EFMA 2002 London Meetings (Archive)最新文献

{"title":"Evaluation of Investment Strategies with Options","authors":"Ana Fernandes, C. Machado-Santos","doi":"10.2139/ssrn.313978","DOIUrl":"https://doi.org/10.2139/ssrn.313978","url":null,"abstract":"The financial literature has revealed that option strategies originate asymmetric return distributions, providing new investment opportunities, particularly in the control and reduction of risk. On the other hand, given the inadequacy of the measures based upon mean and variance, we highlight the work of Leland (1999), which proposes a modification of the traditional risk measure (beta) of the Capital Asset Pricing Model (CAPM) to incorporate other moments of the return distributions. In this context, we applied this methodology on six dynamic hedging strategies with options on the FTSE 100 Index (covered calls at-, in- and out-of-the-money and protective puts at-, in- and out-of-the-money), in the sense of evaluating its performance. The results indicate that the new risk measure is statistically more significant than the traditional beta of CAPM, for that the information supplied by the measure of the performance (modified alpha) seems to be more reliable. However, the values of modified alphas reveal that these dynamic strategies result in excess returns close to zero (as theoretically expected), suggesting that the market price of these options appears to be in equilibrium, i.e., the options seem to be correctly priced.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130260897","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}

{"title":"An Empirical Investigation of Ecns and the Dealer Market: Order Imbalances and Spread Patterns","authors":"Robin K. Chou, G. Shyy, Mei-kung Chen","doi":"10.2139/ssrn.313961","DOIUrl":"https://doi.org/10.2139/ssrn.313961","url":null,"abstract":"After adopting Order Handling Rules in 1997, the Nasdaq Stock Market has become a hybrid market with both the quote-driven (market makers, the dealer market) and the order-driven (the Electronic Communication Networks, ECNs) trading systems. We study the Nasdaq stocks to empirically examine the spread patterns of ECNs and the dealer market under order imbalances. The results show that the spread size is much smaller in ECNs than that in the dealer market. The spread size decreases as the participation rate of ECNs increases. It is also found that the spread size does not fluctuate with the order imbalance conditions in ECNs. However, in the dealer market, the spread size is maximized when orders are balanced and minimized when orders are imbalanced.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125640052","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}

{"title":"The Influence of Capital Structure on Company Value with Different Growth Opportunities","authors":"Kevin C. W. Chen","doi":"10.2139/ssrn.313960","DOIUrl":"https://doi.org/10.2139/ssrn.313960","url":null,"abstract":"In this paper, we will try to empirically test the influence of the debt structure on the company value given different growth opportunities with the companies incorporated in Netherlands. It is well accepted that the market value of any firm is independent of its capital structure, given the assumptions of capital markets are \"perfect\". It is observed that the optimal capital structures are closely related to the growth potential of the firms and some other variables, such as: the size and the industry characteristics. Building on the argument that high-growth firms corporate value is negatively correlated with leverage, whereas for \"low-growth\" firms corporate value is positively correlated with leverage, we should observe that the growth opportunities may influence the optimal capital structure. The reason is that the optimal leverage may shift with the changes of growth opportunities that lead to the changes of agency costs of debt and cost of managerial discretion. In this context, we will try to empirically test 1: The correlation between Tobin's Q and leverage will be positive given the differences in growth opportunities; and 2: The correlation between Tobin's Q and leverage will be negative for high-growth firms and positive for low-growth firms. We expect that the signalling function of the debt will overweight the influence of the growth opportunities on the debt structure if hypothesis one is proved. Otherwise, the influence of the growth opportunities on the shift of the agency cost of debt and agency cost of managerial discretion will dominate the model. Finally, the influence of zero-debt capital structure is tested and discussed.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124515386","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}

{"title":"Profitability of Contrarian vs Momentum Strategies: Evidence from the Istanbul Stock Exchange","authors":"Recep Bildik, Guzhan Gulay","doi":"10.2139/ssrn.315379","DOIUrl":"https://doi.org/10.2139/ssrn.315379","url":null,"abstract":"Financial academics and practitioners have recognized that average stock returns are related to past performance and cross-section of stock returns is that predictable based on past returns. Number of researchers report that past losers (negative or lowest return-stocks) outperform past winners (positive or highest return-stocks) or vice versa over the subsequent three to five years not only in US markets but also in other stock markets. This study examines the momentum and contrarian effects on stock returns in one of the leading emerging markets, Istanbul Stock Exchange (ISE) between years 1991 and 2000 by using the same empirical methodology in Jegadeesh and Titman (1993). It also investigates the weak-form efficiency of the stock market by examining the profitability of a number of contrarian strategies based on past prices, size, price, book-to-market, earnings-to-price ratios of stocks. Prior loser-stocks are found to outperform prior winner-stocks consistent with the predictions of the overreaction hypothesis. Compounded annual return difference between the top-winners and top-losers is around 15% in favor of loser-stocks since the average return difference during the 10-year period is 1.14% per month. Empirical findings for the longer-term average returns up to 36 month holding periods reveal a reversal of returns from 15 months to 36 months. On the other hand, we find that average abnormal returns and the average abnormal return difference per month between losers and winners increase as the holding period extends. Results also indicate that there is a downward trend in average returns for the winner stocks based upon the length of past returns that is used for portfolio formation but upward trend for the losers. Profitability of the strategies is robust to changes in the size of the portfolios. We also find that contrarian profits in January are significantly higher than those in non-January months, particularly for the short-term holding periods such as one and three months, however, losers outperform the winners in most of the months of the year. The overreaction is significantly stronger for smaller firms than for larger firms. Losers portfolio are typically smaller, lower priced, high-B/M and high-E/P stocks (as distressed stocks) than stocks in the winners portfolio. Our evidence indicates that there is significant price, size, B/M and E/P effects in stock returns in ISE, consistent to previous empirical work. After we analyzed 80 different strategies based on five different factors such as past-return, size, price, B/M and E/P, in various length of formation and holding periods, we find that stocks that have lower price, smaller size, lower past-return, higher-B/M and E/P are significantly provide higher returns than others. Price, size and E/P-based portfolios earn a larger return than loser-winner portfolios suggested by the overreaction hypothesis. Large profits of winners&losers portfolios might be subsumed or caused by the ot","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123841110","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}

{"title":"The Price Elasticity of the Euro to Movements in Foreign Reserves Through European Central Bank Intervention","authors":"T. Brailsford, J. Penm, R. Terrell","doi":"10.2139/ssrn.303319","DOIUrl":"https://doi.org/10.2139/ssrn.303319","url":null,"abstract":"Since its introduction on 1 January 1999, the Euro has become the second most widely traded currency, behind the US Dollar and ahead of the Japanese Yen. Over the first three years of 1999-2001, the weakness of the Euro was a significant feature of foreign exchange markets. The Euro's weakness confounded earlier general expectations that it would trend upward relative to the US Dollar. Movements in exchange rates can be affected by Central Bank intervention. This paper investigates the price elasticity of the Euro to potential European Central Bank intervention. The paper uses a new time-series approach to examine the relationship between the Euro exchange rate and the level of foreign reserves. Conventional methods to test for Granger causal relations among variables, which affect the movements of forex markets, can be undertaken with vector error-correction (VECM) modelling. However the standard VECM approach is traditionally focused on full order time-series structures, which are based on nonzero elements in all elements of all coefficient matrices. Specifically, in tests of indirect causality and/or Granger non-causality in a VECM, the outcome of the causality detection is crucially dependent upon finding zero coefficients where the true structure does indeed include zero coefficients. This VECM, with allowance for possible zero entries in the coefficient matrices, is referred to as a zero-non-zero (ZNZ) patterned VECM. This paper employs ZNZ patterned VECM modelling to investigate Granger causal relations among foreign reserves, the European Monetary Union money supply and the Euro exchange rate. The findings confirm that foreign reserves may influence movements in the Euro's exchange rate. Further, ZNZ patterned VECM modelling with exogenous variables (VECMX modelling) is used to estimate the amount of foreign reserves currently required in order to again achieve a targetted Euro exchange rate, such as the initial rate existing at 1 January 1999.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121906624","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}

{"title":"The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market","authors":"N. Travlos, Nikolaos T. Milonas, J. Xiao, Cunkai Tan","doi":"10.2139/ssrn.314881","DOIUrl":"https://doi.org/10.2139/ssrn.314881","url":null,"abstract":"This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market. This market allows to examine the impact of tax effects while keeping any microstructure factors constant. The findings from non-taxable stocks show that their price, on the ex-dividend day, falls by an amount that is not statistically different from the dividend. For the taxable sample, stock prices of small dividend yield stocks fall proportionally to the dividend paid. For the large dividend yield stocks, the price adjustment depends on the effective tax rate on dividend income. The overall findings are consistent with the tax hypothesis.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128650975","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}

{"title":"Negotiation and the IPO Offer Price: A Comparison of Integer Versus Non-Integer Ipos","authors":"Daniel Bradley, Jr. Cooney, Bradford D. Jordan, Ashutosh Kumar Singh","doi":"10.2139/ssrn.304964","DOIUrl":"https://doi.org/10.2139/ssrn.304964","url":null,"abstract":"We investigate the pricing of 4,989 equity IPOs with offer dates between 1981 and 2000. Approximately three-fourths of these IPOs have integer offer prices. Average initial returns for IPOs with integer offer prices are significantly higher (24.5%) than those priced on the fraction of the dollar (8.1%). This result is robust through time and after conditioning for other effects known to influence initial returns. We hypothesize that integer vs. fractional dollar IPOs are the result of negotiations between the issuing firm and underwriter. Under this negotiation hypothesis, the frequency of integer pricing should be an increasing function of the offer price and the degree of uncertainty surrounding the value of the firm. Empirical evidence, supportive of the negotiation hypothesis, is presented.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122023592","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}

{"title":"International Corporate Investment and the Role of Financial Constraints","authors":"W. Cleary","doi":"10.2139/ssrn.313964","DOIUrl":"https://doi.org/10.2139/ssrn.313964","url":null,"abstract":"International evidence over the 1987-1997 period suggests that the capital expenditures of firms that are financially constrained are much less sensitive to the availability of internal funds than unconstrained firms. The evidence is particularly strong when firms are classified according to financial health, but is also prevalent for groups formed according to dividend behavior and firm size. The results provide strong support for the generality of the results of Kaplan and Zingales (1997) and Cleary (1999). A major reason for the weak investment-cash flow sensitivity displayed by unhealthy firms is that they appear to be busy building up financial slack, which has long-term value, as postulated by Myers and Majluf (1984).","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128798865","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}

{"title":"Richardson Extrapolation Techniques for the Pricing of American-Style Options","authors":"San‐Lin Chung, Chuang-Chang Chang, R. Stapleton","doi":"10.2139/ssrn.313962","DOIUrl":"https://doi.org/10.2139/ssrn.313962","url":null,"abstract":"In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American options whose exercise boundary is discontinuous) encountered in the original Geske–Johnson methodology. Furthermore, they propose a numerical method, the Repeated‐Richardson extrapolation, which allows the estimation of the interval of true option values and the determination of the number of options needed for an approximation to achieve a given desired accuracy. Using simulation results, our modified Geske–Johnson formula is shown to be more accurate than the original Geske–Johnson formula for pricing American options, especially for nonstandard American options. This study also illustrates that the Repeated‐Richardson extrapolation approach can estimate the interval of true American option values extremely well. Finally, the authors investigate the possibility of combining the binomial Black–Scholes method proposed by M. Broadie and J.B. Detemple (1996) with the Repeated‐Richardson extrapolation technique. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:791–817, 2007","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121121790","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}

{"title":"Managerial Equity Ownership and the Demand for Outside Directors","authors":"K. Peasnell, P. Pope, S. Young","doi":"10.2139/ssrn.314829","DOIUrl":"https://doi.org/10.2139/ssrn.314829","url":null,"abstract":"This paper investigates the relationship between managerial equity ownership and the demand for outside directors in the U.K. corporate control process. In recognition of both the benefits (incentive-alignment effects) and costs (entrenchment effects) of managerial ownership, we propose and test for evidence of a convex association between the proportion of outside board members and the level of insider ownership. Two non-linear specifications (quadratic and logarithmic) are estimated and compared with the simple linear relationship assumed in prior research. Cross-sectional results provide strong evidence that the association between board composition and managerial ownership is indeed non-linear, with both the quadratic and logarithmic models outperforming the linear specification. Further analysis indicates that of the two non-linear models, the logarithmic specification dominates. These findings are also confirmed by an analysis of changes in board composition in response to the Cadbury Report's best practice recommendations on the use of outside directors. Overall, our results suggest that the role of outside directors and their association with managerial ownership is more complex than the simple substitution effect previously assumed.","PeriodicalId":113051,"journal":{"name":"EFMA 2002 London Meetings (Archive)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115014691","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}