Frontiers in Finance & Economics最新文献_第2页

Are Weather Induced Moods Priced in Global Equity Markets? 天气影响的情绪是否反映在全球股市中?

Frontiers in Finance & Economics Pub Date : 2005-09-01 DOI: 10.2139/ssrn.805944

M. Dowling, B. Lucey

引用次数: 5

Valuing Defaultable Bonds: An Excursion Time Approach 评估违约债券:一种偏移时间方法

Frontiers in Finance & Economics Pub Date : 2005-09-01 DOI: 10.2139/ssrn.858944

M. Nardon

引用次数: 3

Forward-Looking Estimation of Default Probabilities with Italian Data 意大利数据对违约概率的前瞻性估计

Frontiers in Finance & Economics Pub Date : 2005-04-01 DOI: 10.2139/ssrn.715921

G. Marotta, C. Pederzoli, C. Torricelli

引用次数: 12

The Evolving Relationship between Gold and Silver 1978-2002: Evidence from a Dynamic Cointegration Analysis: A Note 1978-2002年黄金与白银的演化关系:来自动态协整分析的证据

Frontiers in Finance & Economics Pub Date : 2005-01-01 DOI: 10.2139/ssrn.739646

Edel Tully, B. Lucey

引用次数: 6

Portfolio Rules for Conditional Stochastic Dominance: Applications to the Elliptical Distributions 条件随机优势的组合规则:在椭圆分布中的应用

Frontiers in Finance & Economics Pub Date : 2004-11-01 DOI: 10.2139/ssrn.899599

Ephraim Clark, Octave Jokung

引用次数: 0

Determinants of Financial Insolvency Costs: New Evidence from International Data 金融破产成本的决定因素:来自国际数据的新证据

Frontiers in Finance & Economics Pub Date : 2004-03-01 DOI: 10.2139/ssrn.528082

Julio Pindado, Luis Fernandes Rodrigues, Chabela de la Torre

引用次数: 2

Daily Seasonality in Lme Base Metal Returns 1989-2002: A Robust Analysis 1989-2002年Lme贱金属收益的每日季节性:一个稳健分析

Frontiers in Finance & Economics Pub Date : 2003-02-13 DOI: 10.2139/ssrn.368301

B. Lucey

{"title":"Daily Seasonality in Lme Base Metal Returns 1989-2002: A Robust Analysis","authors":"B. Lucey","doi":"10.2139/ssrn.368301","DOIUrl":"https://doi.org/10.2139/ssrn.368301","url":null,"abstract":"The existence of daily seasonal patterns in the returns to 5 base metals traded on the London Metal Exchange (Aluminium, Copper, Zinc, Lead and Nickel) is examined, using robust methods, over the 1989-2002 period. The paper begins by examining the extent of daily seasonality in asset returns, the majority of papers on this area dealing with equities. However, there is some evidence of daily seasonality in areas other than corporate liabilities, particularly in gold. No papers have to date been published that have examined the issue in base metals. The paper then describes the operations of the London Metal Exchange, the exchange on which the metal contracts analysed here are traded. The data are cash market data on a daily frequency from January 1989 to the end of August 2002. The paper then proceeds to discuss methodological issues, pointing out the need to adjust for large sample sizes and for the distributional characteristics of the data prior to making any inferences regarding the existence or otherwise of seasonality. The roles of resampling methods, robust regressions (Least Trimmed of Squares, M-Class Estimators and Least Absolute Deviation Regression) are also discussed, as are non-parametric methods. The results indicate that daily seasonality does appear to exist in the metal markets, particularly important days being Monday and Thursday. Monday is the lowest return of the week and also negative, with Thursday being the highest (Friday being the second highest). Thus the metal market appears to show the stereotypical pattern of daily seasonality that was commonly described in the literature on the equity markets.","PeriodicalId":149679,"journal":{"name":"Frontiers in Finance & Economics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2003-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123021852","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: 3

Duration and Bond Return Approximation: The Quasi-Convexity Effect 期限与债券收益近似:准凸性效应

Frontiers in Finance & Economics Pub Date : 2001-07-29 DOI: 10.2139/ssrn.1429763

Winfried Hallerbach

引用次数: 0

The Structural Changes in the Ff Three-Factor Model and its Robustness in the Bear-Bull Market Periods Ff三因素模型在熊市-牛市时期的结构变化及其稳健性

Frontiers in Finance & Economics Pub Date : 1900-01-01 DOI: 10.2139/ssrn.850307

Edward R. Lawrence, Gordon V. Karels, Suchi Mishra, A. Prakash

{"title":"The Structural Changes in the Ff Three-Factor Model and its Robustness in the Bear-Bull Market Periods","authors":"Edward R. Lawrence, Gordon V. Karels, Suchi Mishra, A. Prakash","doi":"10.2139/ssrn.850307","DOIUrl":"https://doi.org/10.2139/ssrn.850307","url":null,"abstract":"We examine the robustness of the Fama-French three-factor model in several bear and bull market periods. Data on bull and bear market periods are from the website of Global Financial Data. The data on the monthly returns of the 25 Fama French portfolios and the explanatory variablesmR, SMB, and HML are taken from the website of Dr. Kenneth French. We test for the significance of the individual regression parameters as well as for the equality of the coefficient vectors in each of the adjacent bear-bull periods. To make sure that our tests are not influenced by heteroskadisticity we use Toyoda's test to test the equality of the coefficient vectors in each of the adjacent bull-bear periods. We find that the model performs equally well in both bear and bull periods. In comparison to earlier bull-bear periods, however, the coefficient of determination decreases significantly in later periods. Furthermore, using cumulative sum of squares of recursive residuals and log likelihood ratio techniques, we find a structural change in the model in the year 2000. We use the Welch test to identify which regression parameters induce this structural change. We find that all the coefficients associated with explanatory variables undergo significant changes; however, the constant term remains insignificant. We conclude that the parameters of the Fama-French three-factor model are generally not influenced by bear and bull market conditions. This finding may make the FF three-factor model more usefulthe prediction of future bull-bear market period may become redundant in estimating the risk premium. The regime change in the FF three-factor model in the year 2000 indicates that one should use post-1999 data to compute the parameters of the FF three-factor model to estimate the risk premium.","PeriodicalId":149679,"journal":{"name":"Frontiers in Finance & Economics","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133277285","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