The Experts below are selected from a list of 180150 Experts worldwide ranked by ideXlab platform
Christian Thimann - One of the best experts on this subject based on the ideXlab platform.
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home bias in global bond and equity markets the role of real exchange rate volatility
Journal of International Money and Finance, 2007Co-Authors: Michael Fidora, Marcel Fratzscher, Christian ThimannAbstract:Abstract This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across Financial Assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic Financial Assets as well as a stronger home bias for Assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a broad set of industrialized and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points.
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home bias in global bond and equity markets the role of real exchange rate volatility
Journal of International Money and Finance, 2007Co-Authors: Michael Fidora, Marcel Fratzscher, Christian ThimannAbstract:This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across Financial Assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic Financial Assets as well as a stronger home bias for Assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a broad set of industrialised and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points. JEL Classification: F30, F31, G11, G15
Michael Fidora - One of the best experts on this subject based on the ideXlab platform.
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home bias in global bond and equity markets the role of real exchange rate volatility
Journal of International Money and Finance, 2007Co-Authors: Michael Fidora, Marcel Fratzscher, Christian ThimannAbstract:Abstract This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across Financial Assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic Financial Assets as well as a stronger home bias for Assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a broad set of industrialized and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points.
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home bias in global bond and equity markets the role of real exchange rate volatility
Journal of International Money and Finance, 2007Co-Authors: Michael Fidora, Marcel Fratzscher, Christian ThimannAbstract:This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across Financial Assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic Financial Assets as well as a stronger home bias for Assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a broad set of industrialised and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points. JEL Classification: F30, F31, G11, G15
Marcel Fratzscher - One of the best experts on this subject based on the ideXlab platform.
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home bias in global bond and equity markets the role of real exchange rate volatility
Journal of International Money and Finance, 2007Co-Authors: Michael Fidora, Marcel Fratzscher, Christian ThimannAbstract:Abstract This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across Financial Assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic Financial Assets as well as a stronger home bias for Assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a broad set of industrialized and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points.
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home bias in global bond and equity markets the role of real exchange rate volatility
Journal of International Money and Finance, 2007Co-Authors: Michael Fidora, Marcel Fratzscher, Christian ThimannAbstract:This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across Financial Assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic Financial Assets as well as a stronger home bias for Assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a broad set of industrialised and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we find that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points. JEL Classification: F30, F31, G11, G15
Peter Fiechter - One of the best experts on this subject based on the ideXlab platform.
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reclassification of Financial Assets under ias 39 impact on european banks Financial statements
Accounting in Europe, 2011Co-Authors: Peter FiechterAbstract:In response to the Financial crisis, the IASB issued on 13 October 2008 an amendment to IAS 39 which enables entities to reclassify non-derivative Financial Assets held for trading and Financial Assets available-for-sale. This paper examines the influence of this controversial amendment on the 2008 Financial statements of 219 European banks which apply IFRS. I find that approximately one-third of the sample banks have taken extensive advantage of these reclassification opportunities. The mean reclassification amount is 3.9% of total Assets and 131% of the book value of equity, respectively. I further document that reclassifying banks avoid substantial fair value losses, and hence, report significantly higher levels of return on Assets (ROA), return on equity (ROE), book value of equity and regulatory capital. In particular, the mean ROE switches sign from a negative ROE of −1.4% to a positive ROE of 1.3% due to gains from reclassifications. Overall, this paper documents a substantial impact of the amendme...
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reclassification of Financial Assets under ias 39 impact on european banks Financial statements
Social Science Research Network, 2009Co-Authors: Peter FiechterAbstract:In response to the Financial crisis, the IASB issued on 13 October 2008 an amendment to IAS 39 which enables entities to reclassify non-derivative Financial Assets held for trading and Financial Assets available-for-sale. This paper examines the influence of this controversial amendment on the Financial statements 2008 of 219 European banks which apply IFRS. I find that approximately one-third of the sample banks have taken extensive advantage of these reclassification opportunities. The mean reclassification amount is 3.9% of total Assets and 131% of the book value of equity, respectively. I further document that reclassifying banks avoid substantial fair value losses, and hence, report significant higher levels of return on Assets (ROA), return on equity (ROE), book value of equity, and regulatory capital. In particular, the mean ROE switches signs from a negative ROE of –1.4% to a positive ROE of 1.3% due to gains from reclassifications. Overall, this paper documents a substantial impact of the amendments on banks’ Financial statements and suggests analysing these reclassifications with particular caution.
Ann Tarca - One of the best experts on this subject based on the ideXlab platform.
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ifrs fair value measurement and accounting policy choice in the united kingdom and australia
British Accounting Review, 2011Co-Authors: David Cairns, Dianne Massoudi, Ross Taplin, Ann TarcaAbstract:This study investigates the use of fair value measurement by 228 listed companies in the UK and Australia around the time of adoption of IFRS from 1 January 2005. We test whether within and between country comparability in policy choices (as measured by T indices) has changed in relation to (a) mandatory and (b) optional use of fair value measurement. Mandatory requirements related to Financial instruments (IAS 39) and share-based payments (IFRS 2) have increased comparability, with a weaker effect for biological Assets (IAS 41). In relation to the optional use of fair value, comparability increased in relation to property (IAS 16) because some companies discontinued fair value measurement. Under IAS 39, the fair value option for other Financial Assets and other Financial liabilities decreased comparability. Options to use fair value in other areas (intangible Assets, plant and equipment and investment properties) are not generally taken up, either for on-going measurement or on IFRS adoption (under the ‘deemed cost’ option). The results suggest a conservative approach and/or lack of incentives to use fair value measurement for most companies. Exceptions include some banks and insurance companies (for other Financial Assets and liabilities) and companies holding investment properties.
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ifrs fair value measurement and accounting policy choice in the united kingdom and australia
Social Science Research Network, 2009Co-Authors: David Cairns, Dianne Massoudi, Ross Taplin, Ann TarcaAbstract:This study investigates the use of fair value measurement by 228 listed companies in the UK and Australia around the time of adoption of IFRS from 1 January 2005. We test whether within and between country comparability in policy choices (as measured by T indices) has changed in relation to (a) mandatory and (b) optional use of fair value measurement. Mandatory requirements related to Financial instruments (IAS 39) and share-based payments (IFRS 2) have increased comparability. Increases in comparability for agricultural Assets (IAS 41) were not significant. In relation to the optional use of fair value, comparability increased in relation to property (IAS 16) because some companies discontinued fair value measurement. Under IAS 39, the fair value option for other Financial Assets decreased comparability. Options to use fair value in other areas (Financial liabilities, investment properties, intangible Assets and plant and equipment) are not generally taken up, either for on-going measurement or on IFRS adoption (under the 'deemed cost' option). The results suggest a conservative approach and/or lack of incentives to use fair value measurement for most companies. Some banks and insurance companies are an exception for Financial Assets as are Australian property companies.
