest of the financial world, for instance after the Lehman Brothers meltdown and the Icelandic bankruptcy. The empirical part of this investigation contains a balance sheet approach of four U.S. banks and four Dutch banks and a comparison between the theoretical part of this paper with crisis factors at three major banks. Critical success factors for the three banks are transparance at SPVs and a thorough risk management section. https://thesis.eur.nl/pub/5165/ Wed, 20 May 2009 00:00:01 GMT <div>Scholten, T.E.</div> The Heterogeneous Agent Model has been analyzed since the introduction of the Euro. Three exchange rates have been examined, €/$, €/£ and €/¥. The model without a switching mechanism, whereby agent decide which strategy to use by looking on past profitability, has no explaining power. However the results improve when estimating the second step of the model, including the switching mechanism. The results show evidence of a market with heterogeneous agents. The results for the €/£ and €/¥, including the switching mechanism, exchange rates seem promising. However the model can not explain the €/$ behaviour. Furthermore are some extensions been analyzed estimated upon the model, which improve some of the results. Further does the out of sample forecast of the $/¥ exchange rate using the Heterogeneous Agent Model not outperform the random walk. https://thesis.eur.nl/pub/5168/ Wed, 20 May 2009 00:00:01 GMT <div>Maazullah</div> This paper analyzes interaction of two identical firms in a price reciprocating competition and introduces value of unpredictability in a mixed strategy game. Further, it examines the sensitivity of firm values to different idiosyncratic shocks in preinnovation stage. In the post innovation stage, the study finds that the price and quantity effect of cost reducing innovation are linear in cost reduction and depends only on price elasticities of demand. The study also finds that proprietary benefits of innovation induces switching effect and demand innovation premium. At the end of this paper we suggest a simple license pricing scheme for sharing the benefits of innovation both for complete and partial transfer of technology. In our analysis, shared benefits of nondrastic innovation provide a win-win situation for both firms. https://thesis.eur.nl/pub/5170/ Wed, 20 May 2009 00:00:01 GMT <div>Schönfeld, M.J.L.</div> The main objective of this thesis is to research the performance of boutique funds compared to average mutual funds. We did this based on numerous methods of performance using multiple models and methods to show proof of the outperformance of boutique funds. We can clearly state that in performance measurements and models we used, even after compensating for a high survivorship bias and costs we find better performance from boutiques then from average mutual funds. The outperformance is also persistent in the short and long run making these results interesting for future investors. The outperformance of boutiques according to us due to the fact that managers of boutiques have a relatively high focus and due to the fact that boutique fund managers are so highly dedicated to the performance of their funds since they are so heavily invested into it themselves. https://thesis.eur.nl/pub/5162/ Tue, 26 May 2009 00:00:01 GMT <div>Demenint, W.</div> https://thesis.eur.nl/pub/5326/ Mon, 15 Jun 2009 00:00:01 GMT <div>Elzen, S.M. den</div><div>Geest, J.M. van</div> https://thesis.eur.nl/pub/5327/ Mon, 15 Jun 2009 00:00:01 GMT <div>Geest, J.M. van</div> https://thesis.eur.nl/pub/5324/ Tue, 16 Jun 2009 00:00:01 GMT <div>Akker, N. van den</div> https://thesis.eur.nl/pub/5361/ Thu, 25 Jun 2009 00:00:01 GMT <div>Kloosterman, R.M.</div> https://thesis.eur.nl/pub/5883/ Wed, 01 Jul 2009 00:00:01 GMT <div>Jong, A.C de</div><div>Mudde, J.M.</div> This paper examines the country and sector effect in European stock returns. We use stocks from the Down Jones STOXX 600, covering 18 countries, 10 sectors and 1010 stocks from January 2002 until February 2008. We find for the equally weighted portfolio that the explanatory power of both effects is almost similar. For the value weighted portfolio, the sector effect clearly dominates the country effect. The difference between the equally weighted portfolio and the value weighted portfolio suggests that the sector effect is driven by the large capitalisation stocks. To analyse this we exclude the 100 largest companies from our data sample and repeat our research. We find that the sector effect decreases dramatically and that the country and sector do not differ much anymore. https://thesis.eur.nl/pub/5386/ Thu, 02 Jul 2009 00:00:01 GMT <div>Rigpal, K.</div> https://thesis.eur.nl/pub/5428/ Thu, 09 Jul 2009 00:00:01 GMT <div>Jansen, W.A.M.</div>