计量经济分析 = Econometric analysis

In this Chapter, we imagine a decision maker (or a group of experts) trying to establish or examine fair procedures to combine opinions about alternatives related to different points of view.

Multiple criteria decision making

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

Handbook of the Economics of Finance

Wisdom of Crowds: The Value of Stock Opinions Transmitted through Social Media

The study examines panel data for 46 Indian banks with 31 bank specific financial ratios over eight years (2007 to 2014) Together, these ratios reflect operating capability, liquidity, solvency, profitability, capital adequacy and business development capacity aspects across Indian banks that affect non-performing assets (NPAs) The data was analysed using a GMM model that dealt with endogeneity issues present in the data This model captured NPA with an r-square of 85% We find a negative significant relationship between intermediation cost ratio, Return on Assets and NPAs Asset growth, lagged NPAs, and total liabilities by total assets are positively related to NPAs

An analysis of NPAs of Indian banks: Using a comprehensive framework of 31 financial ratios

The paper tries to identify the presence of ‘market-wide herding’ in the Indian capital market and whether Institutional Investors impact such Herding. In particular, the paper looks at the impact of FII Flows as well as mutual funds on herding. The work also looks at the impact of index return and volatility on herding.

Market-Wide Herding and The Impact of Institutional Investors in the Indian Capital Market

The article tries to identify the presence of ‘market-wide herding’ in the Indian capital market and whether institutional investors impact such herding. In particular, the article looks at the imp...

Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market

In this paper we look at pricing stop-loss reinsurance contracts using an approximation technique similar to that of Basu (Ph.D. Thesis, London, 1999) and Rogers and Shi [Journal of Applied Probability 32 (4) (1995) 1077–1088] for processes with constant claims and the underlying stochastic intensity following a log-normal distribution. In particular, we look at the Cox process with the underlying stochastic intensity being log-normal.

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A Cox process with log-normal intensity

The objective of this study is to present a systematic literature review in the context of bank efficiency and productivity. It focuses on the recent developments related to empirical methodological advances and new dimensions added to the ever-growing field of bank performance analysis. Selected research papers were coded in terms of their key objectives and were segregated into 11 themes—Branch, Comparison, Consolidation and Expansion, Deregulation and Regulation, Environment, Input–output, Methodological advances, Non-traditional activities, Risk, Stock performance and Others. The 103 selected studies were further analysed based on efficiency measures, input–output approaches and methodology. While summarising the extant literature on bank efficiency and productivity, the ongoing debate regarding the optimal input output approaches and ideal frontier techniques for bank performance analysis has also been dealt with. The current study also highlights the possible future research avenues in this area.

Sankarshan Basu

Papers

An analysis of NPAs of Indian banks: Using a comprehensive framework of 31 financial ratios

Market-Wide Herding and The Impact of Institutional Investors in the Indian Capital Market

Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market

A Cox process with log-normal intensity

A review of bank efficiency and productivity