European Business School London

About: European Business School London is a based out in . It is known for research contribution in the topics: Real estate investment trust & Empirical research. The organization has 323 authors who have published 636 publications receiving 17446 citations. The organization is also known as: EBS London.

What Financiers Usually Do, and What We Can Learn from History

Abstract: This paper aims at presenting an historical perspective on some of the major questions raised by Hyman Minsky and his recent followers, in particular about the instability of banking practices and the diffusion of the "originate and distribute" model under the domination of securities markets. We will argue that, when dealing with these issues, one must take great care at distinguishing what is actually new and what is recurrent. Financial innovation is nothing new. Risk taking through financial innovation is not new either. Banks have been innovating constantly over the last centuries, and many of their practices that we consider as "traditional" have not always been so, and result from a long process involving trials and errors, each error usually resulting in excessive risk-taking and waves of failures. We point out that markets have survived these crises when they have been able to organize and build the institutional structure allowing the various interests involved to become consistent with each other.

Understanding Benefits Management Success: Results of a Field Study.

Abstract: The realization of benefits from IS/IT investments has consistently been reported as one of the major challenges of organizations. This paper reports on the findings from an exploratory field study on how benefits management success ultimately contributes to better IS/IT exploitation. A total of 34 semistructured interviews were held within 29 organizations. The study applies resource-based theory to examine the benefits management resources required and the process through which organizations translate such resources into benefits management competencies. The result is a framework offering items under three dimensions to outline how benefits management ultimately contributes to better IS/IT exploitation. The dimensions are: (1) benefits management resources, (2) benefits management capability and (3) contextual factors. The analysis finds that organizations develop benefits management capability in various stages: (1) benefits measurement competency, (2) benefits planning competency, and (3) benefits implementation competency. The results of our study also reveal that resources alone are not sufficient for successful benefits management. Organizations also need to establish the contextual factors: business/IT alignment, integration of benefits management into management processes and top management support.

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Abstract: Multivariate GARCH models have been designed as an extension of their univariate counterparts. Such a view is appealing from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we argue that correlations are quite different in nature. We demonstrate that the highly unstable and erratic behavior that is typically observed for the correlation among financial assets is to a large extent a statistical artefact. We provide evidence that spurious correlation dynamics occur in response to financial events that are sufficiently large to cause a structural break in the time-series of correlations. A measure for the autocovariance structure of conditional correlations allows us to formally demonstrate that the volatility and the persistence of daily correlations are not primarily driven by financial news but by the level of the underlying true correlation. Our results indicate that a rolling-window sample correlation is often a better choice for empirical applications in finance.

Maturity effects in the Mexican interest rate futures market

Abstract: The growing importance of the Mexican TIIE-futures, which are amongst the most actively traded future contracts worldwide, motivates the examination of their behavior. In particular, this study addresses the question of maturity eects. The analysis is done using a panel consisting of 48 series corresponding to contracts with expiration between 2003 and 2006. The analysis shows maturity eects were present