EFA 2002 Submissions最新文献_第6页

Market Conditions, Order Flow and Exchange Rates Determination 市场条件，订单流量和汇率决定

EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.299684

Jinhui Luo

引用次数: 9

The Multiple Dimensions of Asset Allocation: Countries, Sectors or Factors? 资产配置的多重维度:国家、行业还是要素?

EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.295631

Anne-Sophie E. Vanroyen, Sébastien Page

{"title":"The Multiple Dimensions of Asset Allocation: Countries, Sectors or Factors?","authors":"Anne-Sophie E. Vanroyen, Sébastien Page","doi":"10.2139/ssrn.295631","DOIUrl":"https://doi.org/10.2139/ssrn.295631","url":null,"abstract":"Asset allocation has been performed traditionally along country lines. If the balance is shifting towards sectors, then skill in forecasting relative country returns may not be sufficient to ensure investment success. It may lead to suboptimal portfolios. There is growing evidence supporting the emergence of global sectors. We examine this claim, focusing on 19 developed equity markets between 1994 and 2000. We first identify clusters of sectors across countries, using a methodology based on neural networks. Although country stratification remains important, our results suggest a more complex and dual structure across both dimensions. Some clusters correspond to global sectors across regions. In contrast with Heston and Rouwenhorst (1994) seminal model and subsequent research, we develop a framework that allows a large degree of interaction between countries and sectors. We also relax the assumption that country and sector exposures are fixed, thus enabling us to analyze how the two dimensions evolved over time. We perform principal components analysis to identify factors driving returns. By construction, the factors combine both dimensions, geographic and industrial, and are allowed to vary over time. We measure the relative importance of country and sector effects in these factors, and find that sectors have become as important as countries since October 2000. We discuss the implications of these findings for asset allocation. Factors are interpreted as combinations of a limited number of short and long positions. We find that diversification across factors leads to lower risk than diversification across countries or sectors.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"222 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":"115533591","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

Miles-Ezzell's Wacc Approach Yields Arbitrage Miles-Ezzell的Wacc方法产生套利

EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.286395

A. Löffler

引用次数: 6

January Effect - a Re-Examination 一月效应——重新检查

EFA 2002 Submissions Pub Date : 2001-12-01 DOI: 10.2139/ssrn.302715

Honghui Chen, Vijay Singal

引用次数: 8

Rational Asset Pricing Implications from Realistic Trading Frictions 现实贸易摩擦对理性资产定价的启示

EFA 2002 Submissions Pub Date : 2001-10-01 DOI: 10.2139/ssrn.302819

Jean-Pierre Zigrand

引用次数: 4

Shareholder Wealth Effects of Joint Venture Strategies: Theory and Evidence from the Netherlands 合资企业战略的股东财富效应:来自荷兰的理论与证据

EFA 2002 Submissions Pub Date : 2001-10-01 DOI: 10.2139/ssrn.302007

G. Schut, R. van Frederikslust

引用次数: 1

Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets 交易商衍生品风险管理与政府债券市场的市场质量

EFA 2002 Submissions Pub Date : 2001-09-01 DOI: 10.2139/ssrn.287636

Narayan Naik, P. Yadav

引用次数: 80

The Impact of Bankruptcy Rules on Risky Project Choice and Skill Formation Under Credit Rationing 信贷配给下破产规则对风险项目选择和技能形成的影响

EFA 2002 Submissions Pub Date : 2001-08-01 DOI: 10.2139/ssrn.302594

S. Gangopadhyay, C. Wihlborg

引用次数: 14

Limit Order Book as a Market for Liquidity 作为流动性市场的限价订单

EFA 2002 Submissions Pub Date : 2001-08-01 DOI: 10.2139/ssrn.269908

Thierry Foucault, Ohad Kadan, Eugene Kandel

引用次数: 669

Liquidity Providers on an Electronic Order-Driven Market 电子订单驱动市场的流动性提供者

EFA 2002 Submissions Pub Date : 1900-01-01 DOI: 10.2139/ssrn.302634

Edward H. Chow, Y. Hsu, Ivan Tso

{"title":"Liquidity Providers on an Electronic Order-Driven Market","authors":"Edward H. Chow, Y. Hsu, Ivan Tso","doi":"10.2139/ssrn.302634","DOIUrl":"https://doi.org/10.2139/ssrn.302634","url":null,"abstract":"The Taiwan Stock Exchange (TSEC) is an electronic order-driven market without designated market makers. By turnover rate the TSEC is the most liquid market in the world. This paper is about the liquidity providers on the TSEC. Our analysis sheds light on the design of trading mechanism of an order driven market that fosters liquidity providing behavior of its participants. We identify institutional traders such as depository institutions, corporations, insurance companies, and investment companies as viable liquidity providers. They trade heavily, make handsome profits, and their trading profits increase with trading volume as well as the frequency of participation in trades. They have some timing and securities selection ability. They use limit orders extensively and mix limit and market orders in their trading strategy. However, they provide less than 4% of the liquidity on the TSEC. The bulk of the liquidity on the TSEC is provided by individual investors who use limit orders extensively. Our analysis indicates that the TSEC can be characterized as a market where every participant has a good chance of making short-term capital gains. Very few viable liquidity providers make persistent profits. The transaction cost on the TSEC is low. There is no equity requirement for submitting orders. The market is fair in the sense that every trader has the same trade information and trade access.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122737235","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