On September 4, 2002, the SEC implemented a de minimis exemption to the trade-through rule for three active ETFs, allowing markets to execute trades at prices up to three cents worse than those posted elsewhere. Relaxing the trade-through rule does not worsen ETF market quality. Effective and realized spreads are essentially unchanged or slightly smaller post-event, and prices become slightly m...

This paper assesses the effect of political institutions on stock market performance in 14 African countries for which stock market data is available for the period 1990-2010. The estimation technique used is a Two-Stage-Least Squares Instrumental Variable methodology. Political regime channels of democracy, polity and autocracy are instrumented with legal-origins, religious-legacies, income-le...

In this paper we present a methodology of model-based calibration additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored controlling case complete information about interbank network, augment the model with three plausible types fire sale mechanisms. We then demonstrate power euro area ba...

GoLoco ('Galpha(i/o)-Loco' interaction) motif proteins have recently been identified as novel GDIs (guanine nucleotide dissociation inhibitors) for heterotrimeric G-protein alpha subunits. G18 is a member of the mammalian GoLoco-motif gene family and was uncovered by analyses of human and mouse genomes for anonymous open-reading frames. The encoded G18 polypeptide is predicted to contain three ...

Why was growth so slow during the British Industrial Revolution? More than a decade ago, Jeff Williamson proposed "crowding-out" as a result of Britain's numerous wars as a key mechanism, but little empirical evidence existed to support it. We argue that examinations of interest rates are fundamentally misguided. The eighteenthand early nineteenth-century private loan market balanced through qu...

A (λKv, G)-design is a partition of the edges of λKv into subgraphs each of which is isomorphic to G. In this paper, we completely solve the case when G = G18 (G18 is notation from Bermond, Huang, Rosa and Sotteau, Ars Combin. 10 (1980), 211–254) and prove that the necessary condition λv(v− 1) ≡ 0 (mod 14) for the existence of a (λKv, G18)-design with any positive integer λ is also sufficient e...

The inherent conflicts of interest in the auditor–client relationship and the unobservability of financial statement quality are likely culprits in the recent corporate scandals such as Enron and WorldCom. The solution proposed here is a financial statement insurance (FSI) mechanism. Instead of appointing and paying auditors, companies would purchase financial statement insurance that provides ...

We analyze the entry of new credit rating agencies into structured finance products. Our setting is unique as we study a period in which the incumbents’ reputation was extremely poor and the benefit of more fee income from inflating ratings was low. We find entrants cater to issuers by issuing higher ratings than incumbents, particularly for interest-only (IO) tranches. Ratings by incumbents be...

Since 1996 the Basel risk-weighting regime has been based on the distinction between the trading and the banking book. For a long time credit items have been weighted less strictly if held in the trading book, on the assumption that they are easy to hedge or sell. The Great Financial Crisis made evident that banks declared a trading intent on positions that proved difficult or impossible to sel...

This study explores the relation between credit risks of financial and non-financial firms and their corporate governance structures from the perspective of creditors. US based CDS spreads are used to measure firms’ risk taking behavior. Governance attributes have differential effects across firm types: Board independence and financial transparency have a greater impact on the default risk of f...