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Diversification Benefits of Sector Investments in Indian Capital Market 印度资本市场部门投资的多元化效益
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-22 DOI: 10.2139/ssrn.2067934
Amitesh Kapoor
{"title":"Diversification Benefits of Sector Investments in Indian Capital Market","authors":"Amitesh Kapoor","doi":"10.2139/ssrn.2067934","DOIUrl":"https://doi.org/10.2139/ssrn.2067934","url":null,"abstract":"Since inception of sector indices in India there hasn’t been sufficient and adequate study done to understand the benefits of sector investments and their diversification. This paper analysis the risk, return and diversification benefits of Indian sector investments. Fast moving consumer goods (BSE-FMCG), consumer durable (BSE-CD), health care (BSE-HC), and automobile (BSE-AUTO) sectors have outperformed the benchmark as well as other sectors and have provided positive alpha. But, the sectors like banking (BANKEX), technology (BSE-TECH), oil and gas (BSE-OILGAS), infotech (BSE-INFOTECH), and metal (BSE-METAL) had negative alphas. Mean variance optimization analysis indicates that fast moving consumer goods (48.04%), consumer durable (47.37%), and health care (4.56%) sectors should have maximized the risk adjusted performance measures (Sharpe Ratio, Trenor’s Ratio, Information Ratio).","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114968846","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
Online Learning of Informed Market Making 知情做市的在线学习
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-13 DOI: 10.2139/ssrn.2083686
Gal Zahavi, Ori Gil
{"title":"Online Learning of Informed Market Making","authors":"Gal Zahavi, Ori Gil","doi":"10.2139/ssrn.2083686","DOIUrl":"https://doi.org/10.2139/ssrn.2083686","url":null,"abstract":"Many economic markets, including most major stock exchanges, employ market-makers to aid in the transactions and provide a better quality market. This Study is aimed to establish an analytical foundation for electronic market making strategy, by giving a probabilistic interpretation to the Bid-Ask spread. The suggested strategy will be optimized with on-line learning from the high frequency data of the TASE (Tel Aviv Stock Exchange) order book. Based on this foundation, we wish to create an automated securities dealer that will perform the task of providing liquidity to the markets efficiently, and with low downturn risk. We compare the expected performance of the automated dealer with several bench mark measures of Market liquidity such as those presented in Roll (1984) and Glosten & Milgrom (1985).","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133745646","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
Range-Based Analysis of Volatility Spillovers in European Financial Markets 基于区间的欧洲金融市场波动溢出效应分析
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-07 DOI: 10.2139/ssrn.2079752
Gregory Connor, Lena Golubovskaja
{"title":"Range-Based Analysis of Volatility Spillovers in European Financial Markets","authors":"Gregory Connor, Lena Golubovskaja","doi":"10.2139/ssrn.2079752","DOIUrl":"https://doi.org/10.2139/ssrn.2079752","url":null,"abstract":"We analyze multivariate time series of daily high-low ranges of national equity market indices to measure intra-daily volatility dynamics across four continental European markets. We use a dynamic linear model of expected daily range which is a variant of Chou’s conditional autoregressive range model. We find significant, but not uniform, range-based volatility spillovers between the European markets. The strongest spillover comes from the previous day’s realized range of the US market index. We also find that average daily range increased sharply during the European financial crisis, and the degree of autoregressive persistence also increased uniformly.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124315626","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
Predicting Power of Yield Curve – A Study of Indian Sovereign Yield Spread 收益率曲线的预测能力——印度国债收益率价差研究
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2078920
G. Nath, M. Dalvi, Saurabh Singh
{"title":"Predicting Power of Yield Curve – A Study of Indian Sovereign Yield Spread","authors":"G. Nath, M. Dalvi, Saurabh Singh","doi":"10.2139/ssrn.2078920","DOIUrl":"https://doi.org/10.2139/ssrn.2078920","url":null,"abstract":"In recent years, there has been renewed interest in the yield curve as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor for the Indian market. The paper tries to indicate how the yield curve spread in a government securities market may be used to indicate the future economic activity in an economy like India. The slope of the yield curve has often been considered as a leading economic indicator. The study suggests that the yield curve spread measured by the difference in the spot rates of 10-year and 3 months have predictive power to estimate the economic activity in terms of Index of Industrial production. Using the yield curve data from 1997-2011, the study has found that the yield curve spread can be used to estimate future economic activity.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"281 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116050704","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
Empirical Comparison of Robust Portfolios' Investment Effects 稳健投资组合投资效果的实证比较
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-04 DOI: 10.2139/ssrn.2075555
Bartosz Kaszuba
{"title":"Empirical Comparison of Robust Portfolios' Investment Effects","authors":"Bartosz Kaszuba","doi":"10.2139/ssrn.2075555","DOIUrl":"https://doi.org/10.2139/ssrn.2075555","url":null,"abstract":"The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios properties and portfolios investment effect are compared. This paper proposes a practical methodology of comparing alternative estimation methods, based on random portfolio selection. This approach enables to analyse investment effects of various portfolios. The empirical analysis shows that for MVP portfolios with nonnegative constraints created using robust methods, there is no significant risk improvement, and that even for most robust methods, there is an observable significant risk increase compared to the risk of classical portfolios. This paper also shows that robust portfolio estimators cause higher transaction cost.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131753510","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
The Equity Underpricing Puzzle: A Case of Untoward/Weird Data Selection 股票定价过低之谜:一个不恰当/怪异的数据选择案例
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-03 DOI: 10.2139/ssrn.2133944
N. Ahamed
{"title":"The Equity Underpricing Puzzle: A Case of Untoward/Weird Data Selection","authors":"N. Ahamed","doi":"10.2139/ssrn.2133944","DOIUrl":"https://doi.org/10.2139/ssrn.2133944","url":null,"abstract":"Investors and other financial economists are interested in how the stock market values are forms equity (i.e. shares). In the fundamental sense, the value of a firm’s shares should reflect investor’s expectations of the firm’s future profitability and sustainability. However, data on expected future profitability is non existent and uncertain. One has to rely on the past performances of the firm to determine them. There is a conflict between earlier researches and the recent ones regarding the undervaluation of IPOs of companies in comparison with their FPOs/SEOs","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133825787","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
Price and Earnings Momentum in Australian Stock Returns 澳大利亚股票收益的价格和收益势头
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-01 DOI: 10.1111/j.1467-629X.2010.00395.x
P. Schneider
{"title":"Price and Earnings Momentum in Australian Stock Returns","authors":"P. Schneider","doi":"10.1111/j.1467-629X.2010.00395.x","DOIUrl":"https://doi.org/10.1111/j.1467-629X.2010.00395.x","url":null,"abstract":"There is no prior published Australian research on earnings momentum and only one prior unpublished work of limited depth and scope. We provide some of the first Australian evidence on earnings momentum and revisit price momentum with the first Australian evidence of the behaviour of returns beyond 12 months. Price momentum is found to be a feature of this market, but there is some reversal of returns during the second year after portfolio formation, suggesting trend chasing behaviour. Earnings momentum is also present, but with weak continuation into the second year. Price momentum and earnings momentum are shown to provide independent explanatory power over future returns.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121016564","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: 24
Liquidity Needs, Private Information, Feedback Trading: Verifying Motives to Trade 流动性需求、私有信息、反馈交易:交易动机的验证
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-06-01 DOI: 10.2139/ssrn.2102572
Bartosz Gebka, Dobromił Serwa
{"title":"Liquidity Needs, Private Information, Feedback Trading: Verifying Motives to Trade","authors":"Bartosz Gebka, Dobromił Serwa","doi":"10.2139/ssrn.2102572","DOIUrl":"https://doi.org/10.2139/ssrn.2102572","url":null,"abstract":"We analyse investors‟ motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for. Applying the Markov-switching GARCH specification of the standard model commonly used in the literature, we find that trades conducted due to liquidity needs or driven by private information cannot be identified unequivocally in any market, and positive feedback trading becomes predominant when return spillovers from the US market are taken into account.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131584477","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
Most Admired Companies: Admirable Performance 最受尊敬的公司:令人钦佩的业绩
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-05-25 DOI: 10.2139/ssrn.2066276
V. Sum
{"title":"Most Admired Companies: Admirable Performance","authors":"V. Sum","doi":"10.2139/ssrn.2066276","DOIUrl":"https://doi.org/10.2139/ssrn.2066276","url":null,"abstract":"This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of most admired firms are economically superior than the market risk premiums from 2006 to 2011 (except 2010). For the 1-year holding period, the portfolio average risk-adjusted excess returns are all positive, but 2010, and some even statistically significant. The portfolio exhibits average positive risk-adjusted excess returns for the 3-year holding period intervals; the alphas are statistically significant for the 2006-2008 period.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133531058","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 and Credit Risk Premia in Government Bond Yields 政府债券收益率的流动性和信用风险溢价
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-05-24 DOI: 10.2139/ssrn.2065975
J. Ejsing, Magdalena Grothe, O. Grothe
{"title":"Liquidity and Credit Risk Premia in Government Bond Yields","authors":"J. Ejsing, Magdalena Grothe, O. Grothe","doi":"10.2139/ssrn.2065975","DOIUrl":"https://doi.org/10.2139/ssrn.2065975","url":null,"abstract":"This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model-free and model-based gauges of sovereign credit premia, which are an important alternative to the information based on CDS markets. The results allow us to quantify the price impact of so-called JEL Classification: E44, G12, G01","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"17 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123466246","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: 52
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