European Financial Management Association Meetings (EFMA) (Archive)最新文献

{"title":"Asset Prices and Federal Reserve Behavior","authors":"Marc D. Hayford","doi":"10.2139/ssrn.263170","DOIUrl":"https://doi.org/10.2139/ssrn.263170","url":null,"abstract":"The legislated goals of monetary policy are price stability and maximum employment; asset price stability is not a direct goal of monetary policy. In setting monetary policy, does the Fed also consider the level of the stock market? This paper examines empirically if monetary policy, since the October 19, 1987 stock market crash, has been influenced by high valuations of the stock market. A close examination of the data, a careful reading of the FOMC available transcripts and various econometric estimations of an augmented Taylor rule lead to the conclusion that the Fed has accommodated the high valuations of the stock market as measured by the S&P500 Index.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116866531","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":"Moment Condition Failure Australian Evidence","authors":"J. Annaert, Marc J. K. de Ceuster, A. Hodgson","doi":"10.2139/ssrn.269049","DOIUrl":"https://doi.org/10.2139/ssrn.269049","url":null,"abstract":"Statistical population moments may be finite or infinite. Determining whether certain moments of a population are finite or not based on a finite sample turns out to be a very daunting and difficult task. If one assumes stock returns to behave according the sum stable law, characteristic exponent point estimates of approximately 1.5 are found for Australian stocks. This result is fully in line with previous US findings and implies that the population variance is infinite. Hill-estimates, on the other hand, are above 2 for all stocks, indicating that the second moments do exist. This conflicting result is resolved by showing that the (unconditional) sum stable hypothesis can be rejected firmly. We do this by setting up a simulation experiment, in which we show that combinations of the Hill-estimate and the characteristic exponent produced by the real data are extremely unlikely for sum stables. These results confirm the existence of at least second moments. There is a good chance that third moments exist as well but this calls for further research.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"13 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126015793","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":"Investing in Size and Book-to-Market Portfolios Using Information About the Macroeconomy: Some New Trading Rules","authors":"Michael J. Cooper, Huseyin Gulen, Maria Vassalou","doi":"10.2139/ssrn.265181","DOIUrl":"https://doi.org/10.2139/ssrn.265181","url":null,"abstract":"We propose new trading strategies that invest in size and book-to-market (B/M) decile portfolios. These trading strategies are based on a forecast model that uses mainly business cycle-related variables as predictors. Extensive out-of-sample experiments show profitable predictability in the returns of the decile portfolios. In particular, the proposed strategies outperform passive investments in the same deciles, as well as SMB- and HML-type of strategies. A key characteristic of the proposed strategies is that the long and short positions can be invested in different decile portfolios across time. This is in contrast to the traditional SMB- and HML-type of strategies that always go long and short on the same portfolios. Active strategies that involve the market portfolio, SMB and HML are also examined. A significant level of predictability is identified for SMB. Our results suggest that time variation in SMB and HML is linked to variations in aggregate, macroeconomic, nodiversifiable risk. Thus, our results most closely support a risk-based explanation for SMB and HML.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132819268","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":"Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios","authors":"F. Lhabitant","doi":"10.2139/ssrn.268527","DOIUrl":"https://doi.org/10.2139/ssrn.268527","url":null,"abstract":"We suggest an empirical model to analyze the investment style of individual hedge funds and funds of funds. Our approach is based on a mixture of the style analysis approach suggested by Sharpe (1988), the factor push approach used in stress testing, and historical simulation. An interesting and straightforward extension of this model is the estimation of value-at-risk (VaR) figures. This extension is tested using a very intuitive implementation over a large sample of 2,934 hedge funds over the 1994-2000 period. Both the in-the-sample and the out-of-sample results suggest that the proposed approach is useful and may constitute a valuable tool for assessing the investment style and risk of hedge funds.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121260730","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":"Sub-Optimal Acquisition Decisions Under a Majority Shareholder System: An Empirical Investigation","authors":"Stefano Mengoli, M. Bigelli","doi":"10.2139/ssrn.261311","DOIUrl":"https://doi.org/10.2139/ssrn.261311","url":null,"abstract":"The high separation of ownership from control achieved in many Italian listed companies through the concurrent use of non-voting shares and stock pyramiding may favour acquisitions made to increase private benefits of the controlling shareholders rather than all the shareholders' wealth. A standard event study methodology is carried out on three different samples of acquisitions during 1989-1996 period in order to test the hypothesis. Firstly, we find evidence that poor performance is more likely to occur in acquiring firms where the separation of ownership from control (as measured by the o/c ratio) is higher. Moreover, value-enhancing transactions are found to be more likely embarked by acquirors smaller in size, with higher prior-performance and higher growth. Secondly, restricting the sample to aquirors with both voting and non-voting shares we show that the average cumulative abnormal returns (CARs) in a 60-day event window is +0.48 percent for the voting versus a significantly lower -4.41 percent for the non-voting shares. We explain this picture as evidence that on one side the average acquisition has been overpaid (as suggested by the negative sign of the non-voting shares). On the other side it reveals that the transaction was expected to lead to higher private benefits to the majority shareholders (as suggested by the revaluation of the vote component as difference between the two classes of shares). Finally, the market reaction to 19 acquisitions where both bidder and seller are held by the same controller clearly shows that the price is set so as to transfer wealth towards the companies located at the upper levels, where the ownership of the majority shareholders is less diluted. We interpret these findings as evidence that through the separation of ownership from control entrenched-majority shareholders owning only a minor fraction of cash flow rights may lead corporate wealth destroying investment decisions. Moreover, we show that the risk of expropriation seems to be the major principal-agent problem in a country characterised by poor legal investor protection, of which Italy may be an ideal archetype","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115072239","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":"Approximations for the Value-at-Risk Approach to Risk-Return Analysis","authors":"Dirk Tasche, L. Tibiletti","doi":"10.2139/ssrn.269733","DOIUrl":"https://doi.org/10.2139/ssrn.269733","url":null,"abstract":"An evergreen debate in Finance concerns the rules for making portfolio hedge decisions. A traditional tool proposed in the literature is the well-known standard deviation based Sharpe Ratio, which has been recently generalized in order to involve also other popular risk measures p, such as VaR (Value-at-Risk) or CVaR (Conditional Value at Risk). This approach gives the correct choice of portfolio selection in a mean-p world as long as p is homogeneous of order 1. But, unfortunately, in important cases calculating the exact incremental Sharpe Ratio for ranking profitable portfolios turns out to be computationally too costly. Therefore, more easy-to-use rules for a rapid portfolio selection are needed. The research in this direction for VaR is just the aim of the paper. Approximation formulae are carried out which are based on certain derivatives of VaR and involve quantities similar to the skewness and kurtosis of the random variables under consid-eration. Starting point for the approximations is the observation that the partial derivatives of portfolio VaR with respect to the portfolio weights are just the conditional expectations of the asset returns given that the portfolio return equals VaR. Since the conditional expec-tation of a random variable Y given another random variable X can be considered the best possible regression of Y versus X in least squares sense, the idea is to replace the conditional expectation by polynomial regression or, more generally, by finite-dimensional regression of Y versus X. In case of the variables obeying an elliptical joint distribution, the resulting approximation formulae coincide with the exact formula for the standard deviation taken as risk measure. By means of a number of numerical examples and counter-examples the properties of the formulae are discussed.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122746495","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":"Interest Parity, Cointegration and the Term Structure: Testing in an Integrated Framework","authors":"D. Georgoutsos, Georgios P. Kouretas","doi":"10.2139/ssrn.268909","DOIUrl":"https://doi.org/10.2139/ssrn.268909","url":null,"abstract":"In this paper we develop a methodology for testing the validity of the expectations theory of the term structure and the uncovered interest parity within the framework provided by cointegration theory. For this purpose, we apply the multivariate cointegration technique suggested by Johansen (1988, 1991) using data on interest rates from the eurodollar and euromark markets with maturity ranging from 7 days to 1 year. First, we were able to find nine statistically significant cointegrating vectors among the system of ten interest rates. Second, given that more than one long-run relationships were found we imposed independent linear and homogeneous restrictions on the system and the joint structure of the expectations theory and the UIP could not be rejected implying that our proposed framework is a valid framework to study the interdependence of monetary policy in an integrated scheme. Finally, with the application of tests for parameter stability in cointegrated models we show that our cointegration results are sample independent and that the estimated coefficients do not suffer from instabilities in recursive estimations.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125844644","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":"Shareholder Wealth Experience of Buyers in Corporate Divestitures: Impact of Business Strategy, Growth Opportunities and Bargaining Power","authors":"G. Alexandrou, P. Sudarsanam","doi":"10.2139/ssrn.277473","DOIUrl":"https://doi.org/10.2139/ssrn.277473","url":null,"abstract":"Whether corporate acquisitions create or destroy value for shareholders is still an unresolved issue. One type of corporate acquisition is made when another firm carries out a divestiture. Evidence on the wealth effects of such partial acquisitions is limited to a few US studies. This study examines the wealth experience of buyers in 877 UK corporate divestitures during 1987-93 and seeks to identify the factors determining the wealth gains. We focus on value created by the acquirer through its business strategy and by exploiting its growth opportunities and on value distributed from the seller to the buyer due to the relative bargaining power of the seller and the buyer. We find that buyers experience significant buy and hold abnormal returns of 0.48% over three days following the divestiture announcement. Thus in contrast to many full takeovers, partial acquisitions create value. We also report that buyers enjoy larger gains when they buy from financially healthy sellers and during recessions. Economic environment rather than firm-specific growth opportunities lead to higher returns. Materially larger purchases create more value. UK buyers buying UK divisions of the seller have an information advantage over UK purchasers of foreign divisions and experience larger wealth increases. The study highlights the importance of environmental, firm-specific and transactional characteristics in determining the value gains from partial acquisitions.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133061420","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":"Consistent High-Precision Volatility from High-Frequency Data","authors":"Fulvio Corsi, G. Zumbach, Ulrich A. Müller, M. Dacorogna","doi":"10.2139/ssrn.261149","DOIUrl":"https://doi.org/10.2139/ssrn.261149","url":null,"abstract":"type=\"main\" xml:lang=\"en\"> Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly biased as compared to volatilities of daily returns. This bias originates from microstructure effects in the price formation. For foreign exchange, the relevant microstructure effect is the incoherent price formation, which leads to a strong negative first-order autocorrelation ρ(1)≃40 per cent for tick-by-tick returns and to the volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away from the tick-by-tick price series. With filtered prices, the daily volatility can be estimated using the information contained in high-frequency data, providing a high-precision measure of volatility at any time interval. (J.E.L.: C13, C22, C81).","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123956543","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":"Is the London Market Competitive? A Study of Trading Behavior of London Market Makers","authors":"Rosita P. Chang, Chunlin Liu, S. Rhee","doi":"10.2139/ssrn.246457","DOIUrl":"https://doi.org/10.2139/ssrn.246457","url":null,"abstract":"A Study of Trading Behavior of London Market Makers Abstract This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of trading activities of different market makers for a sample of FTSE-100 component stocks. Specifically, the relations studied between market shares of individual market makers and their price- and quantity-setting behavior, preferenced trading activities, and trading profitability infer the competitiveness of the London market. The results show that market makers can obtain relative larger shares of public order flows through posting more competitive prices with greater quote depths. No evidence is found to support that preferenced trading distort the market shares of trading among market makers because it is limited to small-sized trades. However, this study does suggest that those market makers who takes more trading risks are not only rewarded with larger market shares of public order flows but also compensated with higher spread profit margins. The overall findings from the study indicate that the LSE is a competitive dealership market.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129291675","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}