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The Diminishing Impact of Monetary Policy on Asset Prices Around Non-FOMC Macroeconomic Announcements 货币政策对非fomc宏观经济公告前后资产价格影响的减弱
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-08-23 DOI: 10.2139/ssrn.3808178
Z. Alam
{"title":"The Diminishing Impact of Monetary Policy on Asset Prices Around Non-FOMC Macroeconomic Announcements","authors":"Z. Alam","doi":"10.2139/ssrn.3808178","DOIUrl":"https://doi.org/10.2139/ssrn.3808178","url":null,"abstract":"I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during periods of conventional and unconventional monetary policies, I show that non-FOMC announcements affect asset prices much less in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease on these announcements. These findings are described in an information framework. Taken together, the evidence suggests unconventional monetary policies deter market's ability to anticipate Fed actions, which has implications for its transmission to asset prices.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125780950","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
Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia 石油价格与股票价格的长期关联:以印尼为例
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-08-10 DOI: 10.32479/ijeep.10241
Venkata Sai Srinivasa Rao Muramalla, Hassan Alqahtani
{"title":"Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia","authors":"Venkata Sai Srinivasa Rao Muramalla, Hassan Alqahtani","doi":"10.32479/ijeep.10241","DOIUrl":"https://doi.org/10.32479/ijeep.10241","url":null,"abstract":"The study was aimed to investigate the long-run association of oil prices with the stock market index of Indonesia. The research consisted of crude oil prices as regressor, stock market index as regressand, GDP growth and inflation as control variables; and for these variables data were collected from 1990 to 2018. Meanwhile, for empirical investigation, ARDL and Granger Causality was applied to identify the long-run and short-run association of the oil crude oil prices with the stock market index in Indonesia. The findings of the study suggest that there is no long-run and short-run association of the crude oil prices with the stock index of Indonesia. However, a bi-directional association between the stock market and GDP growth but at 10%, the empirical study also suggested that GDP growth has unidirectional relation with inflation at 10%; whereas at 5% only stock market granger cause economic growth.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127240255","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
Fire Sale Risk and Expected Stock Returns 贱卖风险与预期股票收益
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-07-29 DOI: 10.2139/ssrn.3663567
G. Aragon, Min S. Kim
{"title":"Fire Sale Risk and Expected Stock Returns","authors":"G. Aragon, Min S. Kim","doi":"10.2139/ssrn.3663567","DOIUrl":"https://doi.org/10.2139/ssrn.3663567","url":null,"abstract":"We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience outflows during periods of systematic outflows from the fund industry. We find that more exposed stocks earn higher average returns: a portfolio that buys (shorts) stocks with the highest (lowest) exposure outperforms by 3-7% per annum. Our findings cannot be explained by several known determinants of average returns and are consistent with the ex-ante pricing of the risk of future fire sales. We conclude that stocks' exposures to risks inherited from the constraints of shareholders have important implications for stock prices.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"197 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123015090","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 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets? 2008年全球金融危机和新冠肺炎疫情:避险资产有多安全?
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-07-03 DOI: 10.2139/ssrn.3590015
Muhammad A. Cheema, R. Faff, Kenneth Szulczuk
{"title":"The 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets?","authors":"Muhammad A. Cheema, R. Faff, Kenneth Szulczuk","doi":"10.2139/ssrn.3590015","DOIUrl":"https://doi.org/10.2139/ssrn.3590015","url":null,"abstract":"This paper compares the performance of safe haven assets during two stressful stock market regimes – the 2008 Global Financial Crisis (GFC) and COVID-19 pandemic. Our analysis across the ten largest economies in the world shows that the traditional choice, gold, acts as a safe haven during the GFC but fails to protect investor wealth during COVID. Our results suggest that investors might have lost trust in gold. Furthermore, silver does not serve as a safe haven during either crisis. The Swiss Franc serves as a strong safe haven during both crises; whereas, the US dollar acts more effective as a safe haven during the GFC than in COVID. The US Treasuries maintain its safe havens status during both crises even though the US has the highest death toll and infection rates of COVID in the world. The largest cryptocurrency, Bitcoin appears as a speculative asset and presents more systematic risk than investment in the stock markets during COVID. Finally, the largest stablecoin, Tether emerges as an effective global safe haven across the sample countries during COVID. Thus, our results suggest that, during a pandemic, investors should prefer liquid and stable assets rather than gold.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130660229","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: 18
Asset Pricing with a CEO 首席执行官的资产定价
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-06-29 DOI: 10.2139/ssrn.3674022
P. Ehling, A. Graniero, Patrick Konermann
{"title":"Asset Pricing with a CEO","authors":"P. Ehling, A. Graniero, Patrick Konermann","doi":"10.2139/ssrn.3674022","DOIUrl":"https://doi.org/10.2139/ssrn.3674022","url":null,"abstract":"We study an economy with a CEO who trades off the incentive to divert funds, which leads to underinvestment, against the incentive to overinvest based on his optimism. In equilibrium, we see overinvestment relative to what the shareholder or a social planner would implement but underinvestment relative to what the optimistic CEO would implement if there were no feedback between real investment and asset prices. For large wealth shares, the CEO's welfare is higher under a social planner where no funds can be diverted. For small wealth shares, overinvestment peaks and the real short-rate and Tobin's q decline.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121185995","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
The Value of Design in Real Estate Asset Pricing 设计在房地产资产定价中的价值
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-04-21 DOI: 10.2139/ssrn.3582530
H. Rong, Juncheng Yang, Minkoo Kang, Andrea M. Chegut
{"title":"The Value of Design in Real Estate Asset Pricing","authors":"H. Rong, Juncheng Yang, Minkoo Kang, Andrea M. Chegut","doi":"10.2139/ssrn.3582530","DOIUrl":"https://doi.org/10.2139/ssrn.3582530","url":null,"abstract":"Does design contribute to real estate value? Practicing architects require evidence to justify both functional and aesthetic building needs within the financial ecosystem. Some buildings that become real estate assets are valued using models that consider some proxies for understanding value, but these features are abstract and may misidentify the sub-optimal differentiation that design brings. The lack of feedback between real estate valuation and building design often leads to poor design and economic outcomes. To address this miscommunication, we investigate the transaction price performance of four external architectural form features—diagonality, curvature, setbacks and podiums. Whilst controlling for drivers that are known to explain transaction price variation, we find that diagonality and podiums have a positive pricing differential of 12.4 and 9.7% more than rectilinear control buildings, respectively. Buildings with setbacks have a negative pricing differential of 10%. Furthermore, these results are also consistent for rental valuation. Results suggest that there is a significant economic impact of some architectural form interventions that differentiate commercial buildings and contribute to the role of form in design, planning and commercial real estate.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125265843","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
Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework 多收益率曲线市场的机器学习:高斯仿射框架下的快速校准
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-04-16 DOI: 10.2139/ssrn.3578604
Sandrine Gümbel, Thorsten Schmidt
{"title":"Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework","authors":"Sandrine Gümbel, Thorsten Schmidt","doi":"10.2139/ssrn.3578604","DOIUrl":"https://doi.org/10.2139/ssrn.3578604","url":null,"abstract":"Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt to study the chances and challenges of the application of machine learning techniques for this. We employ Gaussian process regression, a machine learning methodology having many similarities with extended Kálmán filtering, which has been applied many times to interest rate markets and term structure models. We find very good results for the single-curve markets and many challenges for the multi-curve markets in a Vasiček framework. The Gaussian process regression is implemented with the Adam optimizer and the non-linear conjugate gradient method, where the latter performs best. We also point towards future research.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121658403","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
From Local to Global: Offshoring and Asset Prices 从本地到全球:离岸外包和资产价格
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-03-23 DOI: 10.2139/ssrn.3268123
Lorenzo Bretscher
{"title":"From Local to Global: Offshoring and Asset Prices","authors":"Lorenzo Bretscher","doi":"10.2139/ssrn.3268123","DOIUrl":"https://doi.org/10.2139/ssrn.3268123","url":null,"abstract":"Industries differ in the extent to which they can offshore their production. I document that industries with low offshoring potential carry a sizeable risk premium compared with industries with high offshoring potential, suggesting that the possibility to offshore affects industry risk. A two-country dynamic trade model in which offshoring allows firms to secure market share against foreign competitors can rationalize the empirical findings. This paper was accepted by Gustavo Manso, finance.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124550968","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: 6
Fund Manager Skill in an Era of Globalization: Offshore Concentration and Fund Performance 全球化时代的基金经理技能:离岸集中与基金业绩
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-02-25 DOI: 10.2139/ssrn.3544394
John (Jianqiu) Bai, Yuehua Tang, Chi Wan, H. Yuksel
{"title":"Fund Manager Skill in an Era of Globalization: Offshore Concentration and Fund Performance","authors":"John (Jianqiu) Bai, Yuehua Tang, Chi Wan, H. Yuksel","doi":"10.2139/ssrn.3544394","DOIUrl":"https://doi.org/10.2139/ssrn.3544394","url":null,"abstract":"We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a new measure that captures a mutual fund’s offshore exposure concentration through holding U.S. multinational firms. The proposed offshore concentration index (OCI) is distinct from existing measures of investment skills. More importantly, funds with a higher offshore concentration index are associated with significantly better fund performance, with the difference in four-factor alpha between the top and bottom OCI deciles amounting to 2.95% per annum. Fund managers’ overweighing of firms with operations in certain countries can be partly attributed to their foreign ethnicity. Our study uncovers an important source of fund manager skill, which is of particular importance in an era of globalization.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121460028","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
High-dimensional Statistical Learning Techniques for Time-varying Limit Order Book Networks 时变极限序书网络的高维统计学习技术
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3702349
Shi Chen, W. Härdle, M. Schienle
{"title":"High-dimensional Statistical Learning Techniques for Time-varying Limit Order Book Networks","authors":"Shi Chen, W. Härdle, M. Schienle","doi":"10.2139/ssrn.3702349","DOIUrl":"https://doi.org/10.2139/ssrn.3702349","url":null,"abstract":"This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit order books (LOB) and quantify their impacts on the size and structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price effects even in small portfolios, we require high-dimensional statistical learning methods with an integrated general bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123018012","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
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