EFA 2002 Submissions最新文献

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Effectiveness of Hedging Strategies Under Model Misspecification and Trading Restrictions 模型错配和交易限制下套期保值策略的有效性
EFA 2002 Submissions Pub Date : 2002-06-12 DOI: 10.2139/ssrn.302909
Antje Mahayni
{"title":"Effectiveness of Hedging Strategies Under Model Misspecification and Trading Restrictions","authors":"Antje Mahayni","doi":"10.2139/ssrn.302909","DOIUrl":"https://doi.org/10.2139/ssrn.302909","url":null,"abstract":"The following paper focuses on the incompleteness arising from model misspecification combined with trading restrictions. While asset price dynamics are assumed to be continuous time processes, the hedging of contingent claims occurs in discrete time. The trading strategies under consideration are understood to be self-financing with respect to an assumed model which may deviate from the \"true\" model, thus associating duplication costs with respect to a contingent claim to be hedged. Based on the robustness result of Gaussian hedging strategies, saying that a superhedge is achieved for convex payoff functions if the \"true\" asset price volatility is dominated by the assumed one, the error of time discretising these strategies is analysed. It turns out that the time discretisation of Gaussian hedges gives rise to a duplication bias caused by asset price trends, which can be avoided by discretising the hedging model instead of discretising the hedging strategies. Additionally, it is shown that on the one hand binomial strategies incorporate similar robustness features as Gaussian hedges. On the other hand, the distribution of the cost process associated with the binomial hedge coincides with the distribution of the cost process associated with the Gaussian hedge in the limit. Together, the last results yield a strong argument in favour of discretising the hedge model instead of time discretising the strategies.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"44 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114032645","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: 13
A Dynamic Model with Import Quota Constraints 具有进口配额约束的动态模型
EFA 2002 Submissions Pub Date : 2002-06-01 DOI: 10.2139/ssrn.300520
A. Pavlova, Suleyman Basak
{"title":"A Dynamic Model with Import Quota Constraints","authors":"A. Pavlova, Suleyman Basak","doi":"10.2139/ssrn.300520","DOIUrl":"https://doi.org/10.2139/ssrn.300520","url":null,"abstract":"This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as an integral constraint on the flow of imports of the protected commodity. In sharp contrast to the existing literature, our small open economy exhibits distinctly different economic behaviour depending on whether the country is importing the protected good, exporting it or refraining from trade in it. The domestic price of the protected good exceeds the world price in import and no-trade regions, even when the quota is underutilized - in contrast, existing work predicts no economic effects of a quota unless it is binding. Within a general equilibrium world economy consisting of one quota-constrained and one unconstrained country, under logarithmic preferences, the constrained country becomes wealthier at the expense of the unconstrained. Moreover, the stock price of the protected industry increases in the quota-constrained and decreases in the unconstrained country","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114807500","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
Portfolio Allocation Choices in Taxable and Tax-Deferred Accounts: An Empirical Analysis of Tax-Efficiency 应税账户和递延账户的投资组合配置选择:税收效率的实证分析
EFA 2002 Submissions Pub Date : 2002-05-21 DOI: 10.2139/ssrn.302824
Gene Amromin
{"title":"Portfolio Allocation Choices in Taxable and Tax-Deferred Accounts: An Empirical Analysis of Tax-Efficiency","authors":"Gene Amromin","doi":"10.2139/ssrn.302824","DOIUrl":"https://doi.org/10.2139/ssrn.302824","url":null,"abstract":"Tax efficiency is the dominant consideration in theoretical portfolio models that allow for both taxable and tax-deferred accounts. Yet, empirically observed portfolio allocations are not tax-efficient. I offer a model that is designed to bridge the existing gap and validate its predictions on household-level portfolio data from the Survey of Consumer Finances. The model explicitly incorporates both the uninsurable risk in labor income and accessibility restrictions that are an institutional feature of tax-deferred retirement accounts. Together, these elements create a tension between the desire to maintain tax-efficient allocations and one's concern over the need to make costly withdrawals from retirement accounts in the event of bad income draws. This leads some low-wealth households and households facing the highest penalties on withdrawals to forgo tax-efficient allocations in favor of allocations that provide more liquidity. The empirical results provide evidence that both the choice of a tax-inefficient portfolio and heterogeneity in portfolio allocations are related to the presence and severity of accessibility restrictions and precautionary motives.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131302589","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: 20
Does Risk or Mispricing Explain the Cross-Section of Stock Prices 风险或错误定价解释了股票价格的横截面吗
EFA 2002 Submissions Pub Date : 2002-05-16 DOI: 10.2139/ssrn.301782
Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho
{"title":"Does Risk or Mispricing Explain the Cross-Section of Stock Prices","authors":"Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho","doi":"10.2139/ssrn.301782","DOIUrl":"https://doi.org/10.2139/ssrn.301782","url":null,"abstract":"Most previous research evaluates market efficiency and asset pricing models using average abnormal trading profits on dynamic trading strategies. We measure the ability of the capital asset pricing model (CAPM) and the efficient-market hypothesis to explain the level of stock prices. First, we find that cash-flow betas (measured by regressing firms' earnings on the market's earnings) explain the prices of value and growth stocks well, with a plausible premium. Second, we use a present-value model to decompose the cross-sectional variance of firms' price-to-book ratios into two components due to risk-adjusted fundamental value and mispricing. When we allow the discount rates to vary as predicted by the CAPM, the variance share of mispricing is negligible.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121607324","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: 19
Mispricing in IPO Methods and the Predictive Ability of Investors' Interest for New Issues IPO方法中的错误定价与投资者对新股兴趣的预测能力
EFA 2002 Submissions Pub Date : 2002-04-01 DOI: 10.2139/ssrn.297055
S. Chahine
{"title":"Mispricing in IPO Methods and the Predictive Ability of Investors' Interest for New Issues","authors":"S. Chahine","doi":"10.2139/ssrn.297055","DOIUrl":"https://doi.org/10.2139/ssrn.297055","url":null,"abstract":"This paper investigates the relationship between underpricing and the investors' interest prior to and after the IPO day. The empirical study, conducted on 305 French issues, shows a first-day abnormal return of 17.13% and a significant mispricing over the three first trading days (a 3-day Cumulative Abnormal Return of 19.15%). Initial underpricing is positively related to the share demand-to-offer ratio in the pre-market period, and to trading volume (scaled by shares issued) in the aftermarket. Higher turnover for underpriced issues than overpriced issues, used as a proxy of divergence of opinion among investors, suggests that informed investors participate mainly in underpriced issues. Book-built issues have a lower underpricing, on median, but a higher variance level, than the auction-like and fixed-price offerings. Despite the high initial underpricing of some book-built issues, book-building procedure appears to better control the information gathering from investors participating in the offering, and to be a more efficient pricing system than the auction-like procedure.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129354005","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
Detecting a Stock Market Anomaly with a Classifier System 用分类器系统检测股票市场异常
EFA 2002 Submissions Pub Date : 2002-03-21 DOI: 10.2139/ssrn.302650
Hakan Aksoy, Ismail Saglam
{"title":"Detecting a Stock Market Anomaly with a Classifier System","authors":"Hakan Aksoy, Ismail Saglam","doi":"10.2139/ssrn.302650","DOIUrl":"https://doi.org/10.2139/ssrn.302650","url":null,"abstract":"This paper presents a classifier system to detect stock market anomalies. The classifier system groups the last 15 years' daily data of the ISE100 Index of the Istanbul Securities Exchange into classes of fixed size, and computes for every observation in each class the return over the succeding T days. Next, the average return in each class is calculated. Confidence intervals for average returns are constructed using bootstrap re-sampling method. It is observed that for an investment period of at least one year, average classified returns becomes positive at all levels of the ISE100 Index, strengthening the now well-known assertion that the ISE is not weak form efficient.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"132 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123923509","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
Bad Loans and Liquidation: The Case of Japan 不良贷款和清算:以日本为例
EFA 2002 Submissions Pub Date : 2002-03-16 DOI: 10.2139/ssrn.302327
T. Harr
{"title":"Bad Loans and Liquidation: The Case of Japan","authors":"T. Harr","doi":"10.2139/ssrn.302327","DOIUrl":"https://doi.org/10.2139/ssrn.302327","url":null,"abstract":"We study why Japanese banks have been reluctant to write off bad loans, and why authorities have postponed action. We argue that the combination of capital requirements and asymmetric information between banks and outsiders may have given banks incentives to roll over their bad loans. Furthermore, we show that if the market for collateral is illiquid, the single bank may be less willing to write off its bad loans when the number of banks suffering from bad loans is high. We argue that the government may have postponed action because of a short time horizon.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"270 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124368623","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: 2
Risk Aversion and Herd Behavior in Financial Markets 金融市场中的风险厌恶与羊群行为
EFA 2002 Submissions Pub Date : 2002-03-10 DOI: 10.2139/ssrn.301962
J. Décamps, S. Lovo
{"title":"Risk Aversion and Herd Behavior in Financial Markets","authors":"J. Décamps, S. Lovo","doi":"10.2139/ssrn.301962","DOIUrl":"https://doi.org/10.2139/ssrn.301962","url":null,"abstract":"We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that financial market prices do not converge to the asset's fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. These results are obtained without introducing multidimensional uncertainty.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133147021","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: 17
Who Knows What When? - the Information Content of Pre-Ipo Market Prices 谁知道什么时候?——上市前市场价格的信息含量
EFA 2002 Submissions Pub Date : 2002-03-01 DOI: 10.2139/ssrn.302279
G. Löffler, P. Panther, E. Theissen
{"title":"Who Knows What When? - the Information Content of Pre-Ipo Market Prices","authors":"G. Löffler, P. Panther, E. Theissen","doi":"10.2139/ssrn.302279","DOIUrl":"https://doi.org/10.2139/ssrn.302279","url":null,"abstract":"To resolve the IPO underpricing puzzle it is essential to analyze who knows what when during the issuing process. In Germany, broker-dealers make a market in IPOs during the subscription period. We examine these pre-issue prices and find that they are highly informative. They are closer to the first price that is subsequently established on the exchange than either the midpoint of the bookbuilding range or the offer price. We further document that pre-issue prices are unbiased estimates of the subsequent first exchange price. They explain a large part of the underpricing that cannot be explained by other variables. The results imply that information asymmetries are much lower than the observed variance of underpricing suggests, a finding that is relevant for judging the validity of underpricing theories.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"434 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115935153","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: 60
The Pricing of Interest Rate and Credit Risks in Equity Returns: An Empirical Cross-Country Comparison 股票收益中利率和信用风险的定价:一个实证的跨国比较
EFA 2002 Submissions Pub Date : 2002-03-01 DOI: 10.2139/ssrn.300223
Rajna Gibson, Anthony Chambet
{"title":"The Pricing of Interest Rate and Credit Risks in Equity Returns: An Empirical Cross-Country Comparison","authors":"Rajna Gibson, Anthony Chambet","doi":"10.2139/ssrn.300223","DOIUrl":"https://doi.org/10.2139/ssrn.300223","url":null,"abstract":"In this study, we examine whether changes in the investment opportunity set stemming from interest rate and credit risks are priced in the US, the UK and the Swiss equity premia by estimating both two-factor and three-factor versions of Merton's ICAPM. We also study the degree of dependence and causality between the domestic credit risk premia in order to assess the potential benefits of international diversification. We find only weak evidence of systematic interest rate risk pricing, while we observe that market and credit risks are both positively and significantly priced. Finally, we fail to observe strong relationships between the credit risk premia estimated on the three stock markets.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116245964","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
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