ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)最新文献

{"title":"The Cross-Section of Expected Returns on Penny Stocks: Are Low-Hanging Fruits Not-So Sweet?","authors":"A. Bhattacharyya, Abhijeet Chandra","doi":"10.2139/ssrn.2386949","DOIUrl":"https://doi.org/10.2139/ssrn.2386949","url":null,"abstract":"In this paper, we study the determinants of expected returns on the listed penny stocks from two perspectives. Traditionally financial economics literature has been devoted to study the macro and micro determinants of expected returns on stocks (Subrahmanyam, 2010). Very few research has been carried out on penny stocks (Liu, Rhee, & Zhang, 2011; Nofsinger & Verma, 2014). Our study is an effort to contribute more empirical evidence on penny stocks in the emerging market context. We see the return dynamics of penny stocks from corporate governance perspective. Issues such as shareholding patters are considered to be of much significance when it comes to understand the price movements. Using cross-sectional data on 167 penny stocks listed in the National Stock Exchange of India, we show that (i) Returns of portfolio of lower market-cap penny stocks are significantly different(higher) than that of higher market-cap penny stocks. (ii)Returns of portfolio lower P/E stocks are significantly different (higher) than that of higher P/E stocks. Similarly, returns of portfolio of lower P/B stocks are significantly different (higher) than that of higher P/B stocks, and returns of portfolio of lower priced penny stocks are significantly different(higher) than that of higher priced penny stocks. (iii) Trading volume differences due to alphabetism are insignificant. (iv)Differences in returns of portfolios based on beta and shareholding patterns are insignificant.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121942428","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":"A Geometric GARCH Framework for Covariance Dynamics","authors":"Chulwoo Han, F. Park","doi":"10.2139/ssrn.2827358","DOIUrl":"https://doi.org/10.2139/ssrn.2827358","url":null,"abstract":"This paper develops new multivariate GARCH models that respect intrinsic geometric properties of covariance matrix, and are physically meaningful. These models can be specified using either asset returns or realized covariances. New parameter estimation method and performance evaluation methods are also developed, and limitations of existing evaluation methods are addressed. Empirical results suggest that our models outperform existing models such as BEKK and DCC, and realized covariance based models outperform return based models. It turns out that the variation of covariance matrix can be identified by a few principal directions, implying potential for a parsimonious specification of covariance dynamics.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122122831","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 Transmission of US Monetary Policy Shocks into Open Financial Markets: High-frequency SVAR Approach","authors":"Jongrim Ha","doi":"10.2139/ssrn.2826058","DOIUrl":"https://doi.org/10.2139/ssrn.2826058","url":null,"abstract":"I investigate the international transmission of U.S. monetary policy shocks into open financial markets. Unlike earlier studies that impose arbitrary relationships on endogenous variables, I use the external instrument approach to identify the impact of U.S. and domestic monetary policy shocks in a structural VAR (SVAR) system. Utilizing the identified shocks for the local projection estimation, I further test non-linear features of such transmission. I find that foreign exchange rates respond to monetary shocks flexibly, i.e., without puzzles raised by earlier studies (e.g., delayed overshooting) and that the shocks strongly propagate into other types of open financial markets as well. I also confirm the significant transmission of domestic monetary shocks in open economies, but U.S. shocks appear to exhibit greater and more persistent influences over domestic asset prices than domestic shocks. Furthermore, the responses of international asset prices show cyclical-dependency and asymmetry in the propagation of U.S. monetary shocks and these findings are broadly consistent across all the open economies studied in this paper. These results imply that U.S. monetary announcements and subsequent reactions of U.S. asset prices play a critical role in international financial markets and this can substantially limit the domestic effects of central banks’ policy actions.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127337918","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":"Prices and Price Limits","authors":"Jonathan Brogaard, K. Roshak","doi":"10.2139/ssrn.2667104","DOIUrl":"https://doi.org/10.2139/ssrn.2667104","url":null,"abstract":"This paper studies the effects of price limits implemented by the Securities and Exchange Commission (SEC) after the May 2010 ‘Flash Crash.’ The security-level price limits halt trading after a security’s price experiences a sudden and large movement. The difference-in-difference design exploits the staggered introduction of the limits to address omitted variable concerns. The data show that price limits reduce the frequency and severity of extreme price movements, but induce price underreaction. The results are consistent with Subrahmanyam’s (1997) theory that price limits cause informed traders to be less aggressive.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123006965","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":"Gold, Platinum, and Expected Stock Returns","authors":"Darien Huang, Mete Kilic","doi":"10.2139/ssrn.2820252","DOIUrl":"https://doi.org/10.2139/ssrn.2820252","url":null,"abstract":"The ratio of gold to platinum prices (GP) reveals persistent variation in risk and proxies for an important economic state variable. GP predicts future stock returns in the time-series, explains stock return variation in the cross-section, and is significantly correlated with option-implied tail risk measures. Contrary to conventional wisdom, gold prices fall in recessions, albeit by less than platinum prices. A model featuring recursive preferences, time-varying tail risk, and preference shocks for gold and platinum can account for asset pricing dynamics of equity, gold, and platinum markets, rationalize the return predictability, and explain why gold prices fall in bad times.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130872239","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 Impact of Innovation: Evidence from Corporate Bond ETFs","authors":"Caitlin D. Dannhauser","doi":"10.2139/ssrn.2536418","DOIUrl":"https://doi.org/10.2139/ssrn.2536418","url":null,"abstract":"Using distinct features of corporate bond ETFs, financial innovation is found to have a significant and long-term positive valuation impact on the systemically important underlying. A one standard deviation increase in ETF ownership reduces high yield and investment grade bond spreads by 20.3 and 9.2 basis points, respectively, implying an average monthly price increase of 1.03 % and 0.75%. Two novel quasi-natural experiments exploit exogenous changes in ETF eligibility to confirm the effect. Examining theoretical explanations for the effect, ETFs are found to decrease liquidity trader participation, increase institutional ownership, and insignificantly or negatively impact the liquidity of individual bonds.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"147 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115682783","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 Pricing of Spot Options and Forward Start Options","authors":"Pascal Delanoë","doi":"10.2139/ssrn.2462793","DOIUrl":"https://doi.org/10.2139/ssrn.2462793","url":null,"abstract":"The idea of this paper is to present how we can use a specific form of local volatility, namely a forward start local vol, that has already been evoked in different sources, and use it in order to fit a specific Forward Start Smile. A local formula, i.e. a formula similar to a Dupire formula, is available for these models and will be used to fit the Forward Smile Market. These models are therefore particularly adapted for pricing Cliquet Products or generally Forward Starting Products with given frequencies. In particular, it is possible to fit different options like Vanilla options and Forward Start Options using them. We will also consider an extension of these models adapted for the pricing of lookback options.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"121 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127186092","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":"Price Dynamics and Consumption Smoothing in Experimental Asset Markets","authors":"Edward Halim, Yohanes E. Riyanto, Nilanjan Roy","doi":"10.2139/ssrn.2785476","DOIUrl":"https://doi.org/10.2139/ssrn.2785476","url":null,"abstract":"We report the results of an experiment designed to study the determinants of asset price movement and consumption smoothing behavior across asset markets populated with varying proportion of traders with and without having induced motive to smooth consumption. Although the asset is over-priced compared to the risk-neutral fundamental value in all sessions, the extent of over-pricing and magnitude of price movement is significantly higher when traders with no induced motive to trade are present. We also find that the price of the asset co-moves with the dividend state, with price predictability being higher in the presence of traders with induced motive to smooth consumption. Participants motivated to minimize consumption fluctuations are able to do so with the inclination being more for those having lower initial endowment. With fixed prices, traders are able to smooth consumption not only over periods but also over the dividend states.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132262213","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":"Short Sale, Margin Purchase, and Stock Price Crash Risk","authors":"Yan Luo, Jinjuan Ren","doi":"10.2139/ssrn.2725776","DOIUrl":"https://doi.org/10.2139/ssrn.2725776","url":null,"abstract":"We investigate the impact of short-sale and margin-purchase on stock price crash risk in the Chinese markets. China lifted bans on short-sale and margin-purchase for stocks on an expanding designated list since March 2010. Results of difference in different tests reveal that the removal of bans on short-sale and margin-purchase is followed by a reduction in stock price crash risk over the subsequent six months. Utilizing firm-level daily short-sale and margin-purchase turnover data, we find that short sales reduce future stock price crash risk whereas margin purchases add to the risk.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128805968","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":"Analysis of Non-Synchronous Trading Effects on the Pricing of Exchange Traded Products","authors":"Tarryn Valle","doi":"10.2139/SSRN.2712639","DOIUrl":"https://doi.org/10.2139/SSRN.2712639","url":null,"abstract":"Exchange Traded Products (ETPs) have become important members of the investment universe. They are praised by institutional and retail investors alike for their low cost, transparency and efficient pricing mechanisms. ETPs trade much like equity securities but with a unique creation and redemption mechanism which typically aligns quoted prices with the Net Asset Value (NAV) of the underlying securities. This dissertation examines a class of ETPs whose underlying reference basket consists of securities listed on stock exchanges operating in a time zone different to the time zone of the ETP instrument itself, and whose currencies of the underlying securities are different to the currency of the ETP instrument. The ETP instruments reviewed comprise of the iShares MSCI Country Series and are all listed on the New York Stock Exchange (NYSE).The ETPs are classified into three groups depending on the degree of overlap between the exchange operating times on which their underlying securities are traded and the exchange operating times of the NYSE. These groups are non-synchronous for no overlapping hours, partially synchronous for some overlapping hours and synchronous for overlapping hours.By assessing a measure of range-based volatility during 15-minute intraday intervals throughout the NYSE trading day, an understanding of the volatility profile of these ETPs is determined and analysed. It is found that non-synchronous ETPs do exhibit a higher relative level of volatility when compared to the partially synchronous group. Within the partially synchronous group, evidence of a regime-shift is observed during the period when the market of the underlying securities transitions from open to closed during the NYSE trading session. Another factor observed in the relative volatility profile is the impact of foreign exchange translation. ETPs with underlying securities priced in an emerging market currency show higher relative levels of range-based volatility. However, both emerging market and developed market denominated securities baskets exhibit relatively higher levels of volatility during the opening and closing periods of the US trading day.The results point to the need for caution and understanding of the underlying reference basket when transacting in these ETPs as investors may inadvertently transact at a price which does not reflect the fair-market value of the underlying securities basket due to price distortions as a result of volatility.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126656059","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}