Research Interests:
Research Interests:
Research Interests: Applied Mathematics, Computer Science, Economics, Econometrics, Portfolio Optimization, and 8 morePortfolio, Social Science Research Network, Value at Risk, Heteroscedasticity, Numerical Analysis and Computational Mathematics, H, Univariate Analysis, and Autoregressive Conditional Heteroskedasticity
Research Interests:
Research Interests:
Research Interests:
Research Interests:
In line with Jensen’s predictions, private equity (PE) industry has grown remarkably and become a global phenomenon. More recently, academic literature examines a sharp drop in number of listed firms and the role of PE firms in the... more
In line with Jensen’s predictions, private equity (PE) industry has grown remarkably and become a global phenomenon. More recently, academic literature examines a sharp drop in number of listed firms and the role of PE firms in the possible demise of public corporations. Rather controversially, some authors were also predicting the eclipse of PE. In this article we discuss recent developments and argue that rumors of the eclipse of PE are exaggerated. The PE model, and its accompanying governance role, is here to stay but it will need to adapt to changing dynamics between general and limited partners, and emergence of fintech.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
... The accuracy of earnings forecasts in IPO prospectuses on the Kuala Lumpur Stock Exchange. Autores: Braim Saadouni, Ranko Jelic; Localización: Accounting and business research, ISSN 0001-4788, Vol. 29, Nº 1, 1998 , págs. 57-72.... more
... The accuracy of earnings forecasts in IPO prospectuses on the Kuala Lumpur Stock Exchange. Autores: Braim Saadouni, Ranko Jelic; Localización: Accounting and business research, ISSN 0001-4788, Vol. 29, Nº 1, 1998 , págs. 57-72. Fundación Dialnet. ...
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests: Applied Mathematics, Computer Science, Economics, Econometrics, Post Modern Portfolio Theory, and 9 morePortfolio Optimization, Portfolio, Social Science Research Network, Value at Risk, Heteroscedasticity, Numerical Analysis and Computational Mathematics, H, Univariate Analysis, and Autoregressive Conditional Heteroskedasticity
This paper examines Hungarian privatisation strategy and the financial performance of privatised enterprises. The results suggest that Hungary has preferred privatisation by direct sales by a considerable margin, but has recently shifted... more
This paper examines Hungarian privatisation strategy and the financial performance of privatised enterprises. The results suggest that Hungary has preferred privatisation by direct sales by a considerable margin, but has recently shifted towards share issues. Both types of sale have predominantly been gradual. Subsequent sales, however, confirm the government's intention to sell previously retained shares. An analysis of IPOs during 1990–1998 shows positive initial returns on Privatisation Initial Public Offers (PIPOs) and greater underpricing than for other IPOs. The long term returns of PIPOs are positive and they outperform other IPOs in all periods after the listing.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
We examine tracking errors and performance of 31 European bond exchange traded funds (ETFs) during 2007-2010. On average, ETFs outperform their respective benchmarks. Our findings, contradicts recent results from international equity... more
We examine tracking errors and performance of 31 European bond exchange traded funds (ETFs) during 2007-2010. On average, ETFs outperform their respective benchmarks. Our findings, contradicts recent results from international equity markets that suggest ETFs ’ underperformance. The average overperformance during the sample period varies from 10 basis points to 27 basis points. Notable the over-performance is more pronounced for funds which employ physical replication. All sample ETFs have statistically significant average (mean) tracking errors at 1 % level of significance. The results also suggest that that (more volatile) higher maturity segments have typically higher levels of tracking error. In particular, funds with heavy the exposure to the riskiest sovereign issuers exhibit different performance in comparison with funds that exclude the risky issuers. In the environment of widening sovereign CDS spreads and divergent yield trends, understanding selection rules of a benchmark...
Abstract For private equity (PE) firms, follow-on funds provide additional streams of management fees for a considerable time. When prospective limited partners (LPs) evaluate the performance of a PE firm's latest funds, they have to... more
Abstract For private equity (PE) firms, follow-on funds provide additional streams of management fees for a considerable time. When prospective limited partners (LPs) evaluate the performance of a PE firm's latest funds, they have to rely on valuations reported by PE firms. The link between PE firms' fundraising and performance evaluation is thus an area susceptible to manipulation resulting in potentially high stakes. We examine the relationship between PE firms' fundraising pressure and earnings management in portfolio companies, along with heterogeneity in behaviour by reputation and dry powder. To proxy for the degree of fundraising pressure, we develop an index based on PE firms' affiliations, stage in the fundraising cycle, and fundraising frequency. Results suggest that the fundraising pressure leads to more earnings management in portfolio companies, regardless of PE firm reputation. While the reputational effect remains unchanged under a change in funding pressure, dry powder exhibits a strong moderating effect under extreme funding pressure. The results are robust to alternative proxies for earnings management, alternative fundraising indexes, and various controls for endogeneity concerns.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests: Business, Management, Marketing, Social Sciences, Corporate Governance, and 14 moreFamily, Business Economics, Human Capital, Private Equity, Firm Performance, Business Management, Social Science Research Network, Business and Management, Value Creation, Strategic Entrepreneurship, Leveraged Buyouts, Directors, Operating Performance, and Profitability Index
Research Interests:
Research Interests:
Abstract For private equity (PE) firms, follow-on funds provide additional streams of management fees for a considerable time. When prospective limited partners (LPs) evaluate the performance of a PE firm's latest funds, they have to... more
Abstract For private equity (PE) firms, follow-on funds provide additional streams of management fees for a considerable time. When prospective limited partners (LPs) evaluate the performance of a PE firm's latest funds, they have to rely on valuations reported by PE firms. The link between PE firms' fundraising and performance evaluation is thus an area susceptible to manipulation resulting in potentially high stakes. We examine the relationship between PE firms' fundraising pressure and earnings management in portfolio companies, along with heterogeneity in behaviour by reputation and dry powder. To proxy for the degree of fundraising pressure, we develop an index based on PE firms' affiliations, stage in the fundraising cycle, and fundraising frequency. Results suggest that the fundraising pressure leads to more earnings management in portfolio companies, regardless of PE firm reputation. While the reputational effect remains unchanged under a change in funding pressure, dry powder exhibits a strong moderating effect under extreme funding pressure. The results are robust to alternative proxies for earnings management, alternative fundraising indexes, and various controls for endogeneity concerns.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
: Using a unique dataset, we examine financial performance, and venture capital involvement in 167 MBOs exiting through IPOs (MBO‐IPOs) on the London Stock Exchange, during the period 1964 –1997. VC backed MBOs seem to be more... more
: Using a unique dataset, we examine financial performance, and venture capital involvement in 167 MBOs exiting through IPOs (MBO‐IPOs) on the London Stock Exchange, during the period 1964 –1997. VC backed MBOs seem to be more underpriced than MBOs without venture capital backing, based on average value‐weighted returns. MBOs backed by highly reputable VCs tend to be older companies, and exit earlier than MBOs backed by less reputable VCs. The results contradict ‘certification’ and ‘grandstanding’ hypotheses supported by US data (Megginson and Weiss, 1991; and Gompers, 1996, respectively). We found no evidence of either significant underperformance, or that VC backed MBOs perform better than their non‐VC backed counterparts in the long run. However, MBOs backed by highly reputable venture capital firms seem to be better long‐term investments as compared to those backed by less prestigious venture capitalist firms. The results remain robust after using different methods to measure performance, and after controlling for sample selectivity bias.
Research Interests:
Research Interests:
Research Interests:
Research Interests:
This study examines the information value of corporate insider transactions for a sample of 1,242 public traded companies located in seven continental European countries. Our results indicate that insiders reveal information to the public... more
This study examines the information value of corporate insider transactions for a sample of 1,242 public traded companies located in seven continental European countries. Our results indicate that insiders reveal information to the public through their trading activities. Insiders tend to time their transactions, selling shares after stock price increases and buying shares after stock price decreases. Furthermore, we show that parameters like firm size, transaction size, and legal origin influence the stock price reaction to insider trades.
Research Interests:
In this study we examine earnings management in public listed firms within 15 EU member states plus two non-EU members, namely Switzerland and Norway. In 10 of the countries included in our sample, provisions were made to allow firms to... more
In this study we examine earnings management in public listed firms within 15 EU member states plus two non-EU members, namely Switzerland and Norway. In 10 of the countries included in our sample, provisions were made to allow firms to use international accounting standards (IAS/IFRS) well before they became mandatory in 2005. This presents us with an opportunity to compare
Research Interests:
Research Interests:
Research Interests:
Research Interests:
We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond... more
We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The conditional response is particularly evident for the liquidity factor. We also compare models with different transition variables and identify key drivers of regime switches in the excess returns of sample bond indices.<br><br>