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Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics 在价差和比率动态的不同假设下的分析货币对交易
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-11-04 DOI: 10.2139/ssrn.1663703
Ian Gregory, C. Ewald, Pieter Knox
{"title":"Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics","authors":"Ian Gregory, C. Ewald, Pieter Knox","doi":"10.2139/ssrn.1663703","DOIUrl":"https://doi.org/10.2139/ssrn.1663703","url":null,"abstract":"We demonstrate how arbitrarily sized long/short baskets whose portfolio value is modelled with spread or ratio of any asset weighting can be treated as a sequential stopping problem. In particular, when the underlying data generating process follows an Ornstein-Uhlenbeck, Cox-Ingersoll-Ross or GARCH diffusion, we derive closed form expressions for mean and variance of trade time and trade return (with transaction costs). From these expressions the risk and return characteristics are examined when the objective functions aim to maximisise expected return and Sharpe ratio. The SDE where possible are estimated using exact maximum likelihood, Euler and Hermite Polynomial Expansion. The estimation parameters and their sensitivity can be used to rank potential trades and understand the risk/return profi le involved with this style of investment.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127292541","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: 10
Fee for Service, Outperformance or Assets Under Management? Indications from Generalized Log Utility 服务收费、业绩优胜收费或管理资产收费?来自通用日志实用程序的指示
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-23 DOI: 10.2139/ssrn.1663546
Geoffrey H. Kingston, Haijie Weng
{"title":"Fee for Service, Outperformance or Assets Under Management? Indications from Generalized Log Utility","authors":"Geoffrey H. Kingston, Haijie Weng","doi":"10.2139/ssrn.1663546","DOIUrl":"https://doi.org/10.2139/ssrn.1663546","url":null,"abstract":"We investigate efficient fee structures for actively managed funds when both the investor-principal and the prospective manager-agent have utility functions of the generalized log variety. Efficient fees include a fixed component that reflects the manager’s protected consumption. This is a new rationale for a flat component of fees analogous to fee-for-service. Also new is our result that participation is not all or nothing. Specifically, the amount placed with the active manager is equal to the investor’s wealth less the present value of the total protected consumption of the investor and the manager. Efficient fees also include variable components reflecting total assets under management and performance relative to a passive benchmark.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121469478","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
Economies of Scale and Scope in Australian Superannuation Funds 澳大利亚养老基金的规模经济和范围经济
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-22 DOI: 10.2139/ssrn.1663272
H. Higgs, A. Worthington
{"title":"Economies of Scale and Scope in Australian Superannuation Funds","authors":"H. Higgs, A. Worthington","doi":"10.2139/ssrn.1663272","DOIUrl":"https://doi.org/10.2139/ssrn.1663272","url":null,"abstract":"This paper estimates economies of scale and scope for 200 large Australian superannuation (pension) funds in 2009 using a multiple-output cost function. This is the first and currently only year that certain fund-level information provided in the superannuation annual returns to the Australian Prudential Regulation Authority (APRA) has been deemed non-confidential and made publicly available. Costs are separately defined in terms of investment expenses— including investment, custodian and asset management fees—and operating expenses—comprising management, administration, actuarial, director and trustee fees and charges. Four outputs are specified for each cost: namely, cash flow adjusted net assets, the number of investment options, the proportion of total assets in the default strategy and the five-year rate of return for investment costs, and cash flow adjusted net assets, the number of members, net contribution flows and net rollovers for operating costs. The findings indicate that ray economies of scale hold up to at least 300 percent of current mean output in both investment and operating costs, though product-specific economies of scale hold primarily for assets under management and the number of investment options at relatively high levels of output for investment costs and for rollovers at low levels of output for operating costs. In contrast, there is little evidence that global and product-specific economies of scope prevail in the sector, and this is reflected in the proclivity of many superannuation funds to contract out many aspects of their investments and operations. JEL codes: C21 ⋅ D24 ⋅ G23","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122111169","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
Selectivity, Style, Sentiment and Skill in Mutual Fund Trades 共同基金交易的选择性、风格、情绪和技巧
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-20 DOI: 10.2139/ssrn.1663112
Grant Cullen, D. Gasbarro, K-S. Le, G. Monroe
{"title":"Selectivity, Style, Sentiment and Skill in Mutual Fund Trades","authors":"Grant Cullen, D. Gasbarro, K-S. Le, G. Monroe","doi":"10.2139/ssrn.1663112","DOIUrl":"https://doi.org/10.2139/ssrn.1663112","url":null,"abstract":"Fund managers can only exhibit selectivity through purchasing (selling) stocks that appreciate (depreciate) more frequently than expected from random occurrence, if stocks are incorrectly priced. We develop a method that can statistically identify fund managers that exhibit net, buy, and sell selectivity in their trades, as well as distinguish manager skill from fortuitous stock selection. Stock investor sentiment betas are calculated from the recently developed investor sentiment index, and used to indicate stock mispricing. We find that superior stock selection is concentrated in funds that hold high sentiment beta stocks; the major constituent of funds with the aggressive growth objective.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133910218","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
Dynamic Prediction of Financial Distress in Hedge Funds and Funds-of-Hedge Funds 对冲基金和对冲基金的基金财务困境动态预测
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-20 DOI: 10.2139/ssrn.1662533
Hee Soo Lee
{"title":"Dynamic Prediction of Financial Distress in Hedge Funds and Funds-of-Hedge Funds","authors":"Hee Soo Lee","doi":"10.2139/ssrn.1662533","DOIUrl":"https://doi.org/10.2139/ssrn.1662533","url":null,"abstract":"This study establishes survival/hazard models with time-varying covariates, as well as fixed covariates, under three specifications of the Cox Proportional Hazards (CPH) model for Hedge Fund (HFs) and Funds-of-Hedge Funds (FOHFs). With the development of the SAS Macro program for generating survival probabilities, the dynamic changes in survival probabilities are predicted over the lifetime of HFs and FOHFs after the estimation of baseline hazards using mixed CPH model. This model incorporates both fixed and time-varying covariates. The resulting dynamic survival probabilities show that the mixed model developed in this study is effective for real-time prediction of the cumulative survivals of HFs and FOHFs. The estimated models exhibit satisfactory predictive accuracy in forecasting the occurrence of failures in HFs and FOHFs.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133208965","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
On the Long-Run Holding Returns of Japanese Stocks: Individual Stocks vs. Portfolios 论日本股票的长期持有收益:个股与投资组合
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-19 DOI: 10.2139/ssrn.1663758
Keiichi Kubota, Toshifumi Tokunaga, K. Wada
{"title":"On the Long-Run Holding Returns of Japanese Stocks: Individual Stocks vs. Portfolios","authors":"Keiichi Kubota, Toshifumi Tokunaga, K. Wada","doi":"10.2139/ssrn.1663758","DOIUrl":"https://doi.org/10.2139/ssrn.1663758","url":null,"abstract":"We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not for the largest. However, returns are negatively correlated at the individual stock level and positively correlated at the portfolio level. We demonstrate that the negative correlation disappears as the number of stocks in each portfolio is increased to four, which shows the idiosyncratic risk of individual stock is dominated by the positive autocorrelation at the portfolio level.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130490142","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
Do Liquidity or Credit Effects Explain the Behaviour of the BKBM-LIBOR Differential? 流动性或信贷效应能解释BKBM-LIBOR差异的行为吗?
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-19 DOI: 10.2139/ssrn.1662173
R. Poskitt, Bradley Waller
{"title":"Do Liquidity or Credit Effects Explain the Behaviour of the BKBM-LIBOR Differential?","authors":"R. Poskitt, Bradley Waller","doi":"10.2139/ssrn.1662173","DOIUrl":"https://doi.org/10.2139/ssrn.1662173","url":null,"abstract":"In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse of Lehman brothers in September 2008, before narrowing gradually as the turmoil financial markets subsided. Our structural regression model and decomposition analyses show that changes in liquidity largely explain the changes in the BKBM-LIBOR differential and that credit risk factors only played a minor role. However our analysis also shows that liquidity in the offshore market also prices information regarding counterparty credit risk, suggesting that our initial results could understate the role played by credit risk factors.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115944359","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
The Microstructure of Fear, the Fama-French Factors and the Global Financial Crisis of 2007 and 2008 恐惧微观结构、Fama-French因素与2007 - 2008年全球金融危机
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-08-15 DOI: 10.2139/ssrn.1659146
D. Lim, Robert B. Durand, Joey (Wenling) Yang
{"title":"The Microstructure of Fear, the Fama-French Factors and the Global Financial Crisis of 2007 and 2008","authors":"D. Lim, Robert B. Durand, Joey (Wenling) Yang","doi":"10.2139/ssrn.1659146","DOIUrl":"https://doi.org/10.2139/ssrn.1659146","url":null,"abstract":"We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French’s (1993) model and the market’s expectation of total risk as represented by the VIX (the “fear factor”). Our findings confirm the predicted relationship between the equity risk-premium and risk (Merton, 1980). We find that the size-premium is driven by investors who are flying-to-quality (Abel, 1988; Barsky, 1989). We also find investors became increasingly sensitive to changes in the VIX during the Global Financial Crisis.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132784691","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
Default Correlation and Bond Portfolio Management 违约相关性和债券投资组合管理
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2010-01-20 DOI: 10.2139/ssrn.1662207
Ping Li
{"title":"Default Correlation and Bond Portfolio Management","authors":"Ping Li","doi":"10.2139/ssrn.1662207","DOIUrl":"https://doi.org/10.2139/ssrn.1662207","url":null,"abstract":"In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these two types of default dependence structure, while the marginal distribution of time to default is an important determinant, the price, duration and convexity of a bond portfolio obtained from the joint default approach are insensitive to the default dependence structure.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130356607","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
National Culture and Corporate Governance 民族文化与公司治理
23rd Australasian Finance & Banking Conference 2010 (Archive) Pub Date : 2009-08-11 DOI: 10.2139/ssrn.1660233
Wolfgang Breuer, A. Salzmann
{"title":"National Culture and Corporate Governance","authors":"Wolfgang Breuer, A. Salzmann","doi":"10.2139/ssrn.1660233","DOIUrl":"https://doi.org/10.2139/ssrn.1660233","url":null,"abstract":"In a series of cross-country comparisons, we show that national culture is statistically significant in differentiating countries with different corporate governance systems. Using the Schwartz cultural value model and data on corporate governance systems, we analyze the impact of national culture on six dimensions of corporate governance. Countries that have stronger emphasis on the dimensions of Embeddedness, Egalitarianism, and Harmony are more likely to have bank-based systems, while countries with a stronger emphasis on Autonomy, Hierarchy, and Mastery tend to have market-based systems. The findings suggest several implications for the ongoing debate on convergence and divergence of corporate governance systems and policy reforms regarding financial crises.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132270427","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: 7
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