European Finance eJournal最新文献

{"title":"One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area","authors":"G. Corsetti, João B. Duarte, Samuel Mann","doi":"10.2139/ssrn.3652496","DOIUrl":"https://doi.org/10.2139/ssrn.3652496","url":null,"abstract":"We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity, which we find to be low in financial variables and output, but significant in consumption, consumer prices, and variables related to local housing and labor markets. Building a small open economy model featuring a housing sector and calibrating it to Spain, we show that varying the share of adjustable-rate mortgages and loan-to-value ratios explains up to one-third of the cross-country heterogeneity in the responses of output and private consumption.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128198669","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":"Short-termist Investment and Time Preferences","authors":"Wolfgang Breuer, Andreas Knetsch, A. Salzmann","doi":"10.2139/ssrn.3810880","DOIUrl":"https://doi.org/10.2139/ssrn.3810880","url":null,"abstract":"This paper investigates the effect of shareholder and manager time preferences on short-termist investment behavior. Our theoretical analysis shows that managerial future orientation curtails short-termism whereas shareholder patience exacerbates it. We test these predictions by comparing the effects of time preferences on investment horizons of listed and unlisted firms in a sample of European firms. Based on the assumption that unlisted firms suffer from less asymmetric information, the effects of future orientation on investment horizons that are exclusive to listed firms provide weak support for our hypotheses. When considering future orientation on a national level, we find some evidence for firms in more future-oriented countries investing more long-term oriented. We can however not confirm the widespread notion that firms in more future-oriented countries suffer from less short-termism.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121948364","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":"Ползите от задължително нефинансово отчитане без единна рамка за оповестяване (The Benefits of Mandatory Non-Financial Reporting Without a Single Disclosure Framework)","authors":"A. Atanasov","doi":"10.2139/ssrn.3677255","DOIUrl":"https://doi.org/10.2139/ssrn.3677255","url":null,"abstract":"Bulgarian abstract: Целта на тази публикация е да предостави критичен анализ на приложимостта на Европейската директива за нефинансово отчитане и по-специално на прилаганите рамки за нефинансово оповестяване. Резултатите от изследването, основани на преглед на специализираната литература и анализ на приложимите в момента рамки за докладване, показват широк спектър от използваните рамки за разкриване на нефинансова информация. На тази основа се стига до заключението, че е необходима единна рамка за докладване на нефинансова информация, тъй като използването на множество рамки създава предпоставки за несъпоставимост на разкритата информация, от една страна, и дава възможност за формално изпълнение на изискванията на европейската Директива от друга. \u0000 \u0000English abstract: The purpose of this publication is to provide a critical analysis of the applicability of the European Non-Financial Reporting Directive, and in particular of the non-financial disclosure framework applied. The results of the study, based on a literature review of the specialized literature and analysis of currently applicable reporting frameworks, show a wide range of disclosure frameworks used. On this basis, it is concluded that a single framework for non-financial information disclosure is needed, since the use of multiple disclosure frameworks creates prerequisites for the incompatibility of disclosed information on the one hand and enables the formal fulfillment of the requirements of the European Directive on the other.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122669318","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":"EU Banking in the COVID-19 Crisis: Time for a 'New Deal'","authors":"P. Nathanial, L. van der Heyden","doi":"10.2139/ssrn.3610653","DOIUrl":"https://doi.org/10.2139/ssrn.3610653","url":null,"abstract":"The current COVID-19 sanitary and economic crisis requires a “New Deal” between EU governments and EU banks: EU banks agree to partner with governments in enabling the effective transmission of the government’s vital financial support to the real economy in exchange for a transformation of the EU banking sector. This deal consists of a quid pro quo: governments condition the transmission via the banking sector of considerable monies to the real economy on a rationalization of the EU banking sector, which thus would become part of the post-COVID-19 “new normal.”To be successful, this unparalleled support of the EU economy will come with governmental guarantees and fees for banking services. Banks partnering in the salvage operation would be required to review and render their business models “fit for purpose.” A three-layered banking ecosystem in the EU should thus emerge one serving large corporates across the EU and also abroad, a second serving particular geographies and industries, and a third one more focused on retail clients and communities. Given the EU's openness and size, the region should host several banks of global standing and reach. The COVID-19 crisis is also an opportune time to enhance EU capital markets as a complement to the banking sector, especially with London's departure as a European financial center. The necessity of this project has been stated by many; COVID-19 has made it imperative to act. If this “New EU Banking Deal” deal does not materialize, the EU saga will include one more lost opportunity. More importantly, the consequences for both the banking sector and the entire EU financial and economic systems risk being dire. EU and banking authorities will have added to the costs of the economic and health catastrophes unfolding in front of us. Effective EU governance has never been more necessary in the face of major global issues such as COVID-19, climate change, and North-South migration. Now is the time for EU nations and their leaders in the public and private sectors to agree to a more robust financial union serving the EU population and its corporations. In doing so, the EU leadership will have met the growing concerns of an impatient EU public querying the purpose and value of the EU project.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132439257","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":"Shareholder Return of the Euro Stoxx 50 Companies: 2004 – 2020","authors":"Pablo Fernández, Eduardo de Apellániz","doi":"10.2139/ssrn.3600217","DOIUrl":"https://doi.org/10.2139/ssrn.3600217","url":null,"abstract":"We calculate the shareholder returns of the companies in the Euro Stoxx 50 in the period 2004 - April 2020. We analyze 62 companies: 47 that were in the Euro Stoxx 50 in April 2020 and had trading records since December 2004 and 15 companies that had been in the Euro Stoxx 50 in the period. In the period December 2004-April 30, 2020, 19 companies had negative return and the average annual return was 4,8%. In the first four months of 2020, 6 companies had positive return and the average return was -24,4%. In the period December 2018-April 30, 2020, 26 companies had positive return and the average return was -3,2%. The correlation of return (December 2004-April 30, 2020) and Market Cap. in 2004 was -38%. The correlation of return (December 2018-April 30, 2020) and Market Cap. in 2018 was 43%. 34 companies had a price decrease (including dividends received) in the period 2004 – April 30, 2020 higher than 60%, 46 companies higher than 50% and 55 companies higher than 40%.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132070049","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 Co-holding Puzzle: New Evidence from Transaction-Level Data","authors":"John Gathergood, Arna Olafsson","doi":"10.2139/ssrn.3607560","DOIUrl":"https://doi.org/10.2139/ssrn.3607560","url":null,"abstract":"Using detailed and highly-disaggregated data on spending, income, bank account balances, and consumer credit, we examine the tendency of individuals to \"co-hold\", i.e., to simultaneously hold low-interest liquid deposit balances and high-interest debt in the form of overdrafts. The disaggregated nature of the data allows us to calculate co-holding at daily frequency, while prior studies have relied on more aggregated measures. Daily measures reveal that co-holding is less common than these prior studies have documented, occurring on approximately 15% of individual A? days in our baseline calculations. Most spells of co-holding are also short, lasting less than one calendar month. The detailed data allow us to examine the empirical relevance of the competing explanations for co-holding. When brought to the data, we find that co-holding appears to be driven by behavioral rather than rational forces. More specifically, we find evidence in support of explanations for co-holding based upon mental accounting while we find rational explanations for co-holding to be empirically much less relevant.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124467440","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":"Classical Option Pricing and Some Steps Further","authors":"Victor Olkhov","doi":"10.2139/ssrn.3587369","DOIUrl":"https://doi.org/10.2139/ssrn.3587369","url":null,"abstract":"This paper modifies single assumption in the base of classical option pricing model and derives further extensions for the Black-Scholes-Merton equation. We regard the price as the ratio of the cost and the volume of market transaction and apply classical assumptions on stochastic Brownian motion not to the price but to the cost and the volume. This simple replacement leads to 2-dimensional BSM-like equation with two constant volatilities. We argue that decisions on the cost and the volume of market transactions are made under agents expectations. Random perturbations of expectations impact the market transactions and through them induce stochastic behavior of the underlying price. We derive BSM-like equation driven by Brownian motion of agents expectations. Agents expectations can be based on option trading data. We show how such expectations can lead to nonlinear BSM-like equations. Further we show that the Heston stochastic volatility option pricing model can be applied to our approximations and as example derive 3-dimensional BSM-like equation that describes option pricing with stochastic cost volatility and constant volume volatility. Diversity of BSM-like equations with 2 – 5 or more dimensions emphasizes complexity of option pricing problem. Such variety states the problem of reasonable balance between the accuracy of asset and option price description and the complexity of the equations under consideration. We hope that some of BSM-like equations derived in this paper may be useful for further development of assets and option market modeling.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134331092","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":"Stock Picking with Machine Learning","authors":"D. Wolff, F. Echterling","doi":"10.2139/ssrn.3607845","DOIUrl":"https://doi.org/10.2139/ssrn.3607845","url":null,"abstract":"We analyze machine learning algorithms for stock selection. Our study builds on weekly data for the historical constituents of the S&P500 over the period from January 1999 to March 2021 and builds on typical equity factors, additional firm fundamentals, and technical indicators. A variety of machine learning models are trained on the binary classification task to predict whether a specific stock outperforms or underperforms the cross‐sectional median return over the subsequent week. We analyze weekly trading strategies that invest in stocks with the highest predicted outperformance probability. Our empirical results show substantial and significant outperformance of machine learning‐based stock selection models compared to an equally weighted benchmark. Interestingly, we find more simplistic regularized logistic regression models to perform similarly well compared to more complex machine learning models. The results are robust when applied to the STOXX Europe 600 as alternative asset universe.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121205759","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":"ICO vs. Equity Financing Under Imperfect, Complex and Asymmetric Information","authors":"A. Miglo","doi":"10.2139/ssrn.3539017","DOIUrl":"https://doi.org/10.2139/ssrn.3539017","url":null,"abstract":"This paper offers a model of a firm that raises funds for financing an innovative business project and chooses between ICO (initial coin offering) and equity financing. The model is based on information problems associated with both ICO and equity financing well documented in literature. The model provides several implications that have not yet been tested. For example we find that the message complexity can be benefitial for firms conducting ICOs. Also high-quality projects can use ICO as a signal of quality. Thirdly the average size of projects undertaking equity financing is larger than that of firms conducting ICO.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128206570","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":"Bolsa en España. ITBM: 1940-2020 (27marzo), (Spanish Stock Exchange. ITBM. 1940-27 March 2020)","authors":"Pablo Fernández, Eduardo de Apellániz","doi":"10.2139/ssrn.3562943","DOIUrl":"https://doi.org/10.2139/ssrn.3562943","url":null,"abstract":"Spanish Abstract: El descenso de la Bolsa en Espana (ITBM) en el mes de marzo (hasta el viernes 27) ha sido un 22,9%. Es un importante descenso, pero los ha habido (de momento) mayores. Observando la evolucion bursatil de los ultimos 80 anos, se corrobora que la bolsa espanola ya ha tenido descensos muy superiores a los del mes de marzo de 2020. \u0000Se muestra la evolucion del ITBM desde 1940 hasta el 27 de marzo de 2020. Se utiliza el Indice Total de la Bolsa de Madrid (ITBM) porque el IBEX 35 solo tiene 31 anos de historia. Se muestra que la evolucion del ITBM y del IBEX 35 con dividendos es practicamente igual. \u0000 \u0000English Abstract: The decrease in the Spanish Stock Market (ITBM) in the month of March (until Friday 27) has been 22.9%. It is a significant decline, but there have been (so far) greater. Observing the stock market evolution of the last 80 years, it is corroborated that the Spanish stock market has already had declines much higher than those of March 2020. The evolution of the ITBM from 1940 to March 27, 2020 is shown. \u0000 \u0000The Total Index of the Madrid Stock Exchange (ITBM) is used because the IBEX 35 has only 31 years of history. The evolution of the ITBM and the IBEX 35 with dividends is shown to be practically the same.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124028026","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}