Asian Finance Association (AsianFA) 2013 Conference (Archive)最新文献

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Information Uncertainty and the Pricing of Liquidity 信息不确定性与流动性定价
Asian Finance Association (AsianFA) 2013 Conference (Archive) Pub Date : 2019-08-01 DOI: 10.2139/ssrn.2197648
W. Kang, Nan Li, Huiping Zhang
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引用次数: 6
Realized Skewness at High Frequency and the Link to a Conditional Market Premium 实现高频偏度与有条件市场溢价的联系
Asian Finance Association (AsianFA) 2013 Conference (Archive) Pub Date : 2014-04-26 DOI: 10.2139/ssrn.2224216
Zhi Liu, Kent Wang, Junwei Liu
{"title":"Realized Skewness at High Frequency and the Link to a Conditional Market Premium","authors":"Zhi Liu, Kent Wang, Junwei Liu","doi":"10.2139/ssrn.2224216","DOIUrl":"https://doi.org/10.2139/ssrn.2224216","url":null,"abstract":"We propose a reliable new estimator for realized skewness which is robust to microstructure noise at ultra-high frequency level. Asymptotic theory for the new estimator has been de- rived. Simulation example veries its superior performance. We apply the new estimator to tick data of the S&P 500 index for forecasting equity premium in the U.S. market from 1990-2011 and nd that it has signicant forecast-ability both in-sample and out-of-sample. We also show that the new skewness measure plus the variance risk premium provides right decomposition for the skewness risk. We thus provide evidence that realized skewness links to conditional market premium.","PeriodicalId":131174,"journal":{"name":"Asian Finance Association (AsianFA) 2013 Conference (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130558895","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: 5
What Does Investor Sentiment Reflect: Animal Spirits or Risks? 投资者情绪反映了什么:动物精神还是风险?
Asian Finance Association (AsianFA) 2013 Conference (Archive) Pub Date : 2013-06-01 DOI: 10.2139/ssrn.2177181
S. Sohn
{"title":"What Does Investor Sentiment Reflect: Animal Spirits or Risks?","authors":"S. Sohn","doi":"10.2139/ssrn.2177181","DOIUrl":"https://doi.org/10.2139/ssrn.2177181","url":null,"abstract":"The role of investor sentiment in the stock market has attracted attentions of many economists. Previous papers show that investor sentiment has return predictability and it is more pronounced among stocks that are more difficult to value and/or to arbitrage, and emphasize the behavioral role of investor sentiment. However, it still remains unclear whether this predictability is actually due to a causal effect of autonomous animal spirits or not. Alternatively, investor sentiment may simply reflect systematic risks, which would affect stock returns. In this alternative case, the predictability would be mere coincidence, not causation. In this paper, I try to understand the meaning of innovations in investor sentiment. I use the investor sentiment index constructed by Baker and Wurgler (2006). I set up a structural model in which sentiment innovations arise from both animal spirit shocks and several risk shocks, and animal spirit shocks could affect stock returns. By matching impulse response functions from data simulated by the theoretical model to those from the actual US data, I estimate parameters in the model. The estimated model moderately replicates the historical data in the actual stock market. The estimation results show that a substantial amount of variation in investor sentiment is explained by systematic risk shocks as well as by animal spirit shocks, and that animal spirit shocks can have significant effects on stock returns. The findings suggest that investor sentiment is a noisy proxy of animal spirits and autonomous animal spirits are at least in part responsible for the apparent return predictability of investor sentiment.","PeriodicalId":131174,"journal":{"name":"Asian Finance Association (AsianFA) 2013 Conference (Archive)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115764241","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 Differential Impact of the Bank-Firm Relationship on IPO Underpricing: Evidence from China 银企关系对IPO抑价的差异影响:来自中国的证据
Asian Finance Association (AsianFA) 2013 Conference (Archive) Pub Date : 2013-01-25 DOI: 10.2139/ssrn.2206871
Xiangchao Hao, Jing Shi, Jian Yang
{"title":"The Differential Impact of the Bank-Firm Relationship on IPO Underpricing: Evidence from China","authors":"Xiangchao Hao, Jing Shi, Jian Yang","doi":"10.2139/ssrn.2206871","DOIUrl":"https://doi.org/10.2139/ssrn.2206871","url":null,"abstract":"This study investigates the impact of the bank–firm relationship on IPO underpricing in China, an emerging economy with a bank-dominated financial system. Utilizing a hand-collected loan data for 902 Chinese IPO firms from 2004 to 2011, we document that the bank–firm relationship reduces the degree of IPO underpricing. Both the lender's and the borrower's firm characteristics affect the signal quality of the bank–firm relationship, resulting in differential impacts on IPO underpricing. The relationship between firms and banks with high credit quality or the relationship between politically unconnected firms and banks has a more positive impact on mitigating IPO underpricing.","PeriodicalId":131174,"journal":{"name":"Asian Finance Association (AsianFA) 2013 Conference (Archive)","volume":"19 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132870668","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: 22
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