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Why Do Discount Rates Vary? 为什么贴现率不同?
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2019-12-30 DOI: 10.2139/ssrn.2037521
S. Kozak, S. Santosh
{"title":"Why Do Discount Rates Vary?","authors":"S. Kozak, S. Santosh","doi":"10.2139/ssrn.2037521","DOIUrl":"https://doi.org/10.2139/ssrn.2037521","url":null,"abstract":"We argue that in a general equilibrium model, increases in equity risk premia represent “bad” news to investors because they reveal increases in marginal utility. We employ a new empirical methodology and find that the price of “discount rate” risk is negative in the data, contrary to prior research. Our approach relies on using future realized market returns to consistently estimate covariances of asset returns with the market risk premium. Covariances drive observed cross-sectional patterns in the expected returns of stocks and bonds. Ignoring the “risk-premium” factor causes drastic underestimation of the equilibrium price of “level” risk in bond returns.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"2017 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120923400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Trading Strategies of Corporate Insiders 公司内部人士的交易策略
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2017-01-04 DOI: 10.2139/ssrn.2118110
Olga Klein, Ernst Maug, Christoph Schneider
{"title":"Trading Strategies of Corporate Insiders","authors":"Olga Klein, Ernst Maug, Christoph Schneider","doi":"10.2139/ssrn.2118110","DOIUrl":"https://doi.org/10.2139/ssrn.2118110","url":null,"abstract":"We test two complementary theories of optimal trading strategies by analyzing the transaction patterns of corporate insiders. According to information-based theories, investors trade faster if they compete with others for exploiting the same information, while liquidity-based theories predict the opposite. Our analysis supports the predictions of liquidity-based models: insiders take longer to complete trades when they face competition from other insiders and they trade slower in less liquid markets. Insiders adapt to fluctuations in market liquidity. We identify informed trading using CARs, company news announcements, and insider trading patterns. Our results support the predictions of information-based models for informed trades.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128774866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Do Investors Value Dividend Smoothing Stocks Differently? 投资者对股息平滑股票的估值不同吗?
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2016-04-20 DOI: 10.2139/ssrn.2023975
Yelena Larkin, Mark T. Leary, Roni Michaely
{"title":"Do Investors Value Dividend Smoothing Stocks Differently?","authors":"Yelena Larkin, Mark T. Leary, Roni Michaely","doi":"10.2139/ssrn.2023975","DOIUrl":"https://doi.org/10.2139/ssrn.2023975","url":null,"abstract":"It is widely documented that managers strive to maintain smooth dividends. Yet, it is not clear if this behavior reflects investors’ preferences. In this paper, we study whether investors indeed value dividend smoothing stocks differently by exploring the implications of dividend smoothing for firms’ investor clientele, stock prices and cost of capital. We find that retail investors are less likely to hold dividend smoothing stocks, while institutional investors, and especially mutual funds, are more likely. However, this preference does not result in any detectable relation between the smoothness of a firm’s dividends and the expected return, or market value, of its stock. Together, the evidence suggests that firms adjust the supply of smoothed dividends to match investors’ demand. Dividend smoothing affects the composition of a firm’s shareholders but has little impact on its stock price.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132112905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Forbearance, Prompt Closure, and the Valuation of Bank Subordinated Debt 忍耐，及时关闭和银行次级债务的估值
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-09-05 DOI: 10.2139/ssrn.2142259
Yeh-ning Chen, Jin‐Ping Lee, Min-Teh Yu
{"title":"Forbearance, Prompt Closure, and the Valuation of Bank Subordinated Debt","authors":"Yeh-ning Chen, Jin‐Ping Lee, Min-Teh Yu","doi":"10.2139/ssrn.2142259","DOIUrl":"https://doi.org/10.2139/ssrn.2142259","url":null,"abstract":"This study develops a multi-period structural model to value bank subordinated debt (subdebt) under different regulatory policies. The model provides a complete framework for analyzing how various factors, such as credit and interest rate risks, bank characteristics and regulatory policies affect subdebt prices and yield spreads. It finds that the implementation of prompt corrective action (PCA) will raise subdebt prices and lower subdebt spreads, while capital forbearance will have the opposite effects. Also, subdebt spreads are less sensitive to bank risk when PCA is imposed than when capital forbearance occurs. The results of the paper suggest that enhancing market discipline through giving subdebt investors more rights to force timely reorganization of weak banks will reduce the subdebt spreads required by investors.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125617840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices 股票、黄金和汇率隐含波动率指数的同期溢出效应
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-08-15 DOI: 10.2139/ssrn.2130312
Ihsan Badshah, Bart Frijns, A. Tourani-Rad
{"title":"Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices","authors":"Ihsan Badshah, Bart Frijns, A. Tourani-Rad","doi":"10.2139/ssrn.2130312","DOIUrl":"https://doi.org/10.2139/ssrn.2130312","url":null,"abstract":"This paper examines the contemporaneous spill-over effects among the CBOE implied volatility indices for stocks (VIX), gold (GVZ) and the exchange rate (EVZ). We use the 'identification through heteroskedasticity' approach of Rigobon (2003) to decompose the contemporaneous relationship between these implied volatility indices into causal relationships. Our findings suggest that there is strong unidirectional, spill-over from VIX to GVZ and EVZ, where increases in stock market volatility lead to increases in gold and exchange rate volatility; and bi-directional spill-over between GVZ and EVZ. We emphasize the implications of our model by comparing the impulse-responses generated by our structural VAR with the impulse-responses of a traditional VAR. Our results show that the responses to shocks originating in GVZ and EVZ are seriously overestimated in the traditional VAR. These findings on the direction and magnitude of spill-over and the long-run impact on volatility have important implications for portfolio and risk management.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125108549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 35
Reconsidering Psychic Return in Art Investments 重新考虑艺术投资中的精神回报
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-08-09 DOI: 10.2139/ssrn.2127113
G. Candela, Massimiliano Castellani, Pierpaolo Pattitoni
{"title":"Reconsidering Psychic Return in Art Investments","authors":"G. Candela, Massimiliano Castellani, Pierpaolo Pattitoni","doi":"10.2139/ssrn.2127113","DOIUrl":"https://doi.org/10.2139/ssrn.2127113","url":null,"abstract":"Measuring the psychic return of art investments is a debated issue in cultural economics. Several works suggest Jensen’s alpha as a measure of the psychic return. Since Jensen’s alpha is defined in the CAPM framework, its uncritical application as a measure of the psychic return may be problematic when the CAPM hypotheses do not hold. Applying an opportunity cost framework and the analytical tools of portfolio theory, we propose a new psychic return measure, which is not affected by the same issues as Jensen’s alpha. Psychic return estimates based on our measure are provided for several art market indexes as an empirical application.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"23 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131158934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Dynamic Trading Strategies of Equity Hedge Funds: Empirical Evidence on How They Adapt to Market Conditions 股票对冲基金的动态交易策略:它们如何适应市场条件的经验证据
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-06-12 DOI: 10.2139/ssrn.2082878
A. Muller, M. Lambert, H. Babaei
{"title":"Dynamic Trading Strategies of Equity Hedge Funds: Empirical Evidence on How They Adapt to Market Conditions","authors":"A. Muller, M. Lambert, H. Babaei","doi":"10.2139/ssrn.2082878","DOIUrl":"https://doi.org/10.2139/ssrn.2082878","url":null,"abstract":"Hedge funds shift investment strategies in response to changing market conditions. We adjust hedge fund returns for their risks in an estimation that accounts for regime-switching effects. Index factors are used to capture the returns from buy-and-hold strategies followed by hedge fund. Besides, in order to capture the nonlinear dependence of hedge fund returns on these market indexes, we construct investable higher-moment factors and option-like strategies. Because our trading factors are mostly based on the equity markets, we focus on the equity-oriented hedge funds from the Hedge Fund Research database. Especially, we test whether these factors can explain the time series behavior of returns of a market neutral, short selling and long/short equity hedge funds. Average exposure sensitivities for systematic skewness are statistically significant for all funds. Equity hedge funds are moreover shown to follow a conservative investment strategy as they reduce their (linear or nonlinear) exposures in down-market regime relative to tranquil- or up-market regimes.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"28 17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133619454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tail Risk in Momentum Strategy Returns 动量策略收益中的尾部风险
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-06-01 DOI: 10.2139/ssrn.2076622
Kent D. Daniel, R. Jagannathan, Soohun Kim
{"title":"Tail Risk in Momentum Strategy Returns","authors":"Kent D. Daniel, R. Jagannathan, Soohun Kim","doi":"10.2139/ssrn.2076622","DOIUrl":"https://doi.org/10.2139/ssrn.2076622","url":null,"abstract":"Momentum strategies exhibit rare but dramatic losses (crashes), which we show are a result of the leverage dynamics of stocks in the momentum portfolio. When the economy is in a hidden turbulent state associated with a depressed and volatile stock market, the short-side of the momentum portfolio becomes highly levered, and behaves like a call option on the market index portfolio, making momentum crashes more likely. We develop a hidden Markov model of the unobserved turbulent state that affects the returns on the momentum strategy and the market index portfolios. We find that the use of a combination of Normal and Student-t distributions for the hidden residuals in the model to construct the likelihood of the realized momentum and market index returns dramatically improves the models ability to predict crashes. The same variable that forecasts momentum crashes also forecasts the correlation between momentum strategy and value strategy, two of the benchmark investment styles often used in performance appraisal of quant portfolio managers. The correlation is conditionally negative only when the probability of the economy being in a turbulent state is high. The conditional correlation is zero otherwise, which is two thirds of the time. Half of the negative value-momentum relation is due to leverage dynamics of stocks in the momentum strategy portfolio. The other half is due to a hidden risk factor, likely related to funding liquidity identified in Asness et al. (2013), which emerges only when the economy is more likely to be in the turbulent state.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134484453","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 68
Does Microcredit Create Over-Indebtedness? 小额信贷会造成过度负债吗?
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-05-30 DOI: 10.2139/ssrn.2070616
Sk. Mahmudul Alam
{"title":"Does Microcredit Create Over-Indebtedness?","authors":"Sk. Mahmudul Alam","doi":"10.2139/ssrn.2070616","DOIUrl":"https://doi.org/10.2139/ssrn.2070616","url":null,"abstract":"In the context of the present crisis of microfinance, it is quite common to use the term over-indebtedness among the poor. Coming up with a precise definition of over-indebtedness for research or regulatory purposes is surprisingly a complex challenge. Few of researchers took attempt to define and measure over-indebtedness among microfinance borrowers. Among them Maurer and Pytkowska (2010); Spannuth & Pytkowska (2011) and Schicks (2011) are notable. But their definition and measurement process of over-indebtedness are not unique. Maurer and Pytkowska showed that by taking microcredit, 17% borrowers are over-indebted and 11% borrowers are at risk of becoming over-indebted in Bosnia and Herzegovina. Spannuth & Pytkowska demonstrated that 7% borrowers are insolvent, 4% borrowers are in critical position and 14% are at risk of becoming over-indebted in Kosovo. Schicks displayed that 30% borrowers are over-indebted in Ghana. The endeavor of this paper is to show the real fact whether microcredit creates over-indebtedness among its borrowers or not.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129671758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Mortgage Meltdown: Default Sensitivity to Declining Home Values and Loan-to-Value Ratios 抵押贷款崩溃:对房屋价值和贷款价值比下降的违约敏感性
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-05-10 DOI: 10.2139/ssrn.2055857
Yannick Schindler, Judith A. Laux
{"title":"Mortgage Meltdown: Default Sensitivity to Declining Home Values and Loan-to-Value Ratios","authors":"Yannick Schindler, Judith A. Laux","doi":"10.2139/ssrn.2055857","DOIUrl":"https://doi.org/10.2139/ssrn.2055857","url":null,"abstract":"The current study investigates the recent mortgage crisis to determine whether deteriorating aggregate loan-to-value (LTV) ratios resulted in more acute default responses to depreciating home prices. We find evidence that default rates did not behave erratically or disproportionately to falling housing values during the subprime crisis, but we found some proof that the aggregate LTV ratio was associated with increased foreclosure rate volatility.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123601709","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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