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

{"title":"On Modelling Credit Risk Using Arbitrage Free Models","authors":"Frank S. Skinner, A. Díaz","doi":"10.2139/ssrn.264958","DOIUrl":"https://doi.org/10.2139/ssrn.264958","url":null,"abstract":"By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk since even the simplest parameterized model obtains large changes in the distribution of state prices when compared to a non-parameterized model. Similarly we find large differences in the distribution of state prices as we add correlation and moderate changes as we add time varying recovery rates. Finally, the choice between the RM or RF recovery assumption appears innocuous, but the choice between RT and these two recovery assumptions is not.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"42 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":"126338376","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":"Evidence on Takeover Characteristics and Motives in the Acquisitions of NASDAQ Targets Following the Stock Market Crash of 1987","authors":"V. Gondhalekar, Y. Bhagwat","doi":"10.2139/ssrn.235757","DOIUrl":"https://doi.org/10.2139/ssrn.235757","url":null,"abstract":"Prior to the Black Monday (October 19, 1987), the twenty-day moving average of the NASDAQ composite index had reached a peak level of 442 on October 13, 1987. It then declined rapidly around the Black Monday by over forty percent and did not reach the pre-crash level again till June 8, 1989. This study examines the motives (synergy, agency and/or hubris) in successful takeovers initiated during the \"after-crash\" period (October 14, 1987 - June 7, 1989). For comparison, it also examine the motives in takeovers during the ten year period \"before\" the crash of 1987. The sample size for the after-crash and before-crash periods is 76 and 188 respectively. The study finds a significant increase in same industry takeovers, stock-financed takeovers, size of acquirers, and market-to-book ratio of assets of acquirers in the after-crash period relative to the before-crash period. Average gains to the combinations and to the acquirers, however, are significantly lower in the after-crash period than in the before-crash period (target gains are not different). For both the before-crash and after-crash periods, the correlations between the gains to targets, acquirers and combinations suggest synergy as the motive when the combination gains are positive and agency as the motive when the combination gains are negative. The correlations fail to suggest hubris as the primary motive for both the periods irrespective of whether the combination gains are positive or negative. Findings from the cross-sectional relationship between the gains to acquirers/targets and the uncertainty about the gains from takeovers also fail to suggest hubris as the primary motive in takeovers during both the periods. Thus, the findings of this study suggest that gains to the combinations and to the acquirers decrease in takeovers initiated during the after-crash period due to an increase in takeovers motivated by self-serving behavior of acquiring firm managers. The findings fail to suggest that this decrease arises from an increase in takeovers motivated by managerial hubris (i.e., overconfidence) about their ability to estimate and/or extract takeover gains.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125423301","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":"European Mutual Fund Performance","authors":"R. Otten, D. Bams","doi":"10.2139/ssrn.213808","DOIUrl":"https://doi.org/10.2139/ssrn.213808","url":null,"abstract":"This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the five most important mutual fund countries. The latter is done using the Carhart (1997) 4‐factor asset‐pricing model. In addition we investigate whether European fund managers exhibit ‘hot hands’, persistence in performance. Finally the influence of fund characteristics on risk‐adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, four out of five countries exhibit significant out‐performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the UK. Our results deviate from most US studies that argue mutual funds under‐perform the market by the amount of expenses they charge.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124408891","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":"Regulating Access to International Large-Value Payment Systems","authors":"C. Holthausen, T. Rønde","doi":"10.1093/RFS/15.5.1561","DOIUrl":"https://doi.org/10.1093/RFS/15.5.1561","url":null,"abstract":"This paper studies access regulation to international large-value payment systems when banking supervision is national task. We focus on the choice between net settlement or imposing real time gross settlement. As a novel feature, the communication between the supervisors is endogenized. It is shown that the national supervisors' preferences regarding the settlement method are not perfectly aligned. As a result, systemic risk is excessive under public regulation. Still, leaving access regulation to the private banks can only be optimal if they have superior information about the risk of their foreign counterparty in the settlement system. JEL Classification: E58, G20, G28","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122503728","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":"Fluctuating Returns of Dual Listings: Domestic and Adr Markets","authors":"A. Jaiswal-Dale, Thadavillil Jithendranathan","doi":"10.2139/ssrn.263178","DOIUrl":"https://doi.org/10.2139/ssrn.263178","url":null,"abstract":"This paper examines the extent to which the dollar returns of stocks, dual listed on the domestic market and on the US market, as American Depository Receipts (ADRs), capture the fluctuations of both markets. Since 1989 there has been phenomenal growth in ADR offerings from several countries. The dollar monthly returns for ADRs, country and US market indices are examined during 01/89 12/99, for 19 countries, to capture the fluctuations in the returns. Five sets of hypothesis are tested: (i) ADR return against country market index (ii) ADR return against the US market index (iii) ADR return against both domestic and US market indexes (iv) country market index against US market index (v) Country market index against the US market index and increasing number of dual listed ADRs. The results indicate that the ADRs do capture the fluctuations of both the domestic and US markets but more importantly if the number of dual listed ADRs increases, the effect is a lowering of risk premium of the domestic market. 3 Fluctuating Returns of Dual Listings: Domestic and ADR Markets","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115806563","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":"Variation of Share Prices Due to Fundamental and Non-Fundamental Innovations","authors":"D. Allen, Wenling Yang","doi":"10.2139/ssrn.269652","DOIUrl":"https://doi.org/10.2139/ssrn.269652","url":null,"abstract":"This paper examines the deviation of Australian stock prices from their fundamentals by decomposing stock price into four fundamental components and one non-fundamental component in three multivariate-moving-average models. The four components of stock prices, earnings, dividends, interest rates and excess stock returns are identified by the restrictions imposed on a SimsBernanke variance decomposition. Overall our findings suggest that, the stock price variability is only partially explained by fundamental factors as earnings and dividends, the rest can be due to time-varying interests and future excess stock returns. This conclusion further confirms the refection of simple present value model in determining stock price on the base of results from a time series dynamic framework.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"388 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126740897","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":"Financial Innovation and Arbitrage in the Spanish Bond Market","authors":"A. Balbás, S. López","doi":"10.2139/ssrn.264575","DOIUrl":"https://doi.org/10.2139/ssrn.264575","url":null,"abstract":"This paper empirically tests the level of sequential arbitrage in the Spanish bond market. The test is implemented by drawing on default free and option free pure discount and coupon bonds issued by the Spanish government. This fact seems to be a clear distinction between this paper and the related empirical literature since there are no risky bonds or derivative securities involved in our analysis. As a consequence, the sequential arbitrage absence is just equivalent to the existence of a term structure of interest rates matching the whole set of bond prices as provided by The Bank of Spain. Thus, the main conclusions seem to be robust because they only depend on very general and simple hypotheses and, particularly, no dynamic assumptions are required. The results of the empirical analysis may be useful to traders and researchers since it seems to reveal the existence of sequential arbitrage. Furthermore, the number of arbitrage opportunities significantly increased in 1998, when important innovations were implemented and, amongst other new possibilities, agents began trading each whole bond and its coupons (strips) separately. The inexperience associated with financial innovations may lead to ine¢ciencies in the market.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131028866","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":"Leasing Decision, Banking Debt and Moral Hazard","authors":"Eric de Bodt, Marie-Christine Filareto, Frédéric Lobez","doi":"10.2139/ssrn.264593","DOIUrl":"https://doi.org/10.2139/ssrn.264593","url":null,"abstract":"This article proposes an explanation of the structures of external financing by analysing the consequences of a leasing decision for unsecured creditors. A leasing decision generates two effects: the appearance of an agency cost related to the retrogradation of the existing banking claims and a reduction in the agency cost of debt related to the asset substitution problem. In opposition to a lessor, the banking creditor bears the agency cost that it passes on to the firm and its shareholders by an increase in the debtor rate or stronger collateral. The presence of excessive agency costs can however lead the creditor to ration the firm, and consequently constrains firms in their choice of external financing. Therefore, we can expect to observe quite marked external financing policies. The empirical study carried out on a sample of 817 Belgian companies shows two results: the companies seem to privilege rather typified financing policies: weak or significant recourse to leasing. Few companies in the sample have balanced structures. In the same way, the amplitude of the agency costs of leasing is reflected in the interest rate and the amount of collateral required. * Professor, University of Lille 2, ESA. ESA, 1 P lace Deliot, BP 381, 59020 Lille Cedex. Tel. 03-20-90-74-77. Fax. 03 -20-90-77-02. Email : debodt@fin.ucl.ac.be ** Student, GERME and FLSE, Catholic University of Lille and LABORES (URA 362). FLSE, 60 Boulevard Vauban, BP 109, 59030 Lille Cedex. Tel. 03-20-13-40-37. Email : mc.filareto@flse.fupl.asso.f r *** Professor, University of Lille 2, ESA and Labores (URA (362)) . ESA, 1 P lace Deliot, BP 381, 59020 Lille Cedex. Tel. 03 -20-90-74-75. Fax. 03 -20-90-77-02. Email : lobez@hp-sc.univ-l i l le2 . f r.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124046762","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 Causality between Interest Rate, Exchange Rate and Stock Price in Emerging Markets: The Case of the Jakarta Stock Exchange","authors":"J. Gupta, A. Chevalier, Fran Sayekt","doi":"10.2139/ssrn.251253","DOIUrl":"https://doi.org/10.2139/ssrn.251253","url":null,"abstract":"AbstractThis paper examines the relationship between the interest rate, exchange rate and stock price in the Jakarta stock exchange. This was felt timely, as the Indonesian economy is under-going difficult times and there are numerous and conflicting reports on the effect of interest rate and exchange rate on the stock market price. The study was conducted for a five year period from 1993 to 1997 which was divided into three sub periods. Depending on the sub periods being considered, sporadic unidirectional causality from closing stock prices to interest rates and vice versa and weak unidirectional causality from exchange rate to stock price were found. The overall evidence, however, failed to establish any consistent causality relationships between any of the economic variables under study. Hence it seems that Jakarta market efficiently incorporated much of the interest rate and exchange rate information in its price changes at closing stock market index. These results can be used as a measure of stock market efficiency, however with caution, as there are many other dimensions that have to be studied before arriving at any definite conclusion about the efficiency.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125244133","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":"Detecting Falsified Financial Statements Using Multicriteria Analysis: The Case of Greece","authors":"Charalambos Spathis, M. Doumpos, C. Zopounidis","doi":"10.2139/ssrn.250413","DOIUrl":"https://doi.org/10.2139/ssrn.250413","url":null,"abstract":"This paper develops a model for detecting factors associated with falsified financial statements (FFS). A sample of 76 firms described over ten financial ratios is used for detecting factors associated with FFS. The identification of such factors is performed using a multicriteria decision aid classification method (UTADIS–UTilites Additives DIScriminantes). The developed model is accurate in classifying the total sample correctly. The results therefore demonstrate that the model is effective in detecting FFS and could be of assistance to auditors, to taxation, to Stock Exchange officials, to state authorities and regulators and to the banking system.","PeriodicalId":126917,"journal":{"name":"European Financial Management Association Meetings (EFMA) (Archive)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123923469","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}