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Passive in a Name - Evidence from MSCI China Index and MSCI China Index-Tracking Fund 名义上的被动——来自MSCI中国指数和MSCI中国指数追踪基金的证据
Decision-Making in Economics eJournal Pub Date : 2021-06-09 DOI: 10.2139/ssrn.3863342
Zong-wei Hu
{"title":"Passive in a Name - Evidence from MSCI China Index and MSCI China Index-Tracking Fund","authors":"Zong-wei Hu","doi":"10.2139/ssrn.3863342","DOIUrl":"https://doi.org/10.2139/ssrn.3863342","url":null,"abstract":"Abstract: Traditional research about the passive investors and index were mainly focus on the tracking error and the performance of mutual funds. However, they ignored that, deceptive by name, the passive investors, such as index-tracking funds and ETFs, may have an active impact on the value of the company through large-scale transactions of these passive investors. Focused on the Chinese stock market, this paper investigates whether specific passive investors, the funds and ETFs that track MSCI China index, will actively influence the market valuation after MSCI Index Rebalance. When the passive shareholders, which are always the mutual funds, exceeds a threshold, I find that firms added to the index will have a significant positive return, about X%, to the index itself. Also, I find the firms eliminated out to the index have a significant negative return, about X%, to the index itself. One potential interpretation of these results is that index-rebalancing will lead the index-trackers to buy those stocks added to the index, and these transactions represent a large buy power that will lead the demanding of those stocks to exceed the selling power and this dynamic of trading plus the following transactions of other investors eventually cause a premium and positive return. The firm size will also have an impact on stock performance when the index get rebalanced, partially in that the weight of the index is calculated according to the market value, a calculate method that leads to the higher weight of large companies. If large companies are added to or removed from the index, the trading volume will be larger, causing more transactions dynamic on those stocks.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134619488","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
Strategic and Psychological Momentum in Professional Tennis: Online Appendix 职业网球的战略和心理动力:在线附录
Decision-Making in Economics eJournal Pub Date : 2021-06-01 DOI: 10.2139/ssrn.3870545
C. Depken, J. Gandar, Dmitry A. Shapiro
{"title":"Strategic and Psychological Momentum in Professional Tennis: Online Appendix","authors":"C. Depken, J. Gandar, Dmitry A. Shapiro","doi":"10.2139/ssrn.3870545","DOIUrl":"https://doi.org/10.2139/ssrn.3870545","url":null,"abstract":"This is the online appendix for the published paper that contains additional econometrics models available at http://ssrn.com/abstract=3659495.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125422159","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
Reconsidering the Relation Between Profit Efficiency and Noninterest Income 利润效率与非利息收入关系的再思考
Decision-Making in Economics eJournal Pub Date : 2021-05-27 DOI: 10.2139/ssrn.3855041
J. Mcnulty, B. Stevenson
{"title":"Reconsidering the Relation Between Profit Efficiency and Noninterest Income","authors":"J. Mcnulty, B. Stevenson","doi":"10.2139/ssrn.3855041","DOIUrl":"https://doi.org/10.2139/ssrn.3855041","url":null,"abstract":"Profit efficiency is closely related to value creation, and researchers have found noninterest income to be a major determinant of profit efficiency. But DeYoung and Rice suggest that some banks have an excessive reliance on NII, pointing out that 1% of banks generate 18% of fee income, and that these are not the most profitable banks. Other studies support this view. This suggests that there is some optimal range of NII/Assets, and beyond that point bank profit efficiency declines. We test the hypothesis that NII reduces profit efficiency at some point and find no support for the hypothesis. Specifically, considering bank holding companies (BHCs) from 1996 through 2018, for all size groups, profit efficiency increases as NII increases. A significant source of NII for some BHCs is the provision of correspondent banking services, and these have been found to exhibit economies of scale. They have low variable cost once the correspondent relationship has been established (often many years in the past). This point helps explain the concentration of NII at a small number of banks and reconciles our results with others. <br>","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131258938","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
Intergenerational Transmission of Spousal Inequality 配偶不平等的代际传递
Decision-Making in Economics eJournal Pub Date : 2021-05-26 DOI: 10.4067/s0718-52862021000100005
Khoa Nguyen
{"title":"Intergenerational Transmission of Spousal Inequality","authors":"Khoa Nguyen","doi":"10.4067/s0718-52862021000100005","DOIUrl":"https://doi.org/10.4067/s0718-52862021000100005","url":null,"abstract":"This paper studies whether sons and daughters reproduce in their relationships the same intra-household inequalities observed for their parents in terms of some economic statuses (wages, income, work hours, and education). Additionally, we emphasize the relevance of transmission of preference and gender-role attitude in investigating household issues. Utilizing the Panel Study of Income Dynamics’ data we find that married sons imitate their parents’ household disparities more than married daughters. For parents and their daughter’s family, the similarity in household inequalities is insignificant. The paper also examines the differential patterns of the statuses and the dynamics of educational gap patterns across generations.<br>","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128050169","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: 1
Optimal Fee Structure of Variable Annuities 可变年金的最优收费结构
Decision-Making in Economics eJournal Pub Date : 2021-05-03 DOI: 10.2139/ssrn.3838777
Gu Wang, B. Zou
{"title":"Optimal Fee Structure of Variable Annuities","authors":"Gu Wang, B. Zou","doi":"10.2139/ssrn.3838777","DOIUrl":"https://doi.org/10.2139/ssrn.3838777","url":null,"abstract":"We study the design of fee structures of variable annuities as a stochastic control problem, in which an insurer is allowed to choose the fee structure in any form, and seeks an optimal one to maximize her expected discounted net profit. We obtain a semi-explicit characterization result for the optimal fee structure which is of barrier type with a free boundary. The insurer's optimal strategy is to charge fees if and only if the account value of variable annuities hits the free boundary from below, which differs from the constant fee structure that is commonly used in the industry, and other state- and time-dependent fee structures that have been proposed in the literature.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126761279","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
The Cross-Section of Household Preferences 家庭偏好的横截面
Decision-Making in Economics eJournal Pub Date : 2021-04-30 DOI: 10.2139/ssrn.3838878
Laurent E. Calvet, J. Campbell, Francisco Gomes, Paolo Sodini
{"title":"The Cross-Section of Household Preferences","authors":"Laurent E. Calvet, J. Campbell, Francisco Gomes, Paolo Sodini","doi":"10.2139/ssrn.3838878","DOIUrl":"https://doi.org/10.2139/ssrn.3838878","url":null,"abstract":"This paper estimates the cross-sectional distribution of Epstein-Zin preference parameters in a large administrative panel of Swedish households. We consider a life-cycle model of saving and portfolio choice that incorporates risky labor income, safe and risky financial assets inside and outside retirement accounts, and real estate. We study middle-aged stockowning households grouped by education, industry of employment, and birth cohort as well as by their accumulated wealth and risky portfolio shares. We find some heterogeneity in risk aversion (a standard deviation of 0.47 around a mean of 5.24 and median of 5.30) and considerable heterogeneity in the time preference rate (standard deviation 6.0% around a mean of 6.2% and median of 4.1%) and elasticity of intertemporal substitution (standard deviation 0.96 around a mean of 0.99 and median of 0.42). Risk aversion and the EIS are almost cross-sectionally uncorrelated, in contrast with the strong negative correlation that we would find if households had power utility with heterogeneous risk aversion. The TPR is weakly negatively correlated with both the other parameters. We estimate lower risk aversion for households with riskier labor income and higher levels of education, and a higher TPR and lower EIS for households who enter our sample with low initial wealth.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"283 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122294832","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: 38
Economic Vulnerability Is State Dependent 经济脆弱性取决于国家
Decision-Making in Economics eJournal Pub Date : 2021-04-07 DOI: 10.2139/ssrn.3821668
Leopoldo Catania, A. Luati, Pierluigi Vallarino
{"title":"Economic Vulnerability Is State Dependent","authors":"Leopoldo Catania, A. Luati, Pierluigi Vallarino","doi":"10.2139/ssrn.3821668","DOIUrl":"https://doi.org/10.2139/ssrn.3821668","url":null,"abstract":"This paper shows that different states of the financial system command a different effect in worsening financial conditions on economic vulnerability. As soon as financial conditions start deteriorating, the economic outlook becomes more pessimistic and uncertain. No increase in macroeconomic uncertainty is expected when financial conditions worsen from an already tighter than usual situation. We also find that past information on GDP growth is paramount to study and predict economic vulnerability. Both these findings have relevant forecasting and policymaking implications, and persist once we consider other measures of the real economic activity.<br><br>From a methodological perspective, we carry out the analysis under a novel approach which relies on the state of the art in dynamic modelling of multiple quantiles. The proposed methodology exploits the entire information of past GDP growth, can accommodate a state dependent effect of financial conditions and allows for statistical inference under the standard quasi maximum likelihood setting.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125592942","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
An Application of the Arrhenius Equation in Portfolio Modeling Arrhenius方程在投资组合建模中的应用
Decision-Making in Economics eJournal Pub Date : 2021-03-16 DOI: 10.2139/ssrn.3806118
Christos Floros, Konstantinos Gkillas, Christos E. Kountzakis
{"title":"An Application of the Arrhenius Equation in Portfolio Modeling","authors":"Christos Floros, Konstantinos Gkillas, Christos E. Kountzakis","doi":"10.2139/ssrn.3806118","DOIUrl":"https://doi.org/10.2139/ssrn.3806118","url":null,"abstract":"The aim of this paper is to provide a modeling of capital transfer between a portfolio consisted by two assets. For this purpose we use the Arrhenius Equation, which is a modeling tool for the specific modeling. We provide a stochastic differential equation of the Arrhenuis equation. We consider a unique uncertainty factor for this purpose, which arises from a generalization of It$hat{o}$ stochastic integral. The stochastic integral established in this paper, may become a tool of substitution in any application of the It$hat{o}$ stochastic integral in Finance.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"229 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114228674","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
Equity Portfolio Diversification: How Many Stocks Are Enough? Evidence From India 股票投资组合多元化:多少只股票才足够?来自印度的证据
Decision-Making in Economics eJournal Pub Date : 2021-02-21 DOI: 10.2139/ssrn.3790117
Rajan Raju, Sobhesh Kumar Agarwalla
{"title":"Equity Portfolio Diversification: How Many Stocks Are Enough? Evidence From India","authors":"Rajan Raju, Sobhesh Kumar Agarwalla","doi":"10.2139/ssrn.3790117","DOIUrl":"https://doi.org/10.2139/ssrn.3790117","url":null,"abstract":"How many stocks are required to reduce unsystematic risk significantly is an important question for investors. While there is a large body of research on the subject in the United States, there is little formal work on this question in India. We show that a 15-20 stock portfolio, the traditional market rule-of-thumb for a diversified portfolio, is likely inadequate to minimize unsystematic risk. We show that an investor could target to reduce diversifiable risk by 90% with a 90% confidence with a portfolio of 40-50 stocks. We build a practical framework that serves as a baseline for investors to target a specific reduction in diversifiable unsystematic risk at a chosen confidence level.","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117345267","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
A Bibliography for a BSM Retrospect BSM回顾参考书目
Decision-Making in Economics eJournal Pub Date : 2021-02-03 DOI: 10.2139/ssrn.3758188
Henry Wurts
{"title":"A Bibliography for a BSM Retrospect","authors":"Henry Wurts","doi":"10.2139/ssrn.3758188","DOIUrl":"https://doi.org/10.2139/ssrn.3758188","url":null,"abstract":"This is a bibliography provided for:<br>Wurts, Henry, A 50-year retrospect of the Black-Scholes-Merton (BSM) Argument through Three Questions (December 31, 2020). <br><br>Paper is available at: <a href=\"https://ssrn.com/abstract=3758187\">https://ssrn.com/abstract=3758187</a>.<br>","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"394 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121256354","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
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