Ranko Jelic

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Aidan Vining and three anonymous referees. Additionally, we appreciate comments received from participants at the The political and economic policy of privatization, broadly defined as the deliberate sale by a government of state-owned enterprises (SOEs) or assets to private economic agents, is now in use worldwide. Since its introduction by Britain's(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 over-performance during the sample period varies from 10 basis(More)
This paper examines common risk factors in Euro-denominated corporate bond returns before and after recent financial crisis. Our results suggest that level and slope of interest rate and default spread term structures significantly improve the explanatory power of asset pricing models for the cross-section of corporate bonds. Further, we demonstrate that(More)
The countries of western Europe have seen far reaching corporate governance developments in recent years, ranging from the Cadbury Report in the UK to the Vienot Report in France. These developments have been discussed in toto in the report of the CEPS working party on corporate governance in Europe. However alongside the developments in western Europe,(More)
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework(More)
On the basis of an empirical analysis of 491 UK recent secondary management buyouts (SMBOs), we find strong evidence of a deterioration in long-run abnormal returns following SMBO deals. SMBOs also perform worse than primary buyouts in terms of profitability, labor productivity, and growth. We find no evidence for superior performance of private equity (PE)(More)
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We document a negative and asymmetric contemporaneous relation of European stock and implied volatility returns. The negative relation is significantly more pronounced at the highest quantile of the stock market return distribution (i.e. largest price decrease). The relation between stock returns and implied volatility exhibits differences consistent with(More)