发布求助
文献互助 智能选刊 最新文献

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal最新文献

筛选
英文 中文
Growing Pains: International Instability and Equity Market Returns 成长的烦恼:国际不稳定与股票市场回报
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2016-09-20 DOI: 10.2139/ssrn.2050005
Zhuo Chen, Andrea Lu, Clair Yang
{"title":"Growing Pains: International Instability and Equity Market Returns","authors":"Zhuo Chen, Andrea Lu, Clair Yang","doi":"10.2139/ssrn.2050005","DOIUrl":"https://doi.org/10.2139/ssrn.2050005","url":null,"abstract":"We use the ratio of growth in global military expenditures to gross domestic product (GDP) to capture ex ante expectations of political instability and explore the relation between this measure and returns. In a standard global asset pricing framework with 44 countries, this measure helps to explain cross-country return differences. Furthermore, emerging countries have greater exposure to international political instability risk than developed countries. This partially explains the higher returns observed in emerging countries.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132166640","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
Valuing American Options Using Fast Recursive Projections 用快速递归预测评估美国期权
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2016-03-02 DOI: 10.2139/ssrn.2091236
Antonio Cosma, S. Galluccio, Paola Pederzoli, O. Scaillet
{"title":"Valuing American Options Using Fast Recursive Projections","authors":"Antonio Cosma, S. Galluccio, Paola Pederzoli, O. Scaillet","doi":"10.2139/ssrn.2091236","DOIUrl":"https://doi.org/10.2139/ssrn.2091236","url":null,"abstract":"We introduce a fast and widely applicable numerical pricing method that uses recursive projections. We characterize its convergence speed. We find that the early exercise boundary of an American call option on a discrete dividend paying stock is higher under the Merton and Heston models than under the Black-Scholes model, as opposed to the continuous dividend case. A large database of call options on stocks with quarterly dividends shows that adding stochastic volatility and jumps to the Black-Scholes benchmark reduces the amount foregone by call holders failing to optimally exercise by 25%. Transaction fees cannot fully explain the suboptimal behavior.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116930955","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
Momentum and Reversal: Does What Goes Up Always Come Down? 动量和反转:涨的总是跌的吗?
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2015-06-19 DOI: 10.2139/ssrn.2011148
Jennifer S. Conrad, M. Yavuz
{"title":"Momentum and Reversal: Does What Goes Up Always Come Down?","authors":"Jennifer S. Conrad, M. Yavuz","doi":"10.2139/ssrn.2011148","DOIUrl":"https://doi.org/10.2139/ssrn.2011148","url":null,"abstract":"The stocks in a momentum portfolio, which contribute to momentum profits, do not experience significant subsequent reversals. Conversely, stocks that do not contribute to momentum profits over the intermediate horizon exhibit subsequent reversals. Merging these separate securities into a single portfolio causes momentum and reversal patterns to appear linked. Stocks with momentum can be separated from those that exhibit reversal by sorting on size and book-to-market equity ratio. Controlling for proxies for behavioral biases, market illiquidity, and macroeconomic factors does not affect our results.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125281867","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: 57
Macro Variables and the Components of Stock Returns 宏观变量与股票收益构成
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2015-03-24 DOI: 10.2139/ssrn.2021885
Paulo F. Maio, Dennis Philip
{"title":"Macro Variables and the Components of Stock Returns","authors":"Paulo F. Maio, Dennis Philip","doi":"10.2139/ssrn.2021885","DOIUrl":"https://doi.org/10.2139/ssrn.2021885","url":null,"abstract":"We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables such as the market dividend yield and the T-bill rate. Including the macro factors does not have a significant impact in the estimation of the components of aggregate (excess) stock returns—cash-flow, discount-rate, and interest-rate news. Using the macro factors in the computation of cash-flow and discount-rate news does not significantly improve the fit of a two-factor ICAPM for the cross-section of stock returns.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133334439","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: 54
Variance Risk Premium and VIX Pricing: A Simple GARCH Approach 方差风险溢价和波动率指数定价:一个简单的GARCH方法
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2015-01-10 DOI: 10.2139/ssrn.2155993
Qiang Liu, Gaoxiu Qiao, Shuxin Guo
{"title":"Variance Risk Premium and VIX Pricing: A Simple GARCH Approach","authors":"Qiang Liu, Gaoxiu Qiao, Shuxin Guo","doi":"10.2139/ssrn.2155993","DOIUrl":"https://doi.org/10.2139/ssrn.2155993","url":null,"abstract":"This paper assesses variance risk premium and forecasts out-of-sample VIX under GARCH(1,1), GJR, and Heston-Nandi models. With the date-t GARCH parameters estimated in a moving window fashion from 3,500 daily returns of the SP these risk-neutral parameters forecast the date-t VIX accurately with errors of not more than 0.2% on average.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127964921","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
Derivatives Trading and Negative Voting 衍生品交易和负面投票
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2014-10-01 DOI: 10.2139/ssrn.2144552
Holger Spamann
{"title":"Derivatives Trading and Negative Voting","authors":"Holger Spamann","doi":"10.2139/ssrn.2144552","DOIUrl":"https://doi.org/10.2139/ssrn.2144552","url":null,"abstract":"This paper exposits a model of parallel trading of corporate securities (shares, bonds) and derivatives (TRS, CDS) in which a large trader can sometimes profitably acquire securities with their corporate control rights for the sole purpose of reducing the corporation's value and gaining on a net short position created through off-setting derivatives. At other times, the large trader profitably takes a net long position. The large trader requires no private information beyond its own trades. The problem is most likely to manifest when derivatives trade on an exchange and transactions give blocking powers to small minorities, particularly out-of-bankruptcy restructurings and freezeouts.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131275706","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
Do Foreign Investors Improve Informational Efficiency of Stock Prices? Evidence from Japan 外国投资者是否提高了股票价格的信息效率?来自日本的证据
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2014-05-30 DOI: 10.2139/ssrn.2077334
Wen He, Jianfeng Shen
{"title":"Do Foreign Investors Improve Informational Efficiency of Stock Prices? Evidence from Japan","authors":"Wen He, Jianfeng Shen","doi":"10.2139/ssrn.2077334","DOIUrl":"https://doi.org/10.2139/ssrn.2077334","url":null,"abstract":"This study investigates the impact of foreign investors on the informational efficiency of stock prices in local markets. Using a large sample of Japanese firms over the period 1976 to 2008, we find that prices deviate less from a random walk for stocks with a large change in foreign ownership. This relation is robust to controls for local institutional ownership, stock liquidity, and firm fixed effects. Granger causality tests show that changes in foreign investor trading predict changes in price efficiency in the next period, but not vice versa. Finally, we use a quasi-natural experiment to show that an increase in foreign ownership causes an improvement in price efficiency. Collectively, these results suggest that foreign investors improve price efficiency in local stock markets.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115137267","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: 37
The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS 欧盟碳排放交易体系中二氧化碳排放配额现货价格与期货价格的关系
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2014-03-31 DOI: 10.2139/ssrn.2137346
S. Trück, W. Härdle, R. Weron
{"title":"The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS","authors":"S. Trück, W. Härdle, R. Weron","doi":"10.2139/ssrn.2137346","DOIUrl":"https://doi.org/10.2139/ssrn.2137346","url":null,"abstract":"In this paper we investigate the relationship between spot and futures prices within the EU-wide CO2 emissions trading scheme (EU-ETS). We conduct an empirical study on price behavior, volatility term structure and correlations in different CO2 EU Allowance (EUA) contracts during the pilot trading and Kyoto commitment periods. We find that while for the pilot trading period (2005-2007) the market was initially in backwardation, after the news of overallocation, both allowance prices and convenience yield approached zero. During the Kyoto commitment period (2008-2012), the market has changed from initial backwardation to contango with significant convenience yields in futures contracts. We further examine the dynamic structure of the relationship between spot and futures prices in the functional form by applying a new approach of dynamic semiparametric factor models (DSFM). Interestingly, our DSFM results can be related to the classic Gibson-Schwartz two-factor model for pricing contingent claims in commodity markets that uses the spot price and the instantaneous convenience yield as factors. Our results might point towards future applications of the Gibson-Schwartz model for pricing of intra- and inter-period EUA derivatives contracts.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127737082","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: 24
The Effect of Institutional Ownership on Payout Policy: Evidence from Index Thresholds 机构持股对股利政策的影响:来自指数阈值的证据
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2014-03-31 DOI: 10.2139/ssrn.2102822
Alan D. Crane, S. Michenaud, J. Weston
{"title":"The Effect of Institutional Ownership on Payout Policy: Evidence from Index Thresholds","authors":"Alan D. Crane, S. Michenaud, J. Weston","doi":"10.2139/ssrn.2102822","DOIUrl":"https://doi.org/10.2139/ssrn.2102822","url":null,"abstract":"We show that higher institutional ownership causes firms to pay more dividends. Our identification relies on a discontinuity in ownership around Russell index thresholds. Our estimates indicate that a one-percentage-point increase in institutional ownership causes a $7 million (8%) increase in dividends. We also find differences in shareholder proposals and voting patterns that suggest that even nonactivist institutions play an important role in monitoring firm behavior. The effect of institutional ownership on dividends is stronger for firms with higher expected agency costs.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121024462","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: 311
Price and Volatility Co-Jumps 价格和波动性共同跳跃
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2014-02-06 DOI: 10.2139/ssrn.2014777
F. Bandi, R. Renò
{"title":"Price and Volatility Co-Jumps","authors":"F. Bandi, R. Renò","doi":"10.2139/ssrn.2014777","DOIUrl":"https://doi.org/10.2139/ssrn.2014777","url":null,"abstract":"The nature of the dependence between discontinuities in prices and contemporaneous discontinuities in volatility (co-jumps) has been reported by many as being elusive, in terms of sign, magnitude, and statistical significance. Using a novel identification strategy in continuous time relying on trade-level information for spot variance estimation, as well as infinitesimal cross-moments, we document that a sizeable proportion of discontinuous changes in prices are associated with strongly anti-correlated, contemporaneous, discontinuous changes in volatility. Assuming a possibly nonmonotonic pricing kernel, we illustrate the equilibrium implications of price and volatility co-jumps for return and variance risk premia.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130467519","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: 133
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信