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Searching for Lost Decades in U.S and Global Equities 寻找美国和全球股市失去的几十年
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-09-28 DOI: 10.2139/ssrn.2153960
B. LeBaron
{"title":"Searching for Lost Decades in U.S and Global Equities","authors":"B. LeBaron","doi":"10.2139/ssrn.2153960","DOIUrl":"https://doi.org/10.2139/ssrn.2153960","url":null,"abstract":"This paper estimates the probability of a “lost decade” where equity investments lose value over a ten year period. The findings are a reminder that equity investments are risky even over longer time periods, and investors should take this into consideration when making portfolio choices. It also introduces a simple method to allow the reader to combine beliefs about long run stock returns along with computer simulated return distributions. Finally, the results for the U.S. are augmented with international data which strengthen the case for long horizon risk.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115642257","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
Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest Rate: Evidence Based on Cointegration Models with Structural Break 评价巴西利率期限结构结构性变化的存在性:基于结构断裂协整模型的证据
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-09-13 DOI: 10.2139/ssrn.2146139
Emerson Fernandes Marçal, Pedro L. Valls Pereira
{"title":"Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest Rate: Evidence Based on Cointegration Models with Structural Break","authors":"Emerson Fernandes Marçal, Pedro L. Valls Pereira","doi":"10.2139/ssrn.2146139","DOIUrl":"https://doi.org/10.2139/ssrn.2146139","url":null,"abstract":"This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114481107","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
Time–Varying Dynamics and Asymmetric Effects of the Fama–French Factor Betas Fama-French因子β的时变动力学和非对称效应
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-08-26 DOI: 10.2139/ssrn.2136751
P. Kalev, L. Zolotoy
{"title":"Time–Varying Dynamics and Asymmetric Effects of the Fama–French Factor Betas","authors":"P. Kalev, L. Zolotoy","doi":"10.2139/ssrn.2136751","DOIUrl":"https://doi.org/10.2139/ssrn.2136751","url":null,"abstract":"We examine the impact of information shocks on systematic equity risk in a multiple-factor linear model framework. Using nonparametric and parametric models, we test for the presence of asymmetric effects of information shocks on the Fama–French factor betas. Overall, we document that market, size and book-to-market betas display different asymmetry patterns with respect to new information. More specifically, we find that market factor betas increase (decrease) following large negative (positive) market innovations. No evidence of an asymmetric response to the news is found for the size (SMB) factor betas. The book-to-market betas seem to decrease (increase) following large negative (positive) shocks to the book-to-market (HML) portfolio. Based on dynamic estimates of our empirical Fama–French betas we derive the economic values which an investor can gain by using dynamic factor loadings in portfolio selection. Finally, using stochastic dominance principles, we compare the performance of industry hedge portfolios.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130643856","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
Anatomy of Aborted Stock Repurchases 股票回购失败的剖析
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-08-22 DOI: 10.2139/ssrn.2134206
Hamid Rahman, Qian Sun, Kenneth Yung
{"title":"Anatomy of Aborted Stock Repurchases","authors":"Hamid Rahman, Qian Sun, Kenneth Yung","doi":"10.2139/ssrn.2134206","DOIUrl":"https://doi.org/10.2139/ssrn.2134206","url":null,"abstract":"The motivation and characteristics of firms that announce stock repurchase programs but do not carry them out are poorly understood. We conjecture that the long-term earnings quality of such firms is low, which makes them poor candidates for subsequent stock purchase. Their announcement is just a bluff, possibly to get a short-term bounce in their stock price. We find evidence of poor long-term earnings quality in these firms in the pre-purchase period with further deterioration in the post-purchase period. A probit model confirms that poor long-term quality of accruals, a proxy for earnings quality, increases the chance of not carrying through on the repurchase announcement. We find a significant relationship between long-term earnings quality and subsequent performance for firms that carry through on their purchase plans but no such evidence for firms that do not.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129588054","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
Liquidity, Volume and Price Efficiency: The Impact of Order vs. Quote Driven Trading 流动性、成交量和价格效率:订单与报价驱动交易的影响
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-07-27 DOI: 10.2139/ssrn.1345156
Katya Malinova, A. Park
{"title":"Liquidity, Volume and Price Efficiency: The Impact of Order vs. Quote Driven Trading","authors":"Katya Malinova, A. Park","doi":"10.2139/ssrn.1345156","DOIUrl":"https://doi.org/10.2139/ssrn.1345156","url":null,"abstract":"As equity trading becomes predominantly electronic, is there still value to a traditional, intermediated dealer system? We address this question by comparing the impact of the organization of trading on volume, liquidity, and price efficiency in a quote-driven dealer market and in an order-driven limit order book. Small order price impacts are higher and large order price impacts are lower in a dealer market. Prices are more efficient in the limit order book, except when the level of informed trading is high. Volume is higher in a limit order market, making this system most attractive for trading venues.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125054580","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: 18
The Investigation of a Short Sell Ban in a Selected Market 某一特定市场的卖空禁令调查
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-07-27 DOI: 10.2139/SSRN.2134895
Dagmar Linnertová
{"title":"The Investigation of a Short Sell Ban in a Selected Market","authors":"Dagmar Linnertová","doi":"10.2139/SSRN.2134895","DOIUrl":"https://doi.org/10.2139/SSRN.2134895","url":null,"abstract":"The hypothesis of overvaluation argues that short sell restrictions are reflected in security prices by their over valuation. In the situation when short sell is prohibited or expansive pessimistic investors expectation are not reflected in security prices. In the paper is examine impact of short sell ban in the price of banking and other financial institution stocks in France in the period Aug. 11, 2011 to Feb. 13, 2012. According to ARs and CARs the hypothesis of over valuation is not confirmed getting mixed results based on the market model and the adjusted market model as well.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125688626","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
Equities Market Level 股票市场水平
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-07-25 DOI: 10.2139/ssrn.2117625
Andrew Ang
{"title":"Equities Market Level","authors":"Andrew Ang","doi":"10.2139/ssrn.2117625","DOIUrl":"https://doi.org/10.2139/ssrn.2117625","url":null,"abstract":"Equities have exhibited high returns relative to bonds and cash (bills) historically. The equity risk premium is a reward for bearing losses during bad times, where the risks of bad times are defined by low consumption growth, disasters, or long-run risks. Other investor characteristics including income and beliefs may also affect the equity risk premium. Equities have historically been a surprisingly poor hedge against inflation. While theory suggests that equity risk premiums are predictable, theory also suggests that the predictability is hard to detect statistically and this is verified empirically. Equity volatility, on the other hand, is much more predictable than equity risk premiums.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124516501","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
Stock Market Optimism and Portfolio Allocation of American Households 股市乐观与美国家庭投资组合配置
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-07-17 DOI: 10.2139/ssrn.2084273
Orçun Kaya
{"title":"Stock Market Optimism and Portfolio Allocation of American Households","authors":"Orçun Kaya","doi":"10.2139/ssrn.2084273","DOIUrl":"https://doi.org/10.2139/ssrn.2084273","url":null,"abstract":"This paper employs subjective stock market expectation responses from Health and Retirement Survey as a proxy for stock market optimism of American households. I first ask if individuals are inert in terms of forming their optimistic stock market views. Second I analyze the impact of optimism on portfolio allocation of individuals by disentangling between time-varying and time constant individual traits. To do the two stage estimation, I use the latterly enhanced bias correction method from Fernandez-Val and Vella (2011) which allows the estimation of a dynamic probit model with fixed effects and bias corrected mills ratio. My results reveal that stock market optimism is a persistent subjective perception where individuals are inert in their way off processing information and updating their beliefs. Additionally, optimistic individuals tend to invest more in risky assets in their financial portfolios where time-varying individual specific factors have adverse effects.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114407504","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
Is LNG Arbitrage Possible in Natural Gas Market? 天然气市场能否实现LNG套利?
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-07-16 DOI: 10.2139/ssrn.2110234
Y. Yegorov, Jalal Dehnavi
{"title":"Is LNG Arbitrage Possible in Natural Gas Market?","authors":"Y. Yegorov, Jalal Dehnavi","doi":"10.2139/ssrn.2110234","DOIUrl":"https://doi.org/10.2139/ssrn.2110234","url":null,"abstract":"The dynamics of markets for natural gas during the last years included the higher role of LNG in gas trade, the growing role of spot markets, deregulation, liberalization and competition in national gas markets. Rising flexibility in contracts’ destination clauses created new international arbitrage opportunities. However, technical, contractual and market restrictions, difference in LNG qualities, shipping capacity limitation and high transportation costs are the most important barriers for an arbitrageur in LNG market. This paper studies the main barriers for LNG arbitrage and its cost. Using the time series for natural gas prices in different regional markets, we show to what extent arbitrage between three main hubs was possible, and discuss why the markets do not converge to unique world price for natural gas.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"213 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116668051","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
Dynamic Factor Multivariate GARCH Model 动态因素多元GARCH模型
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-24 DOI: 10.2139/ssrn.2110298
A. P. Santos, G. V. Moura
{"title":"Dynamic Factor Multivariate GARCH Model","authors":"A. P. Santos, G. V. Moura","doi":"10.2139/ssrn.2110298","DOIUrl":"https://doi.org/10.2139/ssrn.2110298","url":null,"abstract":"A novel multivariate factor GARCH specification is used to obtain conditional covariance matrices of minimum variance portfolios containing a very large number of assets. The approach allows for time varying factor loads, and achieves great flexibility by allowing alternative specifications for the covariance among factors and for the variance of the asset-specific part of return. Minimum variance portfolios based on the proposed conditional covariance matrix specification are shown to deliver less risky portfolios in comparison to benchmark models, including existing factor approaches.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128797302","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: 35
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