HKUST Business School Research Paper Series最新文献

{"title":"Arbitrage, Covered Interest Parity and Long-Term Dependence between the Us Dollar and the Yen","authors":"J. Batten, P. Szilagyi","doi":"10.2139/ssrn.923769","DOIUrl":"https://doi.org/10.2139/ssrn.923769","url":null,"abstract":"Using a daily time series from 1983 to 2005 of currency prices in spot and forward USD/Yen markets and matching equivalent maturity short term US and Japanese interest rates, we investigate the sensitivity over the sample period of the difference between actual prices in forward markets to those calculated from short term interest rates. According to a fundamental theorem in financial economics termed covered interest parity (CIP) the actual and estimated prices should be identical once transaction and other costs are accommodated. The paper presents four important findings: First, we find evidence of considerable variation in CIP deviations from equilibrium that tends to be one way and favours those market participants with the ability to borrow US dollars (and subsequently lend yen). Second, these deviations have diminished significantly and by 2000 have been almost eliminated. We attribute this to the effects of electronic trading and pricing systems. Third, regression analysis reveals that interday negative changes in spot exchange rates, positive changes in US interest rates and negative changes in yen interest rates generally affect the deviation from CIP more than changes in interday volatility. Finally, the presence of long-term dependence in the CIP deviations over time is investigated to provide an insight into the equilibrium dynamics. Using a local Hurst exponent – a statistic used in fractal geometry - we find episodes of both positive and negative dependence over the various sample periods, which appear to be linked to episodes of dollar decline/yen appreciation, or vice versa. The presence of negative dependence is consistent with the actions of arbitrageurs successfully maintaining the long-term CIP equilibrium. Given the time varying nature of the deviations from equilibrium the sample period under investigation remains a critical issue when investigating the presence of longterm dependence.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125318708","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":"Inflation Dynamics: A Cross-Country Investigation","authors":"Pengfei Wang, Y. Wen","doi":"10.2139/ssrn.893834","DOIUrl":"https://doi.org/10.2139/ssrn.893834","url":null,"abstract":"We document that \"persistent and lagged\" inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information. ; Earlier title: Inflation and money: a puzzle","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117219984","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":"Behavioral Biases and Investor Behavior: Predicting the Next Step of a Random Walk (Revisited)","authors":"Elena Asparouhova, M. Lemmon, M. Hertzel","doi":"10.2139/ssrn.597942","DOIUrl":"https://doi.org/10.2139/ssrn.597942","url":null,"abstract":"A recent paper by Bloomfield and Hales (2002) reports results of laboratory experiments with MBA-student participants that support the existence of regime-shifting beliefs of the type theorized by Barberis, Shleifer, and Vishny (1998). Specifically, they find a strong tendency for subjects to expect reversals in performance after seeing historical sequences with many reversals and to expect trending after seeing historical sequences with fewer reversals. We argue that the Bloomfield and Hales experiment does not provide a useful test of BSV because the set of sequences shown to subjects are not from a random walk process, but instead are more consistent with what would be expected if the true underlying process was of a regime-shifting type. A simple chi-square goodness of fit test based on the frequency of reversals strongly rejects that the set of sequences used in the experiment were generated by a random walk process. Furthermore, consistent with an underlying regime shifting process, the Bloomfield and Hales sequences have far too many observations in the tails of the distribution of reversal rates. We contend that because of the particular set of performance sequences used, the Bloomfield and Hales experiment cannot distinguish whether subjects rationally conclude that the underlying process is of a regime-shifting type or whether the subjects' belief in regime-shifting arises from behavioral biases as suggested by BSV. When we modify the Bloomfield and Hales experiment to be consistent with the crucial BSV assumption that the underlying data-generating process is random, we find no evidence supportive of investor belief in regime-shifting. Subjects in our experiment are more likely to expect a reversal in performance, rather than trending, after observing sequences with fewer reversals. This finding is consistent with the well-documented gambler's fallacy effect, which is a form of representativeness bias that arises when individuals know the underlying return-generating process.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"106 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131347763","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":"Identifying the Ingroup: A Closer Look at the Influence of Demographic Dissimilarity on Employee Social Identity","authors":"P. Chattopadhyay, M. Tluchowska, E. George","doi":"10.5465/AMR.2004.12736071","DOIUrl":"https://doi.org/10.5465/AMR.2004.12736071","url":null,"abstract":"Relational demography researchers have constructed models based on social identity theory and self-categorization theory, without fully incorporating their theoretical and empirical richness. We rectify this omission by constructing a model that includes key concepts from these theories and that predicts whether employees will identify with a particular demographic category or with their workgroup, or both. Propositions derived examine whether demographic dissimilarity will positively or negatively influence employee social identity.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128520112","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 Search Model of Centralized and Decentralized Trade","authors":"Jianjun Miao","doi":"10.2139/ssrn.605941","DOIUrl":"https://doi.org/10.2139/ssrn.605941","url":null,"abstract":"This paper presents a search model of centralized and decentralized trade. In a centralized market, trades are intermediated by market makers at publicly posted bid–ask prices. In a decentralized market, traders search counterparties. Prices are negotiated and transactions are conducted in private meetings among traders. Traders can choose which market to enter. The determinants of bid–ask spreads and liquidity are analyzed. The welfare consequence of the market fragmentation is also analyzed. It is shown that compared to the competitive market-making, monopolistic market-making may improve social welfare. ? 2005 Elsevier Inc. All rights reserved.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122939672","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":"Financing the Deficit: Debt Capacity, Information Asymmetry, and the Debt-Equity Choice","authors":"X. Chang, S. Dasgupta","doi":"10.2139/ssrn.431460","DOIUrl":"https://doi.org/10.2139/ssrn.431460","url":null,"abstract":"If Pecking Order behavior of financing choice is mitigated by debt capacity concerns, then Tradeoff and Pecking Order theories are difficult to distinguish empirically. In this paper, we extend the Myers and Majluf (1984) model to derive new testable implications of the interaction between adverse selection costs and debt capacity constraints. Our model predicts that the probability of debt issuance will be a non-monotonic function of the size of the financing deficit. The probability of debt issuance will initially increase in the size of the deficit as adverse selection costs of issuing equity outweigh the costs due to loss of debt capacity, then decrease as costs due to loss of debt capacity become more important, and finally increase again as the deficit becomes very large. Our empirical tests on a sample of firms from COMPUSTAT from 1971-1998 classified into five size groups demonstrate that, even after allowing for the possible endogeneity of the financing deficit, the predicted non-monotonicity prevails for all size group of firms. Even for those firms in the smallest size group for which debt capacity is not a dominant concern, the initial range over which the relationship between the deficit size and the probability of debt issue is significantly positive includes as much as 67% of all issues. Consistent with the predictions of the model, the intermediate range between the two turning points (over which the probability of debt issue decreases in the size of the deficit and debt capacity concerns dominate) is larger for smaller and younger firms. It is also larger for firms with lower past profitability, and firms with higher growth opportunities. We also find that the probability of debt issue is lower (higher) for firms that are above (below) an estimated target debt ratio, and higher for firms with higher past profitability, lower market-to-book, and poor recent stock price performance. Aside from demonstrating the relevance of both adverse selection costs and debt capacity constraints for firms' financing decisions, our results also show that firms exhibit target-reverting behavior and time the market.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"136 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131723853","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 Cross-Section of Expected REIT Returns","authors":"A. Chui, K. Wei, S. Titman","doi":"10.2139/ssrn.402660","DOIUrl":"https://doi.org/10.2139/ssrn.402660","url":null,"abstract":"In this study, we examine the cross-sectional determinants of expected REIT returns. We examine both the pre- and post-1990 periods, since the structure of the REIT market changed substantially around 1990. The determinants of expected returns differ between the two subperiods. In the pre-1990 subperiod, momentum, size, turnover and analyst coverage predict REIT returns. In the post-1990 period, momentum is the dominant predictor of REIT returns. Given the strength of the momentum effect in the post-1990 period, we examine it in great detail. For the whole period, and for the post-1990 period where the momentum profit is strongest, our evidence is generally consistent with the studies on common stocks other than REITs. The only striking exception is that we find that momentum is stronger for the larger REITs rather than for the smaller REITs. In our multiple regressions that include the characteristics as well as interactions between past returns and firm characteristics, the turnover-momentum interaction effect provides the most significant results. More specifically, momentum effects are stronger for more liquid REITs. Copyright 2003 by the American Real Estate and Urban Economics Association","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117148369","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":"Irreversible Investment with Regime Shifts","authors":"Xin Guo, Jianjun Miao, E. Morellec","doi":"10.2139/ssrn.350860","DOIUrl":"https://doi.org/10.2139/ssrn.350860","url":null,"abstract":"Under the real options approach to investment under uncertainty, agents formulate optimal policies under the assumption that firms’ growth prospects do not vary over time. This paper proposes and solves a model of investment decisions in which the growth rate and volatility of the decision variable shift between different states at random times. A value-maximizing investment policy is derived such that in each regime the firm's investment policy is optimal and recognizes the possibility of a regime shift. Under this policy, investment is intermittent and increases with marginal q. Moreover, investment typically is very small but, in some states, the capital stock jumps. Implications for marginal q and the user cost of capital are also examined.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121768442","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":"Modelling the Credit Spreads and Long-Term Relationships of Thai Yankee Bond Issues","authors":"J. Batten, Thomas A. Fetherston, Pongsak Hoontrakul","doi":"10.2139/ssrn.361620","DOIUrl":"https://doi.org/10.2139/ssrn.361620","url":null,"abstract":"This study investigates the yield spread between Thai Government bonds issued in the US domestic market (\"yankee\" bonds) and US Treasury bonds to determine the long-term equilibrium dynamics and the factors that affect changes in credit spreads. The sample period investigated was from 5 May 1999 to 26 March 2002. The results suggest that the long-term equilibrium relationship holds only between Thai Yankee bonds and long-term US bonds, rather than shorter or equivalent maturity bonds. Also, changes in the credit spreads of Thai Yankee bonds are generally negatively related to changes in the Thai SET Index. Changes in US Treasury bonds also tend to negatively affect spreads on short Thai Yankee bonds and positively affect spreads on long Thai Yankee bonds, though other macroeconomic factors, including exchange rate and capital flow variables, were generally not important.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126431564","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":"Stakeholder Firm-Specific Investments: Financial Hedging and Corporate Diversification","authors":"S. Lim, Heli Wang","doi":"10.2139/ssrn.292611","DOIUrl":"https://doi.org/10.2139/ssrn.292611","url":null,"abstract":"We examine financial hedging and corporate diversification as two major risk management mechanisms. It is often believed that financial hedging and corporate diversification are substitutive means of risk management, implying that with the rapid development of the financial hedging market, there will be less need for a firm to manage risks through costly diversification. Building upon a stakeholder-based reason for firm risk management, we show that financial hedging and corporate diversification are more often complementary than substitutive. Using financial hedging instruments can increase the benefit obtained from diversification since financial hedging and corporate diversification are effective for different types of risks.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128104803","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}