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The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity 在高和低市场活动时期的非流动性股票交易的价格影响
EFA 2002 Submissions Pub Date : 2002-02-01 DOI: 10.2139/ssrn.302598
T. Nijman, A. van Soest, L. Spierdijk
{"title":"The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity","authors":"T. Nijman, A. van Soest, L. Spierdijk","doi":"10.2139/ssrn.302598","DOIUrl":"https://doi.org/10.2139/ssrn.302598","url":null,"abstract":"Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a trade and its relation to the trading intensity.While the price impact curve for frequently traded stocks monotonically increases towards the full information price, we find impulse response functions that first 'over-shoot' and subsequently decrease towards the full information price.The overshooting effect strongly depends upon the bid-ask spread and the trading intensity, which can be explained by inventory imbalances and asymmetric information of informed and uninformed traders.Furthermore, we show that the difference in price impact between periods of slow and fast trading is much larger for illiquid stocks than for frequently traded stocks.We model the overnight behavior of the trading intensity and returns and show that information contained in the trading intensity of illiquid stocks is carried over to the next day.Additionally, we show that, for infrequently traded stocks, it may take several days before the full information price that follows a trade is attained, even in periods of relatively high market activity.Moreover, the adjustment time crucially depends upon the bid-ask spread and the trading intensity.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129211491","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: 11
On the Relevance and the Irrelevance of Personal Income Taxes for the Valuation of Equity Investments 论个人所得税对股权投资估值的相关性与不相关性
EFA 2002 Submissions Pub Date : 2002-01-20 DOI: 10.2139/ssrn.298799
F. Richter
{"title":"On the Relevance and the Irrelevance of Personal Income Taxes for the Valuation of Equity Investments","authors":"F. Richter","doi":"10.2139/ssrn.298799","DOIUrl":"https://doi.org/10.2139/ssrn.298799","url":null,"abstract":"This paper presents a comprehensive and consistent valuation approach including investor taxes (personal taxes) in addition to corporate taxes. It is shown that personal taxes do not influence the valuation result as long as the expected rate of return of an alternative investment opportunity is used as a discount rate, which is comparable in all relevant dimensions. These dimensions are the growth rates of expected cash flows, the risk associated with this growth profile, and the taxation of these cash flows relative to the taxation of potential capital gains. If, however, the alternative investment opportunity is taxed differently, e.g., by means of different tax rates to be applied or different treatment of capital gains, personal taxes become relevant. The valuation approach then has to account for the relative difference in taxation. It is shown how to modify unlevered cost of equity, cost of debt, and the weighted average cost of capital.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116980355","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
Initial Public Offerings, Subsequent Seasoned Equity Offerings, and Long-Run Performance: Evidence from Ipos in Germany 首次公开募股、后续经验丰富的股票发行与长期业绩:来自德国ipo的证据
EFA 2002 Submissions Pub Date : 2002-01-15 DOI: 10.2139/ssrn.302357
W. Bessler
{"title":"Initial Public Offerings, Subsequent Seasoned Equity Offerings, and Long-Run Performance: Evidence from Ipos in Germany","authors":"W. Bessler","doi":"10.2139/ssrn.302357","DOIUrl":"https://doi.org/10.2139/ssrn.302357","url":null,"abstract":"The objective of this study is to investigate the long-run performance of initial public offerings (IPO) in Germany for the period from 1977 to 1995. Of particular interest is to examine whether underpricing and the timing of subsequent seasoned equty offerings (SEO) may help to explain why some firms have substantial positive and others have substantial negative long-run abnormal holding period returns after going public. We find significant empirical evidence that firms that raised additional funds after an IPO through a seasoned equity offering outperformed the market. There is a significant difference in returns relative to the firms that had no subsequent equity offering. A comparison of seasoned equity offerings of IPOs and of established firms suggests that the information asymmetry is more pronounced for IPO firms.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129388780","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: 23
Does the Peg Ratio Rank Stocks According to the Market's Expected Rate of Return on Equity Capital? 钉住比率是否根据市场预期的权益资本回报率对股票进行排序?
EFA 2002 Submissions Pub Date : 2002-01-01 DOI: 10.2139/ssrn.301837
Peter Easton
{"title":"Does the Peg Ratio Rank Stocks According to the Market's Expected Rate of Return on Equity Capital?","authors":"Peter Easton","doi":"10.2139/ssrn.301837","DOIUrl":"https://doi.org/10.2139/ssrn.301837","url":null,"abstract":"The PE ratio divided by the short-term earnings growth rate (the PEG ratio) is often used to rank stocks. This ranking implicitly assumes that earnings growth will not change beyond the (short) earnings forecast horizon. I provide a means of simultaneously estimating the expected rate of return and the change in the earnings growth beyond the forecast horizon thereby refining the PEG ratio ranking. Although estimates of the expected rate of return based on the PEG ratio are downward biased, they are highly correlated with the refined estimates supporting the use of the PEG ratio as a parsimonious basis for stock recommendations. The downward bias is greater for firms with lower short-term earnings growth rates, higher PE,and higher ratio of price-to book value while the bias is lower for larger firms and firms with higher standard deviation of returns.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128095912","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
Leasing and Debt Financing: Substitutes or Complements? 租赁与债务融资:替代还是互补?
EFA 2002 Submissions Pub Date : 2002-01-01 DOI: 10.2139/SSRN.302157
An Yan
{"title":"Leasing and Debt Financing: Substitutes or Complements?","authors":"An Yan","doi":"10.2139/SSRN.302157","DOIUrl":"https://doi.org/10.2139/SSRN.302157","url":null,"abstract":"Traditional finance theories typically treat leases and debt as substitutes. However, the empirical findings on the relation between leases and debt are mixed. This paper reinvestigates this relation. I present a model to incorporate different theories on the substitutability and complementarity between leases and debt, and I test the model implications empirically in a GMM framework that simultaneously controls for endogeneity problems and firms' fixed effects. The findings suggest that leases and debt are substitutes instead of complements. I also investigate the variation in the substitutability between leases and debt, and find that in those firms with more growth options or larger marginal tax rates, or in those firms paying no dividends, the substitutability is more pronounced, i.e., the cost of new debt increases to a larger degree with extra leases.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123342650","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: 128
Liquidity, Liquidity Commonality and its Impact on Portfolio Theory 流动性、流动性共性及其对投资组合理论的影响
EFA 2002 Submissions Pub Date : 2002-01-01 DOI: 10.2139/ssrn.296870
Ian Domowitz, Xiaoxin Wang Beardsley
{"title":"Liquidity, Liquidity Commonality and its Impact on Portfolio Theory","authors":"Ian Domowitz, Xiaoxin Wang Beardsley","doi":"10.2139/ssrn.296870","DOIUrl":"https://doi.org/10.2139/ssrn.296870","url":null,"abstract":"We measure liquidity as a functional of supply and demand schedules, and measure commonality in liquidity as functional covariance. We show that liquidity commonality is due to supply and demand co-movements, through which order types play an important role; order types include market and limit orders. Contrarily, return commonality is mainly caused by order-flow co-movement; order flows include order directions and sizes. Since return commonality and liquidity commonality are caused by different forces, it is possible for stocks to have negative or little correlations in returns but strong positive correlations in liquidity. Both simulation results and empirical evidence from the Australian Stock Exchange support the above statement. Therefore, liquidity commonality poses a problem to diversification strategies based solely on picking stocks that do not correlate in returns. It is in this sense that not only the first moment of liquidity matters to asset pricing, its second moment matters as well.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124007907","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: 27
The Value of Tax Shields is the Difference of Two Present Values with Different Risk 税盾的价值是两个具有不同风险的现值之差
EFA 2002 Submissions Pub Date : 2001-12-15 DOI: 10.2139/ssrn.294279
Pablo Fernández
{"title":"The Value of Tax Shields is the Difference of Two Present Values with Different Risk","authors":"Pablo Fernández","doi":"10.2139/ssrn.294279","DOIUrl":"https://doi.org/10.2139/ssrn.294279","url":null,"abstract":"We show that the value of tax shields is the difference between the present values of two different cash flows with their own risk: the present value of taxes for the unlevered company and the present value of taxes for the levered company. For perpetuities without costs of leverage, the value of tax shields is equal to the tax rate times the value of debt. For any company, we claim that the value of the tax shield in a world with no leverage cost is the present value of the debt (D) times the tax rate (T) times the required return to the unlevered equity (Ku), discounted at the unlevered cost of equity (Ku): VTS = PV[Ku; D T Ku]. Please note that it does not mean that the appropriate discount for the tax shields is the unlevered cost of equity. We discount D T Ku, which is not the tax shield. This expression arises as the difference of two present values each with different risk.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114361138","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
The Mysterious Growing Value of S&P Index Membership 标准普尔指数会员的神秘增长价值
EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.302013
Fan Yang, R. Morck
{"title":"The Mysterious Growing Value of S&P Index Membership","authors":"Fan Yang, R. Morck","doi":"10.2139/ssrn.302013","DOIUrl":"https://doi.org/10.2139/ssrn.302013","url":null,"abstract":"The efficient markets hypothesis implies that passive indexing should generate as high a return as active fund management. Indexing has been a very successful strategy. We document a large value premium in the average q ratios of firms in the S&P 500 index relative to the q ratios of other similar firms that appears in the mid 1980s and grows in step with the growth of indexing. Passive investment strategies that require the purchase of the particular 500 stocks in this index increase demand for those stocks and so push up their prices. In short, indexing induces downward sloping demand curves for stocks in the index. For reasons that are not fully clear, arbitrageurs apparently do not correct this overvaluation.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130349399","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: 31
Copula-Dependent Defaults in Intensity Models 强度模型中的copula依赖默认值
EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.301968
P. Schönbucher, Dirk Schubert
{"title":"Copula-Dependent Defaults in Intensity Models","authors":"P. Schönbucher, Dirk Schubert","doi":"10.2139/ssrn.301968","DOIUrl":"https://doi.org/10.2139/ssrn.301968","url":null,"abstract":"In this paper we present a new approach to incorporate dynamic default dependency in intensity-based default risk models. The model uses an arbitrary default dependency structure which is specified by the Copula of the times of default, this is combined with individual intensity-based models for the defaults of the obligors without loss of the calibration of the individual default-intensity models. The dynamics of the survival probabilities and credit spreads of individual obligors are derived and it is shown that in situations with positive dependence, the default of one obligor causes the credit spreads of the other obligors to jump upwards, as it is experienced empirically in situations with credit contagion. For the Clayton copula these jumps are proportional to the pre-default intensity. If information about other obligors is excluded, the model reduces to a standard intensity model for a single obligor, thus greatly facilitating its calibration. To illustrate the results they are also presented for Archimedean copulae in general, and Gumbel and Clayton copulae in particular. Furthermore it is shown how the default correlation can be calibrated to a Gaussian dependency structure of CreditMetrics-type.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123285701","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: 329
Portfolio Insurance Strategies: OBPI Versus CPPI 投资组合保险策略:OBPI与CPPI
EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.299688
P. Bertrand, J. Prigent
{"title":"Portfolio Insurance Strategies: OBPI Versus CPPI","authors":"P. Bertrand, J. Prigent","doi":"10.2139/ssrn.299688","DOIUrl":"https://doi.org/10.2139/ssrn.299688","url":null,"abstract":"We compare performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). First we examine basic properties of these two strategies and compare them by means of various criteria: comparison of their payoffs, possible property of stochastic dominance, expectations, variances, skewness and kurtosis of their returns, and some of the quantiles of their returns. We prove that the OBPI method can be analyzed as a kind of CPPI where the multiple is allowed to vary. We then study the properties of this varying multiple. In a second section, we analyze more deeply both method's dynamic properties. We turn our attention to the dynamics management involved by these two strategies. Although the pure OBPI do not require any management by the buyer (if the put or call option is available on the market), we can calculate the \"greeks\" of its call part. We derive the \"greeks\" of the CPPI and show the very different nature of the dynamic properties of the two strategies.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114790024","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: 116
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