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NAFTA and Markets: US Economic Impacts on Canadian Equities, January 2010 北美自由贸易协定与市场:美国经济对加拿大股票的影响，2010年1月
MSCI Research Paper Series Pub Date : 2010-01-14 DOI: 10.2139/ssrn.1552070
Msci Inc.
{"title":"NAFTA and Markets: US Economic Impacts on Canadian Equities, January 2010","authors":"Msci Inc.","doi":"10.2139/ssrn.1552070","DOIUrl":"https://doi.org/10.2139/ssrn.1552070","url":null,"abstract":"The Canadian and US economies are highly integrated. The US is Canada’s largest trading partner and the health and strength of the US economy has important ramifications for the Canadian economy and markets. In this Research Bulletin, we use the Barra Canada Equity Model (CNE4) to explore the relationship between the US economy and Canadian markets. We find a statistically significant relationship between new orders in the US manufacturing sector and equity returns from the Canadian energy sector, the sector most heavily impacted by US-Canadian trade. We also show that this relationship has increased over time due to the North American Free Trade Agreement (NAFTA).","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125944312","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 Fresh Look at the Strategic Equity Allocation of European Institutional Investors, January 2010 《重新审视欧洲机构投资者的战略股权配置》，2010年1月
MSCI Research Paper Series Pub Date : 2010-01-05 DOI: 10.2139/ssrn.1552066
Xiaowei Kang, D. Melas
{"title":"A Fresh Look at the Strategic Equity Allocation of European Institutional Investors, January 2010","authors":"Xiaowei Kang, D. Melas","doi":"10.2139/ssrn.1552066","DOIUrl":"https://doi.org/10.2139/ssrn.1552066","url":null,"abstract":"MSCI Barra has recently published three research papers that examine the current equity asset allocation practices in the US, UK, and Japan and identify an increasing adoption of a global approach to equity allocation. This paper reviews the current strategic equity allocation policies of European institutional investors. It discusses the evidence that challenges the separation of equity policy portfolio into domestic/international allocations or regional allocations at the strategic level, and the rationale and potential benefits of an integrated global approach to equity allocation.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127388804","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
Quantifying the Cost of Home Bias – A Japan Perspective 量化本土偏见的成本——以日本为例
MSCI Research Paper Series Pub Date : 2009-10-19 DOI: 10.2139/ssrn.1551499
C. Chia
{"title":"Quantifying the Cost of Home Bias – A Japan Perspective","authors":"C. Chia","doi":"10.2139/ssrn.1551499","DOIUrl":"https://doi.org/10.2139/ssrn.1551499","url":null,"abstract":"This Research Insight reviews the evolution of the equity allocation policy of Japanese institutional investors and discusses how globalization has altered the global equity landscape and created the basis for a major rethinking of the investment process of global investors. We present the key rationales for an integrated global equity investment process, and explore potential implementation paths for Japanese institutional investors.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115182306","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: 3
Backtesting GEM vs. GEM2: Global Beta Performance Attribution, October 2009 回溯测试GEM与GEM2:全球Beta性能归因，2009年10月
MSCI Research Paper Series Pub Date : 2009-10-14 DOI: 10.2139/ssrn.1509600
Msci Inc.
{"title":"Backtesting GEM vs. GEM2: Global Beta Performance Attribution, October 2009","authors":"Msci Inc.","doi":"10.2139/ssrn.1509600","DOIUrl":"https://doi.org/10.2139/ssrn.1509600","url":null,"abstract":"The Barra Global Equity Model (GEM2) introduced Volatility, a new factor that provides managers with a tool that enables close control of a portfolios’ exposure to global beta. GEM2’s Volatility factor includes global beta as its most significant descriptor. In contrast its predecessor, GEM, provided much less control, i.e., only through exposures to country factors. In this Research Bulletin, we backtest a high global beta portfolio using both GEM and GEM2, and we use performance attribution to demonstrate the advantages of using GEM2.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114724148","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
Market Rebound and the Value Effect in Korea, August 2009 韩国市场反弹与价值效应，2009年8月
MSCI Research Paper Series Pub Date : 2009-08-31 DOI: 10.2139/ssrn.1508735
Msci Inc.
{"title":"Market Rebound and the Value Effect in Korea, August 2009","authors":"Msci Inc.","doi":"10.2139/ssrn.1508735","DOIUrl":"https://doi.org/10.2139/ssrn.1508735","url":null,"abstract":"Like other markets around the world, the Korean stock market has rebounded sharply from its low since the beginning of this year. This research bulletin uses the Barra Korea Equity Model (KRE2) to examine the important style drivers in the recent performance of Korean equities. We pay special attention to value stocks, whose behavior has become increasingly different from the rest of the stock market since the last quarter of 2008.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121945642","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
Family Ties 家庭关系
MSCI Research Paper Series Pub Date : 2009-07-24 DOI: 10.2139/ssrn.1452825
Msci Inc.
{"title":"Family Ties","authors":"Msci Inc.","doi":"10.2139/ssrn.1452825","DOIUrl":"https://doi.org/10.2139/ssrn.1452825","url":null,"abstract":"After the market turmoil of the last two years, many institutional investors are revisiting the way they approach asset allocation. For decades, the traditional breakdown of asset classes has been along the lines of equities, fixed income, alternatives, etc., sometimes with domestic versus foreign flavors. The main point we highlight in this Research Bulletin is that many asset classes share the same underlying drivers. While this notion is a familiar one, the insights gained by analyzing common drivers of risk and return across asset classes are not always applied to decisions about asset allocation. For example, private equity investments share key fundamental drivers with public equities yet are often perceived as a separate and distinct asset class. Or in the case of corporate bonds, the credit worthiness of the bonds depends on the financial health of the issuing corporation, which in turn is linked to the performance of the company’s equity securities. These types of underlying linkages can be addressed by factor-based models and can be used in factor-based asset allocation schemes.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127915232","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
Extreme Risk Analysis, July 2009 极端风险分析，2009年7月
MSCI Research Paper Series Pub Date : 2009-07-07 DOI: 10.2139/ssrn.1404820
L. Goldberg, Michael Y. Hayes, J. Menchero, Indrajit Mitra
{"title":"Extreme Risk Analysis, July 2009","authors":"L. Goldberg, Michael Y. Hayes, J. Menchero, Indrajit Mitra","doi":"10.2139/ssrn.1404820","DOIUrl":"https://doi.org/10.2139/ssrn.1404820","url":null,"abstract":"Risk analysis involves gaining deeper insight into the sources of risk, and evaluating whether these risks accurately reflect the views of the portfolio manager. In this paper, we show how to extend standard volatility analytics to shortfall, a measure of extreme risk. Using two examples, we show how shortfall provides a more complete and intuitive picture of risk than value at risk. In two subsequent examples we illustrate the additional perspective offered by analyzing shortfall and volatility in tandem.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121393239","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: 14
Best Practices for Investment Risk Management, June 2009 《投资风险管理最佳实务》，2009年6月
MSCI Research Paper Series Pub Date : 2009-06-19 DOI: 10.2139/ssrn.1425647
Frank Nielsen, J. Bender
{"title":"Best Practices for Investment Risk Management, June 2009","authors":"Frank Nielsen, J. Bender","doi":"10.2139/ssrn.1425647","DOIUrl":"https://doi.org/10.2139/ssrn.1425647","url":null,"abstract":"A successful investment process requires a risk management structure that addresses multiple aspects of risk. Here we lay out a best practices framework that rests on three pillars: Risk Measurement, Risk Monitoring, and Risk-Adjusted Investment Management. All three are critical. Risk Measurement means using the right tools accurately to quantify risk from various perspectives. Risk Monitoring means tracking the output from the tools and flagging anomalies on a regular and timely basis. Risk-Adjusted Investment Management (RAIM) uses the information from Measurement and Monitoring to align the portfolio with expectations and risk tolerance.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"312 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115366764","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
Asset Sales, Recourse, and Investor Reactions to Initial Securitizations: Evidence Why Off-balance Sheet Accounting Treatment Does not Remove On-balance Sheet Financial Risk 资产出售、追索权和投资者对初始证券化的反应:表外会计处理不能消除表内金融风险的证据
MSCI Research Paper Series Pub Date : 2009-05-22 DOI: 10.2139/ssrn.1107074
J. Mason, E. Higgins, Adi Mordel
{"title":"Asset Sales, Recourse, and Investor Reactions to Initial Securitizations: Evidence Why Off-balance Sheet Accounting Treatment Does not Remove On-balance Sheet Financial Risk","authors":"J. Mason, E. Higgins, Adi Mordel","doi":"10.2139/ssrn.1107074","DOIUrl":"https://doi.org/10.2139/ssrn.1107074","url":null,"abstract":"Both accounting and regulatory treatments classify securitizations as a “sale” of assets, therefore allowing the issuer to remove the assets from their books. This “off-balance sheet” treatment relies crucially on the concept of “true” sale. The concept most diametrically opposed from a true sale is a “financing.” In a financing, assets do not leave the firm’s books, so the transaction is exclusively “on-balance sheet.” The present paper presents conjectural evidence of recourse activity and bankruptcy seizure that undermine the fundamental concept of true sale. The paper then analyzes investor reactions to firms’ first securitization announcements, demonstrating negative short-term equity returns and negative long-term operating performance following initial securitizations. Such reactions constitute evidence that securitizations are more similar to financings than asset sales. Additional analysis shows that securitization is also associated with increased systematic risk, suggesting that the rapid growth fueled by securitization is similar to increasing leverage. The effect is more pronounced for banks than non-banks, suggesting that there is substantial value to regulatory capital arbitrage in addition to accounting arbitrage.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116916801","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
Research Insights to Australian Equity Risk 澳大利亚股票风险的研究见解
MSCI Research Paper Series Pub Date : 2009-04-28 DOI: 10.2139/ssrn.1405450
Msci Inc.
{"title":"Research Insights to Australian Equity Risk","authors":"Msci Inc.","doi":"10.2139/ssrn.1405450","DOIUrl":"https://doi.org/10.2139/ssrn.1405450","url":null,"abstract":"The Australian equity market - like other global equity markets - experienced exceptionally high volatility in the last quarter of 2008. This Research Bulletin examines this extreme event through the lens of the Barra Australia Equity Model and the Barra Extreme Risk Methodology.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134122117","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
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