AESTIMATIO : the IEB International Journal of Finance最新文献

{"title":"A Keynesian contribution to the theory of equity yields","authors":"Javier López Bernardo, Rafael Wildauer","doi":"10.5605/IEB.16.5","DOIUrl":"https://doi.org/10.5605/IEB.16.5","url":null,"abstract":"This paper offers a Keynesian theory, in a Stock-Flow Consistent framework, to understand equity returns and their links with economic growth and consumption decisions from a long-run perspective. The main features of such a theory can be summarised as follows. First, there is a negative relationship between Tobin’s q and economic growth. Second, the effect of economic growth on dividend yields and earnings growth is positive, but its effect on the growth in the number of shares is negative (i.e. a ‘dilution effect’), which makes the relationship between equity returns and economic growth undetermined a priori. Third, consumption decisions emerge as crucial drivers for shareholder profitability in the long-run. And fourth, in the post-Keynesian theory the equity yield is determined by aggregate demand, and no theory of risk is needed. Finally, the post-Keynesian theory will be compared against the mainstream financial theory, which features the famous risk-return nexus where asset returns are given by the volatility of the asset respect to consumption. It will be claimed that the use of risk for determining equity returns at the macroeconomic level is problematic, and that depending on the risk definition assumed, the risk-return relationship can be either positive or negative – being thus such a nexus of little theoretical significance and posing serious problems for mainstream finance.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"216 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114399226","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":"Black-Litterman model with intuitionistic fuzzy posterior return","authors":"Krzysztof Echaust, Krzysztof Piasecki","doi":"10.2139/ssrn.2010280","DOIUrl":"https://doi.org/10.2139/ssrn.2010280","url":null,"abstract":"The main objective is to present a some variant of the Black - Litterman model. We consider the canonical case when priori return is determined by means such excess return from the CAPM market portfolio which is derived using reverse optimization method. Then the a priori return is at risk quantified uncertainty. On the side, intensive discussion shows that the experts' views are under knightian uncertainty. For this reason, we propose such variant of the Black - Litterman model in which the experts' views are described as intuitionistic fuzzy number. The existence of posterior return is proved for this case.We show that then posterior return is an intuitionistic fuzzy probabilistic set.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132890693","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":"Efficiency of private pension funds in Poland","authors":"K. Kompa, D. Witkowska","doi":"10.5605/ieb.12.3","DOIUrl":"https://doi.org/10.5605/ieb.12.3","url":null,"abstract":"espanolA la luz de los cambios demograficos habidos en la mayoria de los paises europeos, los sistemas de jubilacion han tenido que reformarse para adaptarse a la situacion actual. En consecuencia, los paises de la Union Europea han realizado cambios trascendentales en sus sistemas de fondos de pensiones. La principal reforma del sistema de pensiones polaco se llevo a cabo en 1999, cuando sistema de reparto (unico pilar) fue sustituido por el sistema de tres pilares: el sistema de reparto, obligatorio; un pilar obligatorio plenamente capitalizado; y un pilar financiado con contribuciones voluntarias. No obstante, el sistema de pensiones polaco se ha convertido en objeto de manipulaciones gubernamentales. Las modificaciones mas relevantes, en lo que se refiere a contribuciones a los fondos de pensiones y composicion de carteras de fondos de pensiones, entraron en vigor en 2011 y 2014. El objetivo de este articulo es analizar la eficiencia de los fondos de pensiones que operaban en Polonia en el periodo 1999- 2013 mediante los ratios de Sharpe y Treynor, asi como comparar el rendimiento de los fondos de pensiones con los benchmarks construidos al efecto, lo cual ilustra los cambios en la composicion de los fondos de pensiones EnglishThe changing demographics in most European countries requires reform of their retirement systems in order to adapt them to the current situation. EU states’ pension fund systems therefore have to undergo essential transformations. The primary reform of the pension system in Poland took place in 1999, when the one-pillar, pay-as-yougo system, was replaced by the three-pillar system: mandatory, pay-as-you-go pillar; mandatory, fully-funded pillar; and voluntary, funded pillar. However, the pension system in Poland was subject to government manipulation. The most important changes, concerning pension fund contributions and portfolio composition, came into effect in 2011 and 2014. The aim of this research is to analyze the efficiency of the pension funds operating in Poland in the period 1999-2013, by applying the Sharpe and Treynor ratios and comparing the pension fund performance to that of the benchmarks constructed to illustrate the changes to pension fund portfolio composition","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126101044","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":"Firms’ Accruals and Tobin’s q","authors":"Christian Calmès, D. Cormier, François-Éric Racicot, Raymond Théoret","doi":"10.20381/RUOR-913","DOIUrl":"https://doi.org/10.20381/RUOR-913","url":null,"abstract":"According to the neoclassical theory of investment, if firms’ accruals are a form of short-term investment they should be greatly influenced by the shadow price of capital, namely Tobin’s q. In the presence of financial market imperfections, cash-flows should also impact accruals since they proxy for liquidity constraints. In this paper, we test a new version of the cash-flows augmented accrual model featuring a proxy for Tobin’s q, and compare it to the most common models found in the literature. To deal with the measurement errors often encountered in accounting data and Tobin’s q empirical proxies, we rely on a modified version of the Hausman artificial regression, and find that all the key parameters of the accrual models are indeed systematically biased with measurement errors. More importantly, our findings largely qualify the accrual investment perspective, as both cash-flows and Tobin’s q are found strongly significant regressors of firms’ accruals. Interestingly, we find that the Tobin’s q augmented model is able to isolate discretionary accruals, and to deliver residuals quite close to zero on average.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123885411","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":"Notes on Nonlinear Dynamics","authors":"François-Éric Racicot","doi":"10.20381/RUOR-929","DOIUrl":"https://doi.org/10.20381/RUOR-929","url":null,"abstract":"We present a selective survey of modern nonlinear modeling techniques relevant to the field of applied financial econometrics. We first established the usefulness of nonlinear modeling of financial time series and its relevance for forecasting by means of Sims’s (1984) definition. Then, we describe specific univariate and multivariate nonlinear models that can be classified either as stochastic or as deterministically chaotic. We also provide several novel numerical applications of these models along with their estimation techniques and tests. We conclude this literature review by presenting an application which compares the UHF‐GARCH model with the parsimonious model‐free realized volatility approach. Additionally, we present an extension to the multivariate case, referred as the realized covariance. This model‐free measure of dependence might be useful in order to evaluate the volatility feedback, which is an alternative explanation to the leverage effect theory.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123295552","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":"Contagion between United States and european markets during the recent crises","authors":"M. Muñoz, M. D. Márquez, Joaquín Sánchez","doi":"10.5605/IEB","DOIUrl":"https://doi.org/10.5605/IEB","url":null,"abstract":"The main objective of this paper is to detect the existence of financial contagion between the North American and European markets during the recent crises. To accomplish this, the relationships between the US and the Euro zone stock markets are considered, taking the daily equity prices of the Standard and Poor’s 500 as representative of the United States market and for the European market, the five most representative indexes. Time Series Factor Analysis (TSFA) procedure has allowed concentrating the information of the European indexes into a unique factor, which captures the underlying structure of the European return series. The relationship between the European factor and the US stock return series has been analyzed by means of the dynamic conditional correlation model (DCC). Once the DCC is estimated, the contagion between both markets is analyzed. Finally, in order to explain the sudden changes in dynamic US-EU correlation, a Markov switching model is fitted, using as input variables the macroeconomic ones associated with the monetary policies of the US as well as those related to uncertainty in the markets. The results show that there was contagion between the United States and European markets in the Subprime and Global Financial crises. The two-regime Markov switching model has helped to explain the variability of the pair-wise correlation. The first regime contains mostly the financially stable periods, and the dynamic correlations in this regime are explained by macroeconomic variables and other related with monetary policies in Europe and US. The second regime is explained mainly by the Federal Funds rate and the evolution of the Euro/US Exchange rate.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124772854","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":"Low-Frequency Components and the weekend Effect Revisited: Evidence from Spectral Analysis","authors":"François-Éric Racicot","doi":"10.20381/RUOR-911","DOIUrl":"https://doi.org/10.20381/RUOR-911","url":null,"abstract":"We revisit the well-known weekend anomaly (Gibbons and Hess, 1981; Harris, 1986; Smirlock and Straks, 1986; Connolly, 1989; Giovanis, 2010) using an established macroeconometric technique known as spectral analysis (Granger, 1964; Sargent, 1987). Our findings show that using regression analysis with dichotomous variables, spectral analysis helps establishing the robustness of the estimated parameters based on a sample of the SP Grune and Semmler, 2008; Semmler et al., 2009). We suggest investment practitioners to consider using spectral analysis for establishing the ‘stylized facts’ of the financial time series under scrutiny and for regression models validation purposes.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122830790","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":"Unconditional Mean, Volatility and the Fourier-GARCH Representation","authors":"Razvan Pascalau, Christian Thomann, G. Gregoriou","doi":"10.1057/9780230295209_5","DOIUrl":"https://doi.org/10.1057/9780230295209_5","url":null,"abstract":"","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"519 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123124410","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":"A more resilient financial system but… Basel III and the FSB","authors":"Enrique Hernández","doi":"10.5605/001","DOIUrl":"https://doi.org/10.5605/001","url":null,"abstract":"At the request of the recent G20 Summits held in the last two years in Washington, London,Pittsburgh and Seoul, different international organizations, such as the IMF, BIS, WB, ECB, WTO, FSB, etc... have engaged to collaborate in the preparation of a new regulatory frame for a sounder global financial system; in particular the BCBS (Basel Committee on Banking Supervision) at BIS (Bank of International Settlements) and the FSB(Financial Stability Board) have reached agreements or will presumably do so in the near future in crucial issues such capital requirements, liquidity, leverage, systemic risk, etc. This paper tries to summarize the new regulatory standards, how they will be phased so that banks can meet the new requirements without impairing the economic recovery and our assessment on its macro and micro implications at the financial systems and real economies.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"319 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124295627","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":"Corporate attributes and market capitalization. Evidence from Bangladesh","authors":"H. Shamimul, O. Normah, Hossain Syed Zabid","doi":"10.5605/IEB.11.4","DOIUrl":"https://doi.org/10.5605/IEB.11.4","url":null,"abstract":"espanolEste articulo analiza el impacto de una seleccion de atributos corporativos en la capitalizacion de mercado puesto que dichos atributos corporativos, la divulgacion de la informacion corporativa y la capitalizacion de mercado podrian estar relacionados. En el estudio llevado a cabo en Bangladesh, utilizando empresas no financieras cotizadas, se ha detectado que el volumen de activos, la cifra de negocios, el numero de accionistas y el grado de internacionalizacion son atributos corporativos que ejercen una influencia significativa en la capitalizacion de mercado de dichas empresas. Este hecho arroja nueva luz sobre la relacion atributos corporativos-capitalizacion de mercado en Bangladesh, y sugiere que tanto los inversores actuales como los potenciales deberian poner atencion a los anteriores atributos corporativos a la hora de tomar sus decisiones de inversion espanolThis study explores the influence of corporate attributes on market capitalization, based on the potential relationships between corporate attributes, corporate disclosure, and market capitalization. The study focused on non-financial listed companies in Bangladesh and uncovered several significant influences of corporate attributes, such as asset size, turnover, shareholders, and internationality, on market capitalization. This contribution provides new insights into corporate attributes and market capitalization, and suggests that existing and potential investors should assess corporate attributes while making investment decisions.","PeriodicalId":272878,"journal":{"name":"AESTIMATIO : the IEB International Journal of Finance","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127279846","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}