EFMA 2003 Helsinki Meetings (Archive)最新文献_第2页

The Good and the Bad of Value Investing: Applying a Bayesian Approach to Develop Enhancement Models 价值投资的好与坏:应用贝叶斯方法开发增强模型

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-04-26 DOI: 10.2139/ssrn.391686

R. Bird, R. Gerlach

{"title":"The Good and the Bad of Value Investing: Applying a Bayesian Approach to Develop Enhancement Models","authors":"R. Bird, R. Gerlach","doi":"10.2139/ssrn.391686","DOIUrl":"https://doi.org/10.2139/ssrn.391686","url":null,"abstract":"Value investing was first identified by Graham and Dodd in the mid-30's as an effective approach to investing. Under this approach stocks are rated as being cheap or expensive largely based on some valuation multiple such as the stock's price-to-earnings or book-to-market ratio. Numerous studies have found that value investing does perform well across most equity markets but it is also true that over most reasonable time horizons, the majority of value stocks underperform the market. The reason for this is that the poor valuation ratios for many companies are reflective of poor fundamentals that are only worsening. The typical value measures do not provide any insights into those stocks whose performance is likely to mean-revert and those that will continue along their recent downhill path. The hypothesis in this paper is that the value stocks most likely to mean-revert are those that are financially sound. Further, it is proposed that we should be able to gain some insights into the financial strength of the value companies using fundamental accounting data. We apply a Bayesian model averaging approach to a set of fundamental accounting variables to forecast, the probability of each value stock outperforming the market. These probability estimates are then used as the basis for enhancing a value portfolio that has been formed using some valuation multiple. The positive note from our study of the US, UK and Australian equity markets is that it appears that fundamental accounting data can be used to enhance the performance of a value investment strategy. The bad news is that the sources of accounting data that play the greatest role in providing such insights would seem to vary both across time and across markets.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132890942","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: 10

The Effect of Asymmetric Information and Transaction Costs on Asset Pricing: Theory and Test 信息不对称和交易成本对资产定价的影响:理论与检验

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-04-21 DOI: 10.2139/ssrn.391682

M. Bellalah, Sofiane Aboura

引用次数: 10

Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where Do These Profits Come from? 反向投资策略在伦敦证券交易所盈利吗?这些利润从何而来?

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-04-19 DOI: 10.2139/ssrn.391570

Antonios Antoniou, E. Galariotis, S. Spyrou

{"title":"Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where Do These Profits Come from?","authors":"Antonios Antoniou, E. Galariotis, S. Spyrou","doi":"10.2139/ssrn.391570","DOIUrl":"https://doi.org/10.2139/ssrn.391570","url":null,"abstract":"Given the lack of evidence in the literature regarding UK short-term contrarian profits and their decomposition, this paper investigates the existence of contrarian profits for the London Stock Exchange (LSE), and decomposes them to sources due to common factors and to firm-specific news, building on the methodology of Jegadeesh and Titman (1995). Furthermore, in view of recent evidence that longer-term contrarian profits in the US are explained by firm characteristics such as size and book-to-market equity, the paper decomposes shorter-term contrarian profits to sources similar to the ones in the Fama and French (1996) three-factor model. For the empirical testing, size-sorted sub-samples that are rebalanced annually are used, and in addition, adjustments for infrequent trading and the Bid-Ask bias are made to the data. The results indicate that contrarian strategies are profitable for UK stocks and more pronounced for extreme market capitalization stocks (smallest - largest); the profits persist even after the sample is adjusted for market frictions, such as infrequent trading and bid-ask bias, and irrespective of whether raw or risk-adjusted returns are used to calculate them. Further tests indicate that the magnitude of the contribution of the delayed reactions to contrarian profits is small, while the magnitude of the contribution of investor overreaction to firm-specific information to profits is far larger (consistent with the findings of Jegadeesh and Titman 1995 for the US).","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133486792","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: 8

Are Credit Scoring Models Sensitive with Respect to Default Definitions? Evidence from the Austrian Market 信用评分模型对默认定义敏感吗?证据来自奥地利市场

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-04-01 DOI: 10.2139/ssrn.407709

E. Hayden

{"title":"Are Credit Scoring Models Sensitive with Respect to Default Definitions? Evidence from the Austrian Market","authors":"E. Hayden","doi":"10.2139/ssrn.407709","DOIUrl":"https://doi.org/10.2139/ssrn.407709","url":null,"abstract":"In this paper models of default prediction conditional on financial statements of Austrian firms are presented. Apart from giving a discussion on the suggested 65 variables the issue of potential problems in developing rating models is raised and possible solutions are reviewed. A unique data set on credit risk analysis for the Austrian market is constructed and used to derive rating models for three different default definitions, i.e. bankruptcy, restructuring, and delay-in-payment. The models are compared to examine whether the models developed on the tighter default criteria, that are closer to the definition proposed by Basel II, do better in predicting these credit loss events than the model estimated on the traditional and more easily observable default criterion bankruptcy. Several traditional methods to compare rating models are used, but also a rigorous statistical test is discussed and applied. All results lead to the same conclusion that not much prediction power is lost if the bankruptcy model is used to predict the credit loss events of rescheduling and delay-in-payment instead of the alternative models specifically derived for these default definitions. In the light of Basel II this is an interesting result. It implies that traditional credit rating models developed by banks by exclusively relying on bankruptcy as default criterion are not automatically outdated but can be equally powerful in predicting the comprising credit loss events provided in the new Basel capital accord as models estimated on these default criteria.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125747828","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

Liquidity Premiums between Treasury Asset Markets 国债资产市场之间的流动性溢价

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-03-18 DOI: 10.2139/ssrn.393466

A. Díaz, Eliseo Navarro Arribas

引用次数: 1

Analysts' Conflict of Interest and Biases in Earnings Forecasts 分析师在盈利预测中的利益冲突和偏见

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-03-01 DOI: 10.2139/ssrn.392004

L. Chan, Jason Karceski, Josef Lakonishok

引用次数: 178

Market Segmentation and Information Diffusion in China's Stock Markets: Panel Data Unit Root and Cointegration Tests on a and B Share Prices 中国股票市场的市场分割与信息扩散:a股和B股价格的面板数据单位根和协整检验

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-03-01 DOI: 10.2139/ssrn.391563

N. Ahlgren, B. Sjöö, Jianhua Zhang

{"title":"Market Segmentation and Information Diffusion in China's Stock Markets: Panel Data Unit Root and Cointegration Tests on a and B Share Prices","authors":"N. Ahlgren, B. Sjöö, Jianhua Zhang","doi":"10.2139/ssrn.391563","DOIUrl":"https://doi.org/10.2139/ssrn.391563","url":null,"abstract":"This paper studies market segmentation, information asymmetry and diffusion on the Chinese stock exchanges. Previous studies indicate that the price difference between domestic investors' A shares and foreign investors' B shares are driven by a stochastic trend. In this paper we test the stationarity of the A share price premium, and cointegration between A and B share prices using panel data methods. We use standard Augmented Dickey-Fuller (ADF) unit root tests and likelihood ratio (LR) tests for cointegration for the cross-sectional units or individual firms. Our panel data tests are based on the Fisher (1932) test suggested by Maddala and Wu (1999), i.e. the tests are based on combining the individual p-values from the cross-sectional units or firms. Using panel data, we find that the A share price premium is stationary, and we find cointegration between A and B share prices for most firms, but not for all. A probit model is used to identify the firm characteristics that determine whether A and B share prices cointegrate or not. The results show that cointegration is more likely to be found for firms that have listed their B shares in more recent years, and for firms in the service and manufacturing sectors.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128129340","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

European Currency Volatility after Economic and Monetary Union 经济与货币联盟后的欧洲货币波动

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-01-13 DOI: 10.2139/ssrn.407710

R. Heaney, J. Swieringa

引用次数: 1

The Financial Impact of the French Government's Nationalization/Privatization Strategy 法国政府国有化/私有化战略的财政影响

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-01-10 DOI: 10.2139/ssrn.393484

C. Laurin, Pascal Dumontier

引用次数: 8

Tax Driven One-Time Dividends and the Managerial Discretion Hypothesis - New Evidence from Germany 税收驱动的一次性股利与管理自由裁量权假说——来自德国的新证据

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2002-12-01 DOI: 10.2139/ssrn.302127

C. Kaserer, Stephanie Roos, E. Wenger

{"title":"Tax Driven One-Time Dividends and the Managerial Discretion Hypothesis - New Evidence from Germany","authors":"C. Kaserer, Stephanie Roos, E. Wenger","doi":"10.2139/ssrn.302127","DOIUrl":"https://doi.org/10.2139/ssrn.302127","url":null,"abstract":"There is an ongoing debate in the literature whether the positive stock price effects to the announcement of a dividend increase or a share repurchase should be explained by the information-signalling hypothesis or the managerial discretion hypothesis of by both of them. We propose a new study where the relevance of the managerial discretion hypothesis in explaining stock market reactions to pay-out announcements could be directly tested. For that purpose we analyse the announcement effects of one-time dividend payments by listed German companies. These dividends were paid in order to realise a tax saving opportunity for the shareholders caused by a revision of the German tax code. As the firms did no have much discretion in timing the disbursement, the event by itself should not have any informational impact. It will be shown that over a period of %B1 3 months around the announcement date the abnormal stock price effect is 3.4 to 4.6 times as high as the mere tax saving effect induced by the one-time dividend payment. Moreover, according to the managerial discretion hypothesis we find the stock price effect to be significantly lower for those companies generating the tax saving without paying out cash to shareholders.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116073043","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: 4