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Disappointment, Pessimism and the Equity Risk Premia 失望、悲观与股票风险溢价
EFA 2002 Submissions Pub Date : 2002-03-01 DOI: 10.2139/ssrn.302930
T. Chauveau, N. Nalpas
{"title":"Disappointment, Pessimism and the Equity Risk Premia","authors":"T. Chauveau, N. Nalpas","doi":"10.2139/ssrn.302930","DOIUrl":"https://doi.org/10.2139/ssrn.302930","url":null,"abstract":"We analyze the implications of the introduction of disappointment averse agents on the financial markets. The underlying intuition is that agents take account for the potential disappointment of their decisions, in particular when they invest on the stock market. After having defined the concepts of disappointment aversion, we show that in our framework a disappointment averse agent is pessimistic. We then explore the consequences of disappointment aversion and pessimism on the CAPM and the C-CAPM. We finally study a Lucas asset pricing model that is standard, except that the representative agent is supposed to be disappointment averse. Using a constant marginal utility function, we show that the model can account for both large equity risk premia and low risk-free rates. It may so be viewed as a solution to the equity premium puzzle","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"29 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":"115020593","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
IPO Decisions and the Costs of Going Public IPO决策与上市成本
EFA 2002 Submissions Pub Date : 2002-02-28 DOI: 10.2139/ssrn.302331
Kojo Menyah, K. Paudyal
{"title":"IPO Decisions and the Costs of Going Public","authors":"Kojo Menyah, K. Paudyal","doi":"10.2139/ssrn.302331","DOIUrl":"https://doi.org/10.2139/ssrn.302331","url":null,"abstract":"This paper analyses how the major decisions made by issuers affect the costs of an initial public offer. The results show that using reputed underwriters to raise a large amount of money with a low sterling price per share and a large placing component reduces direct issue costs. Issues that use reputed underwriters to raise a large amount of money by selling a high proportion of equity have higher indirect issue costs. In general, total issue costs increase in the proportion of shares sold but decrease with the quality of the sponsor, the amount raised, the price per share and the use of a placing.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123828546","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: 7
The Price of Inflation and Foreign Exchange Risk in International Equity Markets 国际股票市场的通货膨胀价格与外汇风险
EFA 2002 Submissions Pub Date : 2002-02-26 DOI: 10.2139/ssrn.292612
Cesare Robotti
{"title":"The Price of Inflation and Foreign Exchange Risk in International Equity Markets","authors":"Cesare Robotti","doi":"10.2139/ssrn.292612","DOIUrl":"https://doi.org/10.2139/ssrn.292612","url":null,"abstract":"In this paper the author formulates and tests an international intertemporal capital asset pricing model in the presence of deviations from purchasing power parity (II-CAPM [PPP]). He finds evidence in favor of at least mild segmentation of international equity markets in which only global market risk appears to be priced. When using the Hansen & Jagannathan (1991, 1997) variance bounds and distance measures as testing devices, the author finds that, while all international asset pricing models are formally rejected by the data, their pricing implications are substantially different. The superior performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129988908","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
Optimal Financial Design of Privatization Under Incomplete Information and Bankruptcy Risk 不完全信息和破产风险下私有化的最优财务设计
EFA 2002 Submissions Pub Date : 2002-02-22 DOI: 10.2139/ssrn.301562
S. Banerji, V. Errunza
{"title":"Optimal Financial Design of Privatization Under Incomplete Information and Bankruptcy Risk","authors":"S. Banerji, V. Errunza","doi":"10.2139/ssrn.301562","DOIUrl":"https://doi.org/10.2139/ssrn.301562","url":null,"abstract":"This paper studies privatization under moral hazard and adverse selection. We show that under the presence of moral hazard, the optimal financial package of privatization consists of selling 100 per cent equity together with a subsidy on the observed cash flow. Price of the equity reflects the costs of the subsidy. However, in the presence of both moral hazard and adverse selection, the optimal policy consists of a dual method of privatization in which the government offers simultaneously a sale of 100 per cent equity with a subsidy and a higher price with another option where the investor pays a smaller price and buys less than 100 per cent equity without subsidy. The more efficient investors opt for the first method while the less efficient investors prefer the second. The dual privatization method screens investors and provides them with maximum incentives to invest while minimizing the risk of bankruptcy in the post-privatization era. Hence, this paper suggests that while concentrated ownership is optimal for an efficient firm, the less efficient firm should be entitled to less than 100 per cent ownership in the presence of asymmetric information.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114564044","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
Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks 重叠市场中的分割指令:交叉上市股票的研究
EFA 2002 Submissions Pub Date : 2002-02-22 DOI: 10.2139/ssrn.286986
A. Menkveld
{"title":"Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks","authors":"A. Menkveld","doi":"10.2139/ssrn.286986","DOIUrl":"https://doi.org/10.2139/ssrn.286986","url":null,"abstract":"Securities are increasingly traded through multiple venues. Chowdhry and Nanda (1991) show that sophisticated investors benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours do not perfectly overlap, we can test for order-splitting by studying trading in the overlap vis­a-vis the non-overlap. We consider trading in NYSE- listed British and Dutch stocks an ideal experiment and tailor the model to this setting. We then extend it by allowing sophisticated investors to time their trades as in Admati and Pfleiderer (1988). We document increased volatility, increased volume, and unchanged market depth for the overlap, consistent with our predictions. Order-splitting is further evidenced through positive correlation in order imbalance across markets, controlling for arbitrage trades, synchronous information arrival, and microstructure effects","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130795972","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: 55
European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market 欧洲金融市场一体化:单一欧元区零售银行市场出现的证据
EFA 2002 Submissions Pub Date : 2002-02-21 DOI: 10.2139/ssrn.300098
H. Sander, S. Kleimeier
{"title":"European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market","authors":"H. Sander, S. Kleimeier","doi":"10.2139/ssrn.300098","DOIUrl":"https://doi.org/10.2139/ssrn.300098","url":null,"abstract":"This study provides new evidence on the emergence of a single Eurozone retail banking market. Applying cointegration methodology, the empirical results indicate only limited evidence for integration before January 1, 1999. The introduction of the Euro manifests itself in structural breaks after which evidence for an emerging uniform Eurozone banking market is increasing. After investigating the interest pass-through we conclude that the single currency has the potential to \"complete\" the single market, however, not so much in the sense of cross-border arbitrage, but by means of a smooth and uniform pass-through process in the presence of a single monetary policy.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"175 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125996931","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: 32
A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs 考虑一般交易成本的实际汇率动态均衡模型
EFA 2002 Submissions Pub Date : 2002-02-20 DOI: 10.2139/ssrn.301291
G. Goswami, Liuren Wu, Milind M. Shrikhande
{"title":"A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs","authors":"G. Goswami, Liuren Wu, Milind M. Shrikhande","doi":"10.2139/ssrn.301291","DOIUrl":"https://doi.org/10.2139/ssrn.301291","url":null,"abstract":"We study the behavior of real exchange rates in a two­country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the rebalancing of the capital stock can only happen finitely often. We propose a realistic cost structure for goods transportation, wherein the total cost increases with the amount of shipment but the unit cost decreases with it due to economies of scale. Given such a cost structure, the optimal decisions on when and how much to transfer need to be determined jointly. The dual decision depends upon the magnitude of economies of scale, the production technology specifications, and the consumer preferences. The model can reconcile the observed large short­term volatility of the real exchange rate with its slow convergence to parity. Further, the drift and diffusion of the real exchange rate are not uniquely determined by the real exchange rate level. The dynamics of the real exchange rate can only be determined by a joint analysis of the real exchange rate and the underlying economic fundamentals such as the capital stock imbalance between the two countries.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125177723","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
Underpricing of Ipos and the Certification Role of Venture Capitalists: Evidence from Germany's Neuer Markt ipo定价过低与风险资本家的认证作用:来自德国新市场的证据
EFA 2002 Submissions Pub Date : 2002-02-17 DOI: 10.2139/ssrn.301431
T. Kraus
{"title":"Underpricing of Ipos and the Certification Role of Venture Capitalists: Evidence from Germany's Neuer Markt","authors":"T. Kraus","doi":"10.2139/ssrn.301431","DOIUrl":"https://doi.org/10.2139/ssrn.301431","url":null,"abstract":"This paper analyses the underpricing of IPOs and the role of venture capitalists in solving the underpricing problem for a data set of 124 venture capital backed and 184 non-venture capital backed companies that went public on Germany's Neuer Markt between March 1997 and May 2001. The slightly mitigated underpricing of venture capital backed IPOs becomes insignificant after controlling for ex-ante uncertainty and underwriter reputation with an interactive dummy variable approach. The two groups of companies do not differ either with respect to their risk characteristics or with respect to the reputation of the underwriter. However, venture capital backed companies that are underwritten by top banks seem to be underpriced more than their non-Venture Capital backed counterparts. Similarly, the impact of a similar level of ex-ante uncertainty on underpricing appears to be much weaker for venture capital backed IPOs. Therefore, this study provides evidence for different investor-perceptions of venture capital backed companies and supports a competitive rather than complementary interaction of venture capitalists and underwriters.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114084451","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: 12
A Fundamentally Different Interpretation of the Relation between Implied and Realized Volatility 隐含波动率和实际波动率关系的根本不同解释
EFA 2002 Submissions Pub Date : 2002-02-15 DOI: 10.2139/ssrn.301832
F. Bandi, B. Perron
{"title":"A Fundamentally Different Interpretation of the Relation between Implied and Realized Volatility","authors":"F. Bandi, B. Perron","doi":"10.2139/ssrn.301832","DOIUrl":"https://doi.org/10.2139/ssrn.301832","url":null,"abstract":"We argue that the persistence properties of financial market volatility need to be taken into account when carrying out inference about volatility measures, for example when assessing the relation between realized and implied volatility series. If these volatility measures display long memory, as often argued in recent work, then the conventional predictive regression between implied volatility (regressor) and realized volatility over the remaining life of the option (regressand) appears to be a (fractional) cointegrating relation. Since cointegration is associated with long-run comovements, this finding modifies the usual interpretation of such regression as a study towards assessing option market efficiency (based on a certain option pricing model) and/or short-term unbiasedness of implied volatility as a predictor of realized volatility. In this paper we use spectral methods and exploit the potential long memory in the data to design an econometric methodology which is robust to the various issues that the literature on the relation between implied and realized volatility has proposed as plausible explanations (measurement errors and presence of an unobservable time-varying risk premium, for instance) for an estimated slope coefficient less than one, implying biasedness, in the standard predictive regression. Our evidence in favor of long-run unbiasedness is rather strong. Little can be said about market efficiency and/or short-term unbiasedness which were the objects of the previous studies.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129475170","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
The Determinants of Corporate Liquidity in the Netherlands 荷兰公司流动性的决定因素
EFA 2002 Submissions Pub Date : 2002-02-14 DOI: 10.2139/ssrn.300698
Allard Bruinshoofd, C. Kool
{"title":"The Determinants of Corporate Liquidity in the Netherlands","authors":"Allard Bruinshoofd, C. Kool","doi":"10.2139/ssrn.300698","DOIUrl":"https://doi.org/10.2139/ssrn.300698","url":null,"abstract":"We investigate the driving forces of corporate liquidity for a balanced panel of large Dutch non-financial firms during the period 1986-1997 using an error-correction framework. This framework allows a crucial distinction between short-run and long-run determinants of corporate liquidity. We conclude from our empirical estimates that long-run corporate liquidity targets exist and are based on a small number of firm characteristics. In the short run liquidity responds passively to exogenous shocks. The latter phenomenon is consistent both with buffer stock behaviour and pecking order theory. Passive liquidity behaviour does not extend to the long run, however. On average eighty percent of deviations from target is eliminated within one year. Overall, we conclude that the corporate liquidity ratio is an actively managed financial ratio and does not passively adjust to financial decisions taken elsewhere in the firm. Based on long run evidence, a pecking order theory of corporate liquidity holdings must be rejected.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116156811","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: 33
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