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The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence 蓝筹股除息日价格行为:国际证据
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2013-01-28 DOI: 10.2139/ssrn.2021915
Anders Isaksson, Md. Mohibul Islam
{"title":"The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence","authors":"Anders Isaksson, Md. Mohibul Islam","doi":"10.2139/ssrn.2021915","DOIUrl":"https://doi.org/10.2139/ssrn.2021915","url":null,"abstract":"To explain the ex-day stock price behaviour, previous research has mostly focused on dividend yield and expected return. Most of these studies concentrated on the US markets and were conducted in a stable economic condition. This paper examines the most liquid common stock (blue-chip) prices behaviour on the ex-day in a period of financial crisis and covers four major capital markets from different geographic locations (the US, the UK, Japan, and China). On the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does not differ from the dividend amount on the ex-dividend day and there is no evidence of abnormal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall less than the dividend amount, which is in contrast to the London Stock Exchange, where the stock prices fall more than the dividend amount. On the Tokyo and London Stock Exchanges, we observe abnormal return and short-term trading around the ex-day. Possible explanations for these differences can be financial crisis (in the UK) and short-term trading (in the Japan)","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133696221","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: 7
Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study 多元随机波动模型的估计:蒙特卡罗比较研究
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-10-15 DOI: 10.2139/ssrn.2097717
M. Eratalay
{"title":"Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study","authors":"M. Eratalay","doi":"10.2139/ssrn.2097717","DOIUrl":"https://doi.org/10.2139/ssrn.2097717","url":null,"abstract":"In this paper, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider two new models that account for leverage effects. Our results confirm previous findings within the literature, namely, that the MCL estimator has better finite sample performance compared to the QML estimator. QML estimator's performance is closer to that of MCL estimator when the volatility processes have higher variance or when the correlations are high and/or time varying, but it performs relatively worse when leverage is introduced. Finally, we include an empirical illustration by estimating an MSV model with leverage using a trivariate data from the major European stock markets.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127782610","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
Analysis of Stock Indices and Their Impact on Market Index 股票指数及其对市场指数的影响分析
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-09-20 DOI: 10.2139/ssrn.2149401
P. Singh, Keyur Thaker
{"title":"Analysis of Stock Indices and Their Impact on Market Index","authors":"P. Singh, Keyur Thaker","doi":"10.2139/ssrn.2149401","DOIUrl":"https://doi.org/10.2139/ssrn.2149401","url":null,"abstract":"This study attempts analyse the different indices of ‘Bombay Stock Exchange’ (BSE) of India, in terms of risk return characteristics and their relatedness and predictibility to address the relavite neglect of past studies. Further it investigates the volatility impact of different sub indices of BSE on market index (BSE 30). By applying the mean variance approach and different performance ratios the risk return characteristics and performance of different indices is analyzed. ARIMA modelling is performed to forecast the market return at varying time lag. Further we analyse the volatility impact of different indices on the market index (BSE 30) with GARCH Modelling. The results indicate that medium cap indices perform better in terms of risk and return. We find a significant volatility impact of other indices on market index. The return of different indices are significantly related and it can be forecasted with help of ARIMA Model with one period time lag. Our study provides interesting insights to researchers and investors alike in the context of performance of stock indices in India.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130109807","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
The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme 中国融资融券试点计划的公告和实施情况
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-08-15 DOI: 10.2139/ssrn.2090274
S. Sharif, H. Anderson, Ben R. Marshall
{"title":"The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme","authors":"S. Sharif, H. Anderson, Ben R. Marshall","doi":"10.2139/ssrn.2090274","DOIUrl":"https://doi.org/10.2139/ssrn.2090274","url":null,"abstract":"Purpose - – The purpose of this paper is to investigate how the announcement and implementation of short sales and margin trading regulation affects Chinese stock returns and trading volume. On 31 March 2010, the Chinese regulators launched a pilot programme, allowing short sales and margin trading for 50 Shanghai Stock Exchange and 40 Shenzhen Stock Exchange stocks. Design/methodology/approach - – This paper uses an event study approach to compare market model abnormal returns (ARs) of the pilot firms with two distinct matched firm samples. A volume event study is also conducted to examine abnormal trading activity surrounding the key events in the pilot stocks. Findings - – Negative ARs follow both the announcement and implementation of short selling and margin trading. This suggests the negative impact of short sales dominates the positive impact of margin trading on an average. Volume also declines, which is consistent with uninformed investors’ seeking to avoid trading against informed traders. Originality/value - – The paper appears to be the first to address the impact of both the announcement and implementation of short selling and margin trading rule changes on returns and liquidity using individual stock data.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126059802","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: 15
Population Aging and the Effects on Real Estate and Financial Asset Returns 人口老龄化对房地产和金融资产收益的影响
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-05-08 DOI: 10.2139/ssrn.2158474
Huong (Vina) Nguyen
{"title":"Population Aging and the Effects on Real Estate and Financial Asset Returns","authors":"Huong (Vina) Nguyen","doi":"10.2139/ssrn.2158474","DOIUrl":"https://doi.org/10.2139/ssrn.2158474","url":null,"abstract":"This paper investigates the effects of each age group in the population on housing prices, the returns on different classes of bonds and the excess returns on equity across countries and over time. Previous empirical research focusing on a single country found a negative effect of the ratio of the old to working population on the returns to all assets. However, a more complete framework that encompasses both individuals' consumption-saving decision and portfolio allocation may advance our understanding of how population aging influences asset returns. I construct a high-order polynomial estimation of the demographic structure and then run an unbalanced panel regression with time fixed effects on the change in housing prices (37 countries), total returns of equity indices (53 countries) and total returns on bonds (53 countries). The results show that population aging has the strongest effect on housing prices. Real returns on housing and bond decline as the population gets older. On the other hand, equity premium is higher in countries with relatively older population indicating that risk aversion increases with age. As a robustness check, the joint estimation results using Seemingly Unrelated Regressions are consistent with the individual regressions.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123364771","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
Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls 给邻居泡沫化:资本管制的投资组合效应和外部性
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-04-27 DOI: 10.2139/ssrn.2056491
{"title":"Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls","authors":"","doi":"10.2139/ssrn.2056491","DOIUrl":"https://doi.org/10.2139/ssrn.2056491","url":null,"abstract":"We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on foreign investment in bonds causes investors to significantly decrease their portfolio allocations to Brazil in both bonds and equities. Investors simultaneously increase allocations to other countries that have substantial exposure to China and decrease allocations to countries viewed as more likely to use capital controls. Much of the effect of capital controls on portfolio flows appears to occur through signalling —i.e. changes in investor expectations about future policies— rather than the direct cost of the controls. This evidence of significant externalities from capital controls suggests that any assessment of controls should consider their effects on portfolio flows to other countries. JEL Classification: F3, F4, F5, G0, G1","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131208187","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: 19
Chinese Outbound Investments into US (2004-2012) 中国对美对外投资(2004-2012)
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-04-10 DOI: 10.2139/ssrn.2037732
Petter N. Kolm, H. Tillman
{"title":"Chinese Outbound Investments into US (2004-2012)","authors":"Petter N. Kolm, H. Tillman","doi":"10.2139/ssrn.2037732","DOIUrl":"https://doi.org/10.2139/ssrn.2037732","url":null,"abstract":"This study analyses Chinese outbound investment into the US since 2004, the year when the Chinese made their initial major acquisition of a US owned organisation. The empirical data is from 2004-2012 inclusive, and extends across M&A/equity investments as well as major Bank Loans and major Trade Agreements. The data has been assembled solely from public sources, and in many cases, from the Grisons Peak China Outbound database. In this study, we posit that there are three distinctive stages of Chinese outbound investments into the US: (1) an initial phase (2004-2006), (2) financial services brands via equity/funds Investments (2007-2009), and (3) a shift to trade agreements (post financial crisis). For each phase we discuss the main transactions and their characteristics.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124801810","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
Real Options in Foreign Investment: A South American Case Study 国外投资中的实物期权:一个南美的案例研究
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2022937
Michael J. Naylor, J. Boardman
{"title":"Real Options in Foreign Investment: A South American Case Study","authors":"Michael J. Naylor, J. Boardman","doi":"10.2139/ssrn.2022937","DOIUrl":"https://doi.org/10.2139/ssrn.2022937","url":null,"abstract":"The levels of foreign investment globally have increased at a rapid pace during recent years. However valuing these investments is complex and involves additional risks. We argue that foreign investment opportunities can often be best structured as a series of investment options, and thus the investment appraisal should often be carried out using a real options framework. The ability to expand globally is now a core corporate skill. Quality appraisals will assist businesses to make fundamentally better capital budgeting decisions. We illustrate the use of real option investment appraisal via a case study re-traces Force Corporation’s troubled investment via Village South America in Argentina. A FDI investment decision is recreated and evaluated.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115385705","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
Benchmark Management During Australia's Transition to International Accounting Standards 澳大利亚向国际会计准则过渡期间的基准管理
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-03-01 DOI: 10.1111/j.1467-6281.2012.00357.x
Spphie Bentwood, Philip J. Lee
{"title":"Benchmark Management During Australia's Transition to International Accounting Standards","authors":"Spphie Bentwood, Philip J. Lee","doi":"10.1111/j.1467-6281.2012.00357.x","DOIUrl":"https://doi.org/10.1111/j.1467-6281.2012.00357.x","url":null,"abstract":"Practitioners and commentators have raised concerns that Australian companies exploited opportunities to benchmark manage during the transition to international financial reporting standards (IFRS). However, as yet, no paper has explored this possibility. This study analyses the reconciliations of AGAAP into AIFRS for 457 companies listed on the ASX 500. Results show that 16.85% of companies provided erroneous information of a material nature in their reconciliations and that, on the balance of probabilities, 5.03% of companies in the sample managed their prior year's earnings benchmarks. This has implications for countries considering whether to adopt IFRS and countries which have already established timetables for their transitions.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121169032","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: 5
Idiosyncratic Risk and the Cross-Section of European Real Estate Stock Returns 特质风险与欧洲房地产股票收益的横截面
ERN: Econometric Case Studies of Global Financial Markets (Topic) Pub Date : 2012-02-17 DOI: 10.2139/ssrn.2007181
K. Schulte
{"title":"Idiosyncratic Risk and the Cross-Section of European Real Estate Stock Returns","authors":"K. Schulte","doi":"10.2139/ssrn.2007181","DOIUrl":"https://doi.org/10.2139/ssrn.2007181","url":null,"abstract":"This study examines the role of idiosyncratic risk in the pricing of European real estate equities. The capital asset pricing model predicts that in equilibrium investors should hold the market portfolio. As a result, investors should only be rewarded for carrying undiversifiable systematic risk and not for diversifiable idiosyncratic risk. This study is adding to the growing body of countering studies by examining the relationship in both an unconditional and a conditional framework. While size and book-to-market equity are unconditionally related to real estate equity returns, realised and expected idiosyncratic volatility are not priced. However, analysing the relationship between idiosyncratic risk and real estate equity returns in the conditional setting discloses the positive pricing in up-markets and negative pricing in down-markets of both idiosyncratic risk measures. The results are robust to i.) different time periods, ii.) return currency, iii.) return weighting, iv.) country effects, and v.) the measure of expected idiosyncratic volatility.","PeriodicalId":237209,"journal":{"name":"ERN: Econometric Case Studies of Global Financial Markets (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131649275","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: 5
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