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Persistent Profit and Portfolio Adjustment 持续盈利和投资组合调整
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-05-22 DOI: 10.2139/ssrn.2064690
Arnat Leemakdej
{"title":"Persistent Profit and Portfolio Adjustment","authors":"Arnat Leemakdej","doi":"10.2139/ssrn.2064690","DOIUrl":"https://doi.org/10.2139/ssrn.2064690","url":null,"abstract":"This study investigates investors’ behaviors on their portfolio adjustment after gain and loss. Using a unique data set of transaction data, the study supports the prospect theory that the investors will be more cautious after two consecutive gains. They reduce their portfolio’s systematic risk by giving less weight on large capitalization stocks. Investors fix their gain or loss relative to the purchasing price of the stocks.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115426270","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
The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity 2007-2009 年金融危机：不断变化的市场动态以及信贷供应和总需求敏感性的影响
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-05-08 DOI: 10.2139/ssrn.2054510
Theoharry Grammatikos, R. Vermeulen
{"title":"The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity","authors":"Theoharry Grammatikos, R. Vermeulen","doi":"10.2139/ssrn.2054510","DOIUrl":"https://doi.org/10.2139/ssrn.2054510","url":null,"abstract":"This paper highlights the impact of credit supply and aggregate demand sensitivity on 91 US industries’ stock performance during the 2007-2009 financial crisis. We account explicitly for changes in the market model and investigate, next to stock returns, the changes in systematic risk and idiosyncratic return induced by the financial crisis. The results show that leverage has a significantly positive effect on systematic risk changes during the financial crisis. After accounting for the change in systematic risk, the crisis induced idiosyncratic return is significantly related to industry leverage and the industry’s sensitivity to aggregate demand. A subsequent analysis shows that both leverage and demand sensitivity have economically large effects on industry performance during the crisis.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"32 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":"127404935","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 Analysis of Relationship Between Size, BE/ME Ratio and Expected Return Separately and Altogether: An Empirical Study Based on Iran Data 规模、市净率与预期收益的关系分析——基于伊朗数据的实证研究
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-05-08 DOI: 10.2139/ssrn.2054805
Ahmad Darestani Farahani, Mahsa Mahboob, Gholamreza Kordestani
{"title":"The Analysis of Relationship Between Size, BE/ME Ratio and Expected Return Separately and Altogether: An Empirical Study Based on Iran Data","authors":"Ahmad Darestani Farahani, Mahsa Mahboob, Gholamreza Kordestani","doi":"10.2139/ssrn.2054805","DOIUrl":"https://doi.org/10.2139/ssrn.2054805","url":null,"abstract":"In modern world, financial industry has a major influence on human’s life. Most of people invest their money on equity market and they expect more return in compare of other markets. Stock market is one of the most attractive markets among equity markets which, because of high return, people tend to invest their money there. In stock market, there are a lot of variables which influence on expected return, and we want to discuss on some of them in different situations. Company size and the ratio of book value to market value of equity (BE/ME) are considered as major variables which we examine their effects separately in one side and integrated as SMB and HML in the other side. In this paper, for this study, we monitor market data of 100 companies in Tehran Stock Exchange and analyze effects of those variables on expected return from share of these companies.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"16 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":"128154446","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
On the Market Portfolio for Multi-Asset Classes 论多资产类别的市场投资组合
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-04-25 DOI: 10.2139/ssrn.2064807
R. Louis, T. Roncalli
{"title":"On the Market Portfolio for Multi-Asset Classes","authors":"R. Louis, T. Roncalli","doi":"10.2139/ssrn.2064807","DOIUrl":"https://doi.org/10.2139/ssrn.2064807","url":null,"abstract":"The influence of the CAPM theory on the financial theory of investment has increased with the development of passive management. Today, equity or fixed-income market portfolios can easily be defined using equity and fixed-income indexes. These indexes also play an important role in active management as they serve as benchmarks. The case of multi-asset classes is more complex. Indeed, indexes taking into account both stocks and bonds do not exist today. However, most investors need such references as their principal problem is to define their stock/bond asset mix policy. It is especially true for institutional investors like pension funds and long-term investors. In this article, we show how to compute the market portfolio of equity and fixed-income instruments. We then analyse the specificity of such a portfolio according to countries or regions and how this portfolio has changed over the last thirty years. The dynamics of the market portfolio also gives useful information about the evolution of ex-ante risk premia of stocks and bonds. Finally, we illustrate how the market portfolio could be used to benchmark diversified funds and to characterize the bets of long-term investment policy.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115079102","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
Investor Cost Basis and Takeover Bids 投资者成本基础和收购出价
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-04-09 DOI: 10.2139/ssrn.2037551
Judson Caskey, Daniel Aobdia
{"title":"Investor Cost Basis and Takeover Bids","authors":"Judson Caskey, Daniel Aobdia","doi":"10.2139/ssrn.2037551","DOIUrl":"https://doi.org/10.2139/ssrn.2037551","url":null,"abstract":"This study examines how institutional investors’ cost bases impact takeover offer prices and the likelihood of deal success. We find evidence consistent with the ‘disposition effect’ - a reluctance to realize losses. After controlling for pre-bid prices, cost basis has a positive association with both offer prices and the likelihood of deal acceptance. We find that this behavior is mostly concentrated within short term focused, transient investors. We also use post-bid-rejection returns to provide evidence that the disposition effect, rather than private information, drives the rejection of bids with offer prices that fall short of the average cost basis.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124158000","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
The Credit Risk Premium and Return Predictability in High Yield Bonds 高收益债券的信用风险溢价与收益可预测性
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-04-09 DOI: 10.2139/ssrn.2037495
Jason M. Thomas
{"title":"The Credit Risk Premium and Return Predictability in High Yield Bonds","authors":"Jason M. Thomas","doi":"10.2139/ssrn.2037495","DOIUrl":"https://doi.org/10.2139/ssrn.2037495","url":null,"abstract":"I demonstrate that much of the time series variation in the credit spread on high yield bonds is attributable to changes in the “credit risk premium” rather than changes in expected default losses. The credit risk premium is the expected excess return investors earn from bearing default risk on high yield bonds. I find that the credit risk premium on high yield bonds averages about 2.4 percent per year, accounts for 43 percent of high yield credit spreads, on average, and predicts excess returns on high yield bonds. I also find that the excess returns on lower rated credits (B and CCC, relative to BB) are more sensitive to variation in the credit risk premium. The credit risk premium increases with the conditional volatility of default losses and decreases with aggregate consumption growth. The evidence suggests that conventional measures of economic risk are able to explain the sizeable increase in credit spreads in the fall of 2008.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130625958","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
Did Diversification Really Fail? Evidence for Stock Portfolios 多元化真的失败了吗?股票投资组合证据
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-04-05 DOI: 10.2139/ssrn.2034940
Andreas Steiner
{"title":"Did Diversification Really Fail? Evidence for Stock Portfolios","authors":"Andreas Steiner","doi":"10.2139/ssrn.2034940","DOIUrl":"https://doi.org/10.2139/ssrn.2034940","url":null,"abstract":"We present empirical evidence for 47 liquid stocks from the SPI universe that the diversification potential remained intact during the Financial Crisis. This contradicts the widespread believe that diversification has failed and has major implication for the risk management approach used in actively managed portfolios.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132345296","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
Itô’s Excursion Theory, the Hurst Coefficient, and Fractional Excursions in Finance Itô的漂移理论，赫斯特系数，和分数漂移在金融
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-04-04 DOI: 10.2139/ssrn.2034472
Paitoon Wongsasutthikul, C. Turvey
{"title":"Itô’s Excursion Theory, the Hurst Coefficient, and Fractional Excursions in Finance","authors":"Paitoon Wongsasutthikul, C. Turvey","doi":"10.2139/ssrn.2034472","DOIUrl":"https://doi.org/10.2139/ssrn.2034472","url":null,"abstract":"In this paper, we investigate how Ito’s excursion theory can be usefully applied to economic time series data (Ito 2007). We relate excursion theory to geometric and fractional Brownian motion and the Hurst coefficient. We then calculate the Hurst coefficient for all stocks on the DOW 30, S&P 500 and Russell 2000, showing the distribution of Hurst measures and relating them statistically to excursions. In doing so we provide a nice and intuitive link between Brownian motion and excursions, an application and consequence that we have not seen before.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123200413","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 Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility 宏观经济新闻对美国利率和股票指数的影响取决于它们的波动性
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-03-31 DOI: 10.2139/ssrn.2032040
C. Lubochinsky, Sukriye Tuysuz
{"title":"The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility","authors":"C. Lubochinsky, Sukriye Tuysuz","doi":"10.2139/ssrn.2032040","DOIUrl":"https://doi.org/10.2139/ssrn.2032040","url":null,"abstract":"This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during \"low\" and \"high\" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher during periods of financial or economic instability. We use these results to evaluate the impact of news during \"low\" and \"high\" volatility  periods using a GARCH model. News effects, especially “good” and “large” news, on interest rates are amplified during \"high\" uncertainty periods. The effect on stock returns is moderate. GARCH parameters differ strongly during both periods.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"121 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116714648","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
Value Matters: Predictability of Stock Index Returns
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-03-30 DOI: 10.2139/ssrn.2031406
Natascia Angelini, G. Bormetti, S. Marmi, F. Nardini
{"title":"Value Matters: Predictability of Stock Index Returns","authors":"Natascia Angelini, G. Bormetti, S. Marmi, F. Nardini","doi":"10.2139/ssrn.2031406","DOIUrl":"https://doi.org/10.2139/ssrn.2031406","url":null,"abstract":"We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends on three components: i) a momentum component, naturally justified in terms of agents' belief that expected returns are higher in bullish markets than in bearish ones, ii) a fundamental component proportional to the logarithmic CAPE at time zero. The initial value of the ratio determines the reference growth level, from which the actual stock price may deviate as an effect of random external disturbances, and iii) a driving component which ensures the diffusive behaviour of stock prices. Under these assumptions, we prove that for a sufficiently large horizon the expected rate of return and the expected gross return are linear in the initial logarithmic CAPE, and their variance goes to zero with a rate of convergence consistent with the diffusive behaviour. Eventually this means that the momentum component may generate bubbles and crashes in the short and medium run, nevertheless the valuation ratio remains a good reference point of future long-run returns.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131020828","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
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