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

{"title":"Volatility, Correlation, and the Market Trend","authors":"Chris Becker, Wolfgang M. Schmidt","doi":"10.2139/ssrn.2142037","DOIUrl":"https://doi.org/10.2139/ssrn.2142037","url":null,"abstract":"The influence of past stock price movements on volatilities and correlations is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns on volatilities and correlations explicit. Employing information about recent market movements leads to a more realistic model for the behavior of stock returns in a downturn than conventional models. Our approach offers a fresh perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. We provide strong evidence for the existence of contagion in financial markets that cannot be absorbed by diversification.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122078138","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}

{"title":"The Determinants of Government Yield Spreads in the Euro Area","authors":"L. Giordano, N. Linciano, P. Soccorso","doi":"10.2139/ssrn.2158709","DOIUrl":"https://doi.org/10.2139/ssrn.2158709","url":null,"abstract":"This paper analyses the determinants of sovereign spreads in the euro area from January 2002 to May 2012. The objective is to disentangle the role of country-specific fundamentals, driven by fiscal and macroeconomic factors, from what is referred to as contagion. Following the existing empirical literature, the work estimates a model of the determinants of 10-year yield spreads relative to Germany for ten euro zone countries. The results show that since the eruption of the 2007-2008 financial crisis, sovereign spreads have shown a time-dependent contagion component. On average, such a component explains almost one third of the spreads dynamic in 2009-2010 and almost 10 per cent since 2011. However, results at the country level are quite different between core and peripherals. As shown by the analysis, core countries (excluding Germany, which is our benchmark to measure spreads) were not affected by contagion till 2011; since the worsening of the sovereign debt crisis they seem to have benefited from a flight-to-quality effect. For example, in the first months of 2012, France shows spreads lower than what implied by fundamentals by an amount ranging from roughly 50 to 90 basis points, depending on the model specification, while for Netherlands such a “discount” can be as high as roughly 60 basis point. Peripheral countries, which at the onset of the European Monetary Union took advantage from a mispricing of their actual economic and fiscal fragility, since 2009 have suffered from the abrupt revision of market expectations, showing spreads on average significantly higher than what justified by macroeconomic and fiscal factors. In 2012, for most of these countries contagion has a role comparable to fundamentals in explaining the level of the spreads. For example, it accounts for an amount ranging from roughly 170 to 240 basis points for Spain, while for Italy – probably penalized by its historically highest debt to GDP ratio – contagion explains something between roughly 150 and 180 basis points of the spread, depending on the model specification.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131509445","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}

{"title":"Measuring Return and Volatility Spillovers in Euro Area Financial Markets","authors":"Dimitrios P. Louzis","doi":"10.2139/ssrn.2155511","DOIUrl":"https://doi.org/10.2139/ssrn.2155511","url":null,"abstract":"This study examines the return (price) and volatility spillovers among the money, stock, foreign exchange and bond markets of the euro area, utilizing the forecast-error variance decomposition framework of a generalized VAR model proposed by Diebold and Yilmaz (2012) [Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 23, 57-66]. Our empirical results, based on a data set covering a twelve-year period (2000-2012), suggest a high level of total return and volatility spillover effects throughout the sample, indicating that, on average, more than the 50% of the forecast-error variance of the respective VAR model is explained by spillover effects. Moreover, the stock market is identified as the main transmitter of both return and volatility spillovers even during the current sovereign debt crisis. With the exception of the period 2011-2012, bonds of the periphery countries under financial support mechanisms are receivers of return spillovers, whereas, they transmit volatility spillovers to other markets diachronically. Finally, we identify the key role of money market in volatility transmission in the euro area during the outbreak of the global financial crisis.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"135 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117324138","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}

{"title":"Can We Beat the Random Walk in Forecasting CEE Exchange Rates?","authors":"Jakub Mućk, Pawel Skrzypczynski","doi":"10.2139/ssrn.2163518","DOIUrl":"https://doi.org/10.2139/ssrn.2163518","url":null,"abstract":"It is commonly known that various econometric techniques fail to consistently outperform a simple random walk model in forecasting exchange rates. The aim of this study is to analyse whether this also holds for selected currencies of the CEE region as the literature relating to the ability of forecasting these exchange rates is scarce. We tackle this issue by comparing the random walk based out-of-sample forecast errors of the Polish zloty, the Czech koruna and the Hungarian forint exchange rates against the euro with the corresponding errors generated by various single- and multi-equation models of these exchange rates. The results confirm that it is very difficult to outperform a simple random walk model in our CEE currencies forecasting contest.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117200890","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}

{"title":"Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default","authors":"A. Fostel, J. Geanakoplos","doi":"10.2139/ssrn.2150379","DOIUrl":"https://doi.org/10.2139/ssrn.2150379","url":null,"abstract":"We show that binomial economies with financial assets are an informative and tractable model to study endogenous leverage and collateral equilibrium: endogenous leverage can be highly volatile, but it is always easy to compute. The possibility of default can have a dramatic effect on equilibrium, if collateral is scarce, yet we prove the No-Default Theorem asserting that, without loss of generality, there is no default in equilibrium. Thus potential default has a dramatic effect on equilibrium, but actual default does not. This result is valid with arbitrary preferences, contingent promises, many assets and consumption goods, production, and multiple periods. On the other hand, we show that the theorem fails in trinomial models. For example, in a CAPM model, we find that default is robust. In a model with heterogeneous beliefs, we find that different agents might borrow on the same asset with different LTVs.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132813038","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}

{"title":"Global and Domestic Shocks on Inflation and Economic Growth and Membership Expansion in the GCC Bloc","authors":"W. Kim, S. Hammoudeh","doi":"10.2139/ssrn.2146722","DOIUrl":"https://doi.org/10.2139/ssrn.2146722","url":null,"abstract":"Using a modern structural VAR with block exogeneity and identifying restrictions, this paper analyzes: first, the global macroeconomic linkages among the dollar exchange rate, oil price, China’s producer price, U.S.’s export price, EU’s export price and Japan’s export price; and second, the effects of global and country-specific shocks on the industrial production and consumer price indices of selected incumbent GCC member countries -Kuwait, Oman, Saudi Arabia- and the potential member Jordan. It also investigates which individual global/local shocks command more importance in explaining the variations in the economic growth and inflation of each actual and potential GCC members. It finally analyzes the similarities in economic growth and inflation among GCC countries after controlling for different global and country-specific shocks. The results suggest that the overall CPI inflation rates of Kuwait, Oman, Saudi Arabia and Jordan are highly and positively correlated. The economic growth of Jordan shows negative correlations with those of the member countries. If GCC members are to focus only on stabilizing inflation, there is no harm for them to accept Jordan as a new GCC member. If GCC’s objective is, however, not only the stabilization of inflation but also the business cycle synchronization, GCC members should be more caution in accepting Jordan as a new member.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"101-102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121576042","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}

{"title":"Optimal Parameters to Pairs Trading","authors":"Kirill V. Temlyakov","doi":"10.2139/ssrn.2140111","DOIUrl":"https://doi.org/10.2139/ssrn.2140111","url":null,"abstract":"Pairs trading is a very common trading strategy, and being able to obtain parameters that tell us when to trade and when to get out is of great importance. In this paper I propose a methodology that can improve the performance of traditional pairs trading strategy. I use stochastic beam search algorithm to find the best parameters in in-sample data within a given industry, and then test those parameters on out of sample data. My results outperform the results obtained by tools traditionally employed by the industry practitioners.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126448400","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}

{"title":"Valuation Effects of Investor Relations Investments","authors":"Adamos Vlittis, M. Charitou","doi":"10.1111/j.1467-629X.2011.00426.x","DOIUrl":"https://doi.org/10.1111/j.1467-629X.2011.00426.x","url":null,"abstract":"We investigate the stock price performance of 146 firms announcing the appointment of a new investor relations (IR) officer or the hiring of an IR firm between 1999 and 2005. We find positive abnormal returns around the announcement day. In addition, we find evidence that firms with lower valuations, higher idiosyncratic risk, greater chief executive officer holdings, and firms that announce in the post-Sarbanes-Oxley Act era experience greater valuation effects. Finally, we document significant reductions in the information asymmetry and significant increases in the liquidity and visibility of IR firms in the year following the IR announcement.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129866551","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}

{"title":"What Causes the Underpricing of IPOs and the Long-Run Performance of Stocks?","authors":"S. Abidin, K. Reddy, Yukun Zhu","doi":"10.2139/ssrn.2139126","DOIUrl":"https://doi.org/10.2139/ssrn.2139126","url":null,"abstract":"The underpricing of initial public offerings (IPOs) in the Chinese market is higher than in other markets. This paper analyses both initial underpricing and long-run performance for Chinese IPOs in order to resolve arguments in previous Chinese IPOs literature studies. Using a sample of 275 Chinese IPOs from 2005 to 2008, the results support Rock’s (1986) winners’ curse and Welch’s (1992) cascades theory. The results of long-run performance report that Chinese IPOs underperform the market in two years time. More importantly, this paper finds that the underpricing of Chinese IPOs is mainly caused by the activities of investors in the secondary market.","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":"2012-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131197515","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}

{"title":"Hedge Funds and Stock Market Efficiency","authors":"Joni Kokkonen, Matti Suominen","doi":"10.2139/ssrn.2133394","DOIUrl":"https://doi.org/10.2139/ssrn.2133394","url":null,"abstract":"We measure misvaluation using the discounted residual income model. As shown in the literature, this measure of stocks' misvaluation significantly explains their future cross-sectional returns. We measure the market-level misvaluation market inefficiency by the misvaluation spread: the difference in the misvaluation of the most overvalued and undervalued shares. We show that the misvaluation spread is a strong predictor of a misvaluation-based long-short portfolio's returns, reinforcing the hypothesis that it proxies for the level of mispricing in the stock market. Using data on hedge fund returns, hedge fund industry assets under management, flows, and individual hedge fund holdings, we present evidence that hedge funds' trading reduces market-level misvaluation. Our results are robust across different time periods and are not driven by market liquidity. Moreover, we find that mutual funds do not have the price-correcting effect that hedge funds have. \u0000 \u0000This paper was accepted by Wei Jiang, finance.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"54 85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129636260","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}