{"title":"Prop Ups During Lockups","authors":"Jens Martin","doi":"10.2139/ssrn.1282117","DOIUrl":"https://doi.org/10.2139/ssrn.1282117","url":null,"abstract":"The end of the lockup period for initial public offerings generally constitutes the first time corporate insiders sell significant numbers of shares on the market. I test the hypothesis that shareholders pressure analysts to support the share price until the end of the lockup period. In a sample of U.S. initial public offerings from 1996 to 2006, I find that analysts issue overly optimistic recommendations until the end of the lockup period. Furthermore, I find a significant downward revision of recommendations for the whole sample of firms as soon as the lockup period ends.","PeriodicalId":279216,"journal":{"name":"Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"198 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":"114967419","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":"ADR Spreads and Their Informational Content: The Role of Relative US Investor Sentiment","authors":"Georgios Gatopoulos","doi":"10.2139/ssrn.1282143","DOIUrl":"https://doi.org/10.2139/ssrn.1282143","url":null,"abstract":"ADR spreads being discrepancies between returns on ADRs and returns on underlying shares, they do provide us with an indicator of US investors' relative optimism or pessimism. Panel data of firms with ADR programs from 35 countries during the period 1997-2007, reveal that global and local risk factors, related to market, exchange rate, liquidity and sentiment premiums account for these discrepancies. The investor sentiment hypothesis cannot be rejected and there is evidence that ADR spreads have significant predictive power over next period's ADR returns and over various active trading rules' returns. On a time series level, major events, such as the terrorist attacks of September, 11, are identified as structural breaks in the evolution of US investors' sentiment, as well as on its impact on ADR spreads. On a cross-sectional level, markets are \"partially segmented\" and the relative importance of spreads' factors varies across different regions of the world, as well as between emerging and developed markets.","PeriodicalId":279216,"journal":{"name":"Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128857708","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":"Hierarchical Hidden Markov Structure for Dynamic Correlations: The Hierarchical RSDC Model","authors":"C. Philippe, V. Marimoutou","doi":"10.2139/ssrn.1283178","DOIUrl":"https://doi.org/10.2139/ssrn.1283178","url":null,"abstract":"This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named Hierarchical RSDC (HRSDC), has been built with the hierarchical generalization of the hidden Markov model introduced by Fine et al. (1998). This can be viewed graphically as a tree-structure with different types of states. The former are called production states, and they can emit observations, as in the class of Markov-Switching approach. The latter are called \"abstract\" states. They can't emit observations but establish vertical and horizontal probabilities that define the dynamic of the hidden hierarchical structure. The main advantage of this approach, comparable to the classical Markov-Switching model, is that it improves the granularity of the regimes. Our model is also comparable to the new Double Smooth Transition Conditional Correlation GARCH model (DSTCC), a STAR approach for dynamic correlations proposed by Silvennoinen and Terasvirta (2007). The reason is that, under certain assumptions, the DSTCC and our model represent two classical competing approaches to modeling regime switching. We performed, Monte-Carlo simulations, and we applied the model to two empirical applications in studying the conditional correlations of selected stock returns. Results show that the HRSDC provides a good measure of the correlations, and possesses an interesting explanatory power.","PeriodicalId":279216,"journal":{"name":"Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115204373","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":"CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads","authors":"A. Leccadito, R. Tunaru, G. Urga","doi":"10.2139/ssrn.1283183","DOIUrl":"https://doi.org/10.2139/ssrn.1283183","url":null,"abstract":"Credit default risk for an obligor can be hedged away with either a credit default swap (CDS) contract or the alternative constant maturity credit default swap contract (CMCDS). An economic agent should be indifferent to which instrument is used since both cover the same risk with identical payoffs. On a large universe of obligors we find strong evidence that there is persistent difference in the hedging premia carried by the two comparable contracts. It appears that, in general, it is more profitable to sell CDS and buy CMCDS. In addition, as expected, the implied forward CDS rates are not an unbiased estimate of the future spot CDS rates.","PeriodicalId":279216,"journal":{"name":"Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121205877","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":"Time-Varying Incentives in the Mutual Fund Industry","authors":"J. Olivier, Anthony S. Tay","doi":"10.2139/ssrn.1282075","DOIUrl":"https://doi.org/10.2139/ssrn.1282075","url":null,"abstract":"This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is not driven by abnormal years. We test two possible channels through which this pattern may arise. We investigate implications of the time-varying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence that poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.","PeriodicalId":279216,"journal":{"name":"Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123772671","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}