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Valuation Efficiency of Secondary Markets for Formerly Illiquid Assets: The Case of German KG Ship Funds 二级市场对原非流动性资产的估值效率:以德国KG船舶基金为例
Multinational Finance Journal Pub Date : 2016-08-30 DOI: 10.17578/20-2-2
Andre Kuester Simic, Philipp Lauenstein, S. Prigge
{"title":"Valuation Efficiency of Secondary Markets for Formerly Illiquid Assets: The Case of German KG Ship Funds","authors":"Andre Kuester Simic, Philipp Lauenstein, S. Prigge","doi":"10.17578/20-2-2","DOIUrl":"https://doi.org/10.17578/20-2-2","url":null,"abstract":"Until the outbreak of the most recent shipping crisis in late 2008, German KG ship funds had been a prominent vehicle for investing in, and financing of, global shipping operations. Given that KG shares are not designed to be traded, investors are expected to require higher returns as compensation for illiquidity. Since the early 2000s, secondary market platforms for trading of shares in ship funds emerged. If investors could sell their shares at prices reflecting the fundamentals of their asset, lower returns would be demand. Making use of a novel methodological approach, 341 transactions of container ship funds executed from 2007 through 2012 are analyzed. The results reveal a surprisingly high fundamental-valuation efficiency: The identified pricing-relevant variables explain about 86% of the variations in the secondary market valuations of the ship funds. However, it is documented that shares in ship funds trade at discount relative to fundamental asset values.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116233093","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
The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices 亚洲量化一篮子期权价格计算的解析逼近性能
Multinational Finance Journal Pub Date : 2015-07-07 DOI: 10.17578/7-1/2-3
Jean-Yves Datey, Geneviève Gauthier, Jean-Guy Simonato
{"title":"The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices","authors":"Jean-Yves Datey, Geneviève Gauthier, Jean-Guy Simonato","doi":"10.17578/7-1/2-3","DOIUrl":"https://doi.org/10.17578/7-1/2-3","url":null,"abstract":"An option contract now commonly encountered is the Asian quanto-basket option. This contract is useful for risk managers willing to participate to the return of an industrial sector with an international exposure without the foreign exchange risk exposition. Although the price of such contracts can be obtained very accurately using Monte Carlo simulation, market participants prefer faster but less accurate analytical approximations. This paper thus examines the precision of three different analytical approximations available to price Asian quanto-basket options. The results of a comprehensive simulation experiment performed on a large test pool of option contracts reveal that the approximations based on the reciprocal gamma and Johnson-type densities are in general the most accurate.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115393711","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: 8
Dissemination of Stock Recommendations and Small Investors: Who Benefits? 股票推荐的传播与小投资者:谁受益?
Multinational Finance Journal Pub Date : 2015-07-07 DOI: 10.17578/6-1-2
Bilgehan Yazici, Y. Muradoğlu
{"title":"Dissemination of Stock Recommendations and Small Investors: Who Benefits?","authors":"Bilgehan Yazici, Y. Muradoğlu","doi":"10.17578/6-1-2","DOIUrl":"https://doi.org/10.17578/6-1-2","url":null,"abstract":"The objective of this study is to examine whether published investment advice generates higher returns for investors. We investigate the impact of security recommendations in the financial press on common stock prices in Istanbul Stock Exchange. Recommendations of Investor Ali column of the weekly-published popular economics journal Moneymatik constitutes our sample. The column is designed to inform individual investors about company prospects and use them as the basis for its recommendations. The results show that the published investment advice in this column does not help small investors earn excess returns. On the contrary, it provides a valuable deal to its ‘preferred investors’, if any, in selecting the stocks. If one could front-run the column’s recommendations by five days he/she could earn more than 5% per week in excess of the index return. Compounded annually the excess return of a preferred investor could earn would be more than an amazing 1500% per annum.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115209989","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: 18
Nonlinear Noise Estimation in International Capital Markets 国际资本市场的非线性噪声估计
Multinational Finance Journal Pub Date : 2015-07-07 DOI: 10.17578/6-1-3
C. Siriopoulos, A. Leontitsis
{"title":"Nonlinear Noise Estimation in International Capital Markets","authors":"C. Siriopoulos, A. Leontitsis","doi":"10.17578/6-1-3","DOIUrl":"https://doi.org/10.17578/6-1-3","url":null,"abstract":"We analyzed six stock exchange markets through the nonlinear dynamics concept. We used daily data from the Toronto Stock Exchange, NYSE, London Stock Exchange, Hong Kong Stock Market, Tokyo Stock Exchange, and the Singapore Stock Exchange. The period studied is from January 1, 1988 to June 30, 1999. We performed Local Principal Components Analysis in order to estimate the dimension of each underlying attractor. Our main interest is the noise level estimation of each time series. The results indicate weak determinism and strong noise influence. The noise-to-signal ratio for almost all time series is above 50%. Noise is leptokurtic in the eastern stock markets, and mesokurtic in western ones.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126392704","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
A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets 经验分布的分解及其在衍生资产估值中的应用
Multinational Finance Journal Pub Date : 2015-07-07 DOI: 10.17578/6-2-2
Mondher Bellalah, M. Lavielle
{"title":"A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets","authors":"Mondher Bellalah, M. Lavielle","doi":"10.17578/6-2-2","DOIUrl":"https://doi.org/10.17578/6-2-2","url":null,"abstract":"The selection of an appropriate parameterization of data is a fundamental step in a majority of empirical research effort. Likewise, detecting or estimating features of non-stationarities in data sequences is a critical point in conducting credible research that uses data for inference. In this spirit, this paper presents a simple decomposition of the empirical return distributions of financial assets into the sum of various normal distributions. The decomposition is motivated by the fact that market participants expect distributions to be drawn from two or three possible scenarios. It is also motivated by the recent applications of the EM algorithm to financial data. A parametric and a nonparametric approach are proposed and applied to the empirical distribution of the CAC 40 index traded in the Paris Bourse. We estimate the parameters of the mixture and propose a decomposition into three Gaussian distributions which essentially differ by their variances. The decomposition fits the observed distribution. An alternative approach, which consists in detecting these changes and estimating the distribution of the returns between two changes is developed. The results are obtained using a segmentation method, which is applied to financial data. One of the main findings in this paper is that the two approaches show the same results and give support to the proposed decomposition. There exists three kinds of regimes in the Paris Bourse and the series of the returns jump from a regime to another one at some random instants. This work might be applied to other data sets or other data generating conditions. It can used for the valuation of standard and exotic derivatives.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130492903","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
Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests 新兴市场的风险管理:实践方法和实证检验
Multinational Finance Journal Pub Date : 2015-06-30 DOI: 10.17578/10-3/4-2
Marios Nerouppos, D. Saunders, Costas Xiouros, S. Zenios
{"title":"Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests","authors":"Marios Nerouppos, D. Saunders, Costas Xiouros, S. Zenios","doi":"10.17578/10-3/4-2","DOIUrl":"https://doi.org/10.17578/10-3/4-2","url":null,"abstract":"Risk management has undergone a remarkable transformation over the past fifteen years, with most new methods having been designed for the concerns of large institutions operating in well-developed financial markets. This paper addresses a problem faced by smaller institutions operating in emerging markets, namely the significant lack of data. As many risk management techniques are data intensive, this problem may seem insurmountable. This paper introduces a new method, enriched historical simulation, which supplements the data in an emerging market with data from other markets. The principle behind this methodology is that when many markets are considered, the essence of emerging market economies comes to the fore, with local idiosyncrasies being washed out. This principle is illustrated on the problem of estimating Value-at-Risk on the Cyprus and Athens Stock Exchanges.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127304647","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: 7
Sector Integration and the Benefits of Global Diversification 产业整合与全球多元化的好处
Multinational Finance Journal Pub Date : 2015-06-30 DOI: 10.17578/9-3/4-5
M. Ratner, R. Leal
{"title":"Sector Integration and the Benefits of Global Diversification","authors":"M. Ratner, R. Leal","doi":"10.17578/9-3/4-5","DOIUrl":"https://doi.org/10.17578/9-3/4-5","url":null,"abstract":"One of the main reasons that investment advisors recommend international investments is that foreign stocks are not highly correlated with U.S. stocks. As world economies become increasingly interrelated, it may become more difficult for investors to achieve effective diversification. This research investigates international stock market correlation, and assesses whether global diversification on a sector basis is beneficial to U.S. investors. This analysis includes 38 developed and emerging stock markets from 1981-2000. In addition to demonstrating a potential loss of diversification benefits, this paper utilizes an optimal global asset allocation model to illustrate the effects of sector diversification on portfolio performance over time.The results indicate that although the correlation between most foreign sectors and U.S. sectors is increasing over time, there are still substantial international diversification benefits. Further, the inclusion of emerging market sectors may significantly enhance the return-to-risk performance of international portfolios.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115010810","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: 17
Australian On-Market Buy-Backs: An Examination of Valuation Issues 澳大利亚市场上的回购:估价问题的审查
Multinational Finance Journal Pub Date : 2015-06-30 DOI: 10.17578/10-1/2-2
J. Mitchell, H. Izan, Roslinda Lim
{"title":"Australian On-Market Buy-Backs: An Examination of Valuation Issues","authors":"J. Mitchell, H. Izan, Roslinda Lim","doi":"10.17578/10-1/2-2","DOIUrl":"https://doi.org/10.17578/10-1/2-2","url":null,"abstract":"A compelling reason for engaging in on-market buy-backs is that it provides a signal about the undervaluation of the company. In this paper an alternative, accounting based, method of determining fundamental value and undervaluation is used, namely the Ohlson residual income valuation framework. It is found that prior to the announcement buy-back companies are significantly undervalued relative to comparable non-buy-back companies. This undervaluation is largely but not totally removed in the period immediately following the on-market buy-back implying on-market buy-backs are predominantly an effective signaling mechanism. Where the firm cites undervaluation as a specific motive for the buy-back then, in fact, a higher degree of undervaluation prior to the buy-back is evident. The results provide evidence that management can, and does, identify undervaluation and reduces this through the signaling mechanism of on-market buy-backs.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124521461","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: 12
The Valuation of Options on Bonds with Default Risk 具有违约风险的债券期权的估值
Multinational Finance Journal Pub Date : 2015-06-30 DOI: 10.17578/10-3/4-5
R. Belhaj
{"title":"The Valuation of Options on Bonds with Default Risk","authors":"R. Belhaj","doi":"10.17578/10-3/4-5","DOIUrl":"https://doi.org/10.17578/10-3/4-5","url":null,"abstract":"In this paper we present a model for valuing European and American options, which incorporates both default and interest rate risks. We develop a framework that permits evaluation of three kinds of options: (i) options issued by default-free counterparties on risky bonds, (ii) options issued by risky counterparties on default-free bonds and (iii) options issued by risky counterparties on risky bonds — a case where default risk enters at both levels. We show that the price of a put option on a risky discount bond is hump shaped for a European put and monotone increasing for an American put. We also find that the price impact of default risk is less for an American put option than for a European one.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122004980","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
Public Information Arrival and Emerging Markets Returns and Volatility 公共信息的到来与新兴市场的回报和波动
Multinational Finance Journal Pub Date : 2015-06-30 DOI: 10.17578/8-3/4-4
Ali M. Kutan, Tansu Aksoy
{"title":"Public Information Arrival and Emerging Markets Returns and Volatility","authors":"Ali M. Kutan, Tansu Aksoy","doi":"10.17578/8-3/4-4","DOIUrl":"https://doi.org/10.17578/8-3/4-4","url":null,"abstract":"Recent findings have heightened the debate about the usefulness of public information in asset markets. Using daily composite and sector index returns, this paper examines the role of public information arrival in an emerging, high-inflation economy like Turkey. The findings reveal that real GDP and industrial production announcements have the most important impact on stock returns. Regarding inflation, nominal stock returns increase in response to unfavorable inflation announcements, but only for the financials sector and partially. Market volatility is more sensitive to news about real GNP, balance of trade, tourism and construction. Implications of the findings for market participants are discussed.","PeriodicalId":312721,"journal":{"name":"Multinational Finance Journal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121647378","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: 9
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