Catálogo de publicaciones - libros

The proliferation of the Internet has led to the rapid growth of online brokerage. As the Internet now allows individual investors access to information previously available only to institutional investors, individual investors are profiting in the financial markets through online trading schemes. Rock-bottom fees charged by the online brokers and the changing attitude toward risk of the Internet-literate generation prompt the practitioners to question the validity of the traditional valuation models and statistics-based portfolio formulation strategies. These tactics also induce more dramatic changes in the financial markets. Online trading, however, does involve a high degree of risk, and can cause a profitable portfolio to sour in a matter of minutes. This paper addresses the major challenges of trading stocks on the Internet, and recommends a decision support system for online traders to minimize the potential of risks.

This paper analytically determines the conditions under which four commonly utilized portfolio measures (the Sharpe index, the Treynor index, the Jensen alpha, and the Adjusted Jensen’s alpha) will be similar and different. If the single index CAPM model is appropriate, we prove theoretically that well-diversified portfolios must have similar rankings for the Treynor, Sharpe indices, and Adjusted Jensen’s alpha ranking. The Jensen alpha rankings will coincide if and only if the portfolios have similar betas. For multi-index CAPM models, however, the Jensen alpha will not give the same ranking as the Treynor index even for portfolios of large size and similar betas. Furthermore, the adjusted Jensen’s alpha ranking will not be identical to the Treynor index ranking.

The Gramm-Leach-Bliley Act (GLBA) was signed into law on November 12, 1999 and essentially repealed the Glass-Steagall Act (GSA) of 1933 that had mandated the separation of commercial banking activities from securities activities. It also repealed provisions of the Bank Holding Company Act (BHCA) of 1956 that provided for the separation of commercial banking from insurance activities. The major thrust of the new law, therefore, is the establishment of a legal structure that allows for the integration of banking, securities and insurance activities within a single organization. The GLBA will be explained and discussed, with special emphasis on its importance for U.S. banks in a world of ever increasing globalization of financial services.

In different fields data are presented under the form of Property Systems or Attribute Systems (i. e. Information Systems). In order to collect items linked together by attributes or properties we can use a number of techniques whose results range from exact classifications to different kinds of approximations. This range depends on the collecting operators and the characteristics of the Information System at hand. In this paper we discuss how to transform Information Systems in order to apply a well-funded set of operators and to improve their precision.

In January 1997, the U.S. Treasury began to issue inflation-indexed securities (TIIS). The new Treasury security protects investors from inflation by linking the principal and coupon payments to the Consumer Price Index (CPI). This paper discusses the background of issuing TIIS and reviews their unique characteristics.

The entry reviews essential elements of market structure — the systems, procedures, and protocols that determine how orders are handled, translated into trades, and transaction prices determined. There are various contrasting alternatives, such as order-driven and quote-driven markets; consolidated vs fragmented markets; human intervention vs electronic trading; and continuous markets vs periodic call auctions. A major objective of market design noted in the discussion is to enhance the accuracy with which prices are discovered in a dynamic, uncertain environment. Lastly, the entry points out that market structures are rapidly changing, and that much remains to be learned about how best to structure a technologically sophisticated, hybrid market that efficiently services the varied needs of diverse participants.

More than two-thirds of member countries of the International Monetary Fund (IMF) have experienced one or more banking crises in recent years. The inherent fragility of banks has motivated about 50 percent of the countries in the world to establish deposit insurance schemes. By increasing depositor confidence, deposit insurance has the potential to provide for a more stable banking system. Although deposit insurance increases depositor confidence, it removes depositor discipline. Banks are thus freer to engage in activities that are riskier than would otherwise be the case. Deposit insurance itself, in other words, could be the cause of a crisis. The types of schemes countries have adopted will be assessed as well as the benefits and costs of these schemes in promoting stability in the banking sector.

The Gramm-Leach-Bliley Act (GLBA) was signed into law on November 12, 1999 and essentially repealed the Glass-Steagall Act (GSA) of 1933 that had mandated the separation of commercial banking activities from securities activities. It also repealed provisions of the Bank Holding Company Act (BHCA) of 1956 that provided for the separation of commercial banking from insurance activities. The major thrust of the new law, therefore, is the establishment of a legal structure that allows for the integration of banking, securities and insurance activities within a single organization. The GLBA will be explained and discussed, with special emphasis on its importance for U.S. banks in a world of ever increasing globalization of financial services.

Coupon-prefunded bonds have been developed and sold by investment bankers in place of zero-coupon bonds to raise funds for companies facing cashflow problems. Additional bonds are issued and proceeds are deposited in an escrow account to finance the coupon payment. Our analysis indicates that a coupon-prefunded bond is equivalent to a zero-coupon bond only if the return from the escrow account is the same as the yield to maturity of the prefunded issue. In reality, the escrow return is lower than the bond yield. As a result, the firm provides interest subsidy through issuing additional bonds which leads to higher leverage, greater risk, and loss of value compared to a zero-coupon issue.

Empirical work on portfolio choice and asset pricing has shown that an investor’s current asset demand is affected by the possibility of uncertain changes in future investment opportunities. In addition, different countries have different prices for goods when there is a common numeraire in the international portfolio choice and asset pricing. In this survey, we present an intertemporal international asset pricing model (IAPM) that prices market hedging risk and exchange rate hedging risk in addition to market risk and exchange rate risk. This model allows us to explicitly separate hedging against changes in the investment opportunity set from hedging against exchange rate changes as well as separate exchange rate risk from intertemporal hedging risk.