ERN: Econometric Studies of Capital Markets (Topic)最新文献

{"title":"Implications of Long-Run Risk for Asset Allocation Decisions","authors":"D. Avramov, Scott Cederburg","doi":"10.2139/ssrn.2046566","DOIUrl":"https://doi.org/10.2139/ssrn.2046566","url":null,"abstract":"This paper proposes a structural approach to long-horizon asset allocation. In particular, the investor draws inferences about asset returns from a vector autoregression (VAR) with economic restrictions on the intercept, slope, and covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the differing strategies, both investors achieve success in timing the market. The gains of the long-run risk investor appear to arise from his ability to avoid exposure to large negative events, while the reduced-form investor better capitalizes on periods of high average returns.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"2 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":"125404443","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":"High-Frequency Technical Trading: The Importance of Speed","authors":"Martin L. Scholtus, Dick J. C. van Dijk","doi":"10.2139/ssrn.2013789","DOIUrl":"https://doi.org/10.2139/ssrn.2013789","url":null,"abstract":"This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods corresponding to hours, minutes, and seconds. Speed has a clear impact on the return of technical trading rules. For strategies that yield a positive return when they experience no delay, a delay of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for delays larger than 50 milliseconds. In addition, the importance of speed for trading rule performance increases over time. Market activity follows a U-shape over the day with a spike at 10:00AM due to macroeconomic announcements and is characterized by periodic activity within the day, hour, minute, and second.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127756143","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":"Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation","authors":"Z. George Yang, Liang Zhong","doi":"10.2139/ssrn.2053854","DOIUrl":"https://doi.org/10.2139/ssrn.2053854","url":null,"abstract":"Purpose - The purpose of this paper is to present a discrete quantitative trading strategy to directly control a portfolio's maximum percentage of drawdown losses while trying to maximize the portfolio's long-term growth rate. Design/methodology/approach - The loss control target is defined through a Rolling Economic Drawdown (REDD) with a constant look-back time window. The authors specify risk aversion in the power-law portfolio wealth utility function as the complement of maximum percentage loss limit and assume long-term stable Sharpe ratios for asset class indexes while updating volatility estimation in dynamic asset allocation implementation. Findings - Over a test period of the past 20 years (1992-2011), a risk-based out-of-sample dynamic asset allocation among three broad based indexes (equity, fixed income and commodities) and a risk free asset, is robust against variations in capital market expectation inputs, and out-performs the in-the-sample calibrated model and traditional asset allocation significantly. Research limitations/implications - The current proposal can lead to a new mathematical framework for portfolio selection. Besides investors' liquidity and behavioural constraints, macroeconomic and market cycle, and the potential of central bank interventions following a market crash, could be additionally considered for a more rigorous dynamic asset allocation model. Practical implications - Besides the benefit of a clear mandate to construct suitable client portfolios, the portfolio approach can be applied to design invest-able securities, such as principal-guaranteed investment products, target risk asset allocation ETFs, and target-date mutual funds with a glide path, etc. The formulation can also be implemented as a managed futures hedge fund portfolio. Originality/value - The paper introduces the Rolling Economic Drawdown (REDD) concept and specifies risk aversion as the floor of maximum percentage loss tolerance. Dynamic asset allocation is implemented through updating estimation of asset class volatilities.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133717873","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":"Reducing the Risk of Investing in Stocks","authors":"Laura Núñez-Letamendia, Yiyi Jiang","doi":"10.2139/ssrn.2023113","DOIUrl":"https://doi.org/10.2139/ssrn.2023113","url":null,"abstract":"Although financial literature presents ambiguous evidence about the predicting value of fundamental and technical variables in stock markets, we find that evolving trading models based on fundamental variables substantially reduce the risk of investing in stocks. This reduction is so generous that the risk-adjusted return obtained following these fundamental variables to trade individual stocks is superior to that obtained by the passive investing in the same individual stocks. However the technical indicators we analyze do not show any predicting value neither in terms of return or risk. We observe the dynamics of individual stock prices’ return and risk in a new framework, the Adaptive Market Hypothesis (AMH) proposed recently by Lo (2004). Using this framework, we examine if there is room to improve investment strategies when adapting them to the potential changing conditions of financial markets or to the investors’ learning process. This adaptation is carried out by quantitative adaptive models driven by evolutionary algorithms (genetic algorithms) that update, over time, the threshold values for fundamental and technical indicators. We find that adaptation improves the risk-adjusted return of investment strategies. We test our trading models using a large sample of companies: non-financial firms with data available in Compustat database which have been listed in the S&P 500 for at least two quarters during the period 1976 - 2006. Our sample consists of 332,700 firm-quarterly observations for fundamental trading systems and 7,157,320 firm-daily observations for technical trading systems. Our models are run using parallel computation executed on 81 computers with a global capacity of 225 GFLOPS or (225x109) FLOPS (floating point operations per second) at the Computational Laboratory of the IT School of Madrid’s Complutense University.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134151261","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":"Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs","authors":"Simon Gilchrist, Egon Zakraǰsek, J. Sim","doi":"10.2139/ssrn.2050984","DOIUrl":"https://doi.org/10.2139/ssrn.2050984","url":null,"abstract":"Financial frictions distort the allocation of resources among productive units--all else equal, firms whose financing choices are affected by such frictions face higher borrowing costs than firms with ready access to capital markets. As a result, input choices may differ systematically across firms in ways that are unrelated to their productive efficiency. We propose an accounting framework that allows us to assess empirically the magnitude of the loss in aggregate resources due to such misallocation. To a second-order approximation, the framework requires only information on the dispersion in borrowing costs across firms, which we measure--for a subset of U.S. manufacturing firms--directly from the interest rate spreads on their outstanding publicly-traded debt. Given the observed dispersion in borrowing costs, our approximation method implies a relatively modest loss in efficiency due to resource misallocation--on the order of 1 to 2 percent of measured total factor productivity (TFP). In our framework, the correlation between firm size and borrowing costs has no bearing on TFP losses under the assumption that financial distortions and firm-level efficiency are jointly log-normally distributed. To take into account the effect of covariation between firm size and borrowing costs, we consider a more general framework, which dispenses with the assumption of log-normality and which implies somewhat higher estimates of the resource losses--about 3.5 percent of measured TFP. Counterfactual experiments indicate that dispersion in borrowing costs must be an order of magnitude higher than that observed in the U.S. financial data, in order for misallocation--arising from financial distortions--to account for a significant fraction of measured TFP differentials across countries.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121381524","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":"Has Political Instability Contributed to Price Clustering on Fiji’s Stock Market?","authors":"P. Narayan, R. Smyth","doi":"10.2139/ssrn.2052114","DOIUrl":"https://doi.org/10.2139/ssrn.2052114","url":null,"abstract":"The goal of this article is to examine evidence of stock price clustering on the South Pacific Stock Exchange, located in Fiji, and explore its determinants. We find that stock prices cluster at the decimal of 0 and 5, with almost half of prices settling on these two decimals. Upon investigating the determinants of price clustering on the South Pacific Stock Exchange we find that price level and volume of trade have a statistically significant positive effect on price clustering. We also propose and test a ‘panic trading’ hypothesis which states political instability induces price clustering. We find evidence that political instability in Fiji induces price clustering behaviour.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116372372","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 Disposition Effect and Momentum: Evidence from Norwegian Household Investors","authors":"Knut Nygaard","doi":"10.2139/ssrn.2145290","DOIUrl":"https://doi.org/10.2139/ssrn.2145290","url":null,"abstract":"Using a novel investor accounts dataset from Norway, I find that household investors are particularly likely to sell stocks when they experience a capital gain between 0% and 5%. The likelihood of a sale falls quickly both below and above this range; big losses and big gains are equally unlikely to trigger a sale. Thus, the disposition eff ect is driven by sales close to break-even, rather than a monotonically increasing relation between current capital gain and the likelihood of a sale. I also find that this household investor trading pattern contributes to momentum in small cap stocks.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128586464","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":"Are Sukuk Securities the Same as Conventional Bonds?","authors":"M. Ariff, M. Safari","doi":"10.2139/ssrn.1783551","DOIUrl":"https://doi.org/10.2139/ssrn.1783551","url":null,"abstract":"Sukuk securities have some similar features with conventional bonds, which is probably the reason why the financial press describe them as if they are the same. Mass media names sukuk as Islamic bonds. This paper investigates this matter empirically by first examining if the yield to maturities of sukuk securities and conventional bonds of same quality rating gives same returns to investors. We also conduct a test to see if there is a causal relationship between the two. Results show a significant difference in yield of sukuk against yield of conventional bonds. Moreover, results of Granger causality test do not show causal relation between yields of these two types of securities. Some differences between yield curves of Islamic Securities and conventional bonds of different types of issuers are identified. Finally, the effect of issuance of ijarah sukuk on issuing firm’s beta is studied. The results shows that the absolute change in beta of the firm is significant, which needs careful interpretation so possibly providing a clue to the difference in yield of two securities.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129916384","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 52-Week High Momentum Strategy in International Stock Markets","authors":"Ming Liu, Qianqiu Liu, Tongshu Ma","doi":"10.2139/ssrn.1364566","DOIUrl":"https://doi.org/10.2139/ssrn.1364566","url":null,"abstract":"We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang [George, T., Hwang, C.Y., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145-2176.]. This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits exist independently from the Jegadeesh and Titman [Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: implications for market efficiency. Journal of Finance 48, 65-91.] individual stock and Moskowitz and Grinblatt [Moskowitz, T.J., Grinblatt, M., 1999. Do industries explain momentum? Journal of Finance 54, 1249-1290] industry momentum strategies. These profits do not show reversals in the long run. We find that the 52-week high is a better predictor of future returns than macroeconomic risk factors or the acquisition price. The individualism index, a proxy to the level of overconfidence, has no explanatory power to the variations of the 52-week high momentum profits across different markets. However, the profits are no longer significant in most markets once transaction costs are taken into account.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123844626","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":"An Empirical Study to Find Out the Best Performing Equity Mutual Fund Portfolio During the Current Global Recession, Constructed from Selected Companies Listed on The National Stock Exchange of India Limited","authors":"Sakshi Goel","doi":"10.2139/SSRN.1831044","DOIUrl":"https://doi.org/10.2139/SSRN.1831044","url":null,"abstract":"The course of time which engulfs the drafting of this applied thesis is indeed not a cheerful phase. The unstoppable Indian economy riding at the back of record highest economical growth has finally encountered a slowdown and the results are inevitable. Increased job searches, mounting loan loads, shrinking salary, swollen loan defaults, shooting inflation are the factors of so called 'worst global recession since the Great Depression'. The current precariousness of Global financial market has raised several questions in the minds of people. Insecurity of living and safety of resources has suddenly become the center stage agenda in everyone’s life.Collapse of world’s biggest financial organizations has brought a rage across the world. There are still no concrete indicators to highlight when this carnage on the stock market would end. Indian property market’s euphoria has been severely smashed and the investor’s concerns have reached sky high. Indian stock market has witnessed a crash by almost 50 percent when Wall Street monsters sold off their investment in the country. The crisis had badly smashed the entire economy and no industry or sector had been left untouched be it manufacturing, retail, media, tourism, telecommunication of finances. This global crisis requires a global solution to prevent this economic catastrophe. The crying need of an hour has become to address the predicament of an investor. Current state of affairs has shattered an investor’s belief on one hand while also instigates an investor to save for the rainy days.A challenge thus aggravates an investor to determine the most suitable investment alternative. The time has arrived to not just depend on theories but also to find practical and attainable solutions. This applied thesis addresses the same question and is buoyant to benefit its readers. The study draws attention to Mutual Fund and its appropriateness in today’s investor’s requirements.Mutual fund can be broadly defined as a trust which pools funds of various investors aiming a common financial goal. Mutual fund is like a blind man’s stick which acts as the right support for an investor aiming for good returns with average risk capacity. Hence this is the most pertinent investment preference for an investor seeking diversification, risk hedge, professional management at affordable cost. Indian Mutual Funds are governed and regulated by Securities and Exchange Board of India (SEBI) Mutual Fund regulation 1996.Presently there are many schemes of mutual funds serving an array of investors and their varying needs. However the epicenter of the research is based on equity or growth schemes of mutual funds. This particular scheme invest only in equity socks of various companies and offers promising and lucrative returns to its investors specially aggressive investors who have huge risk caliber and entice for returns.Current research paper attempts to construct and evaluate portfolios constructed out of selected companies with","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123977464","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}