ERN: Europe (Developed Markets) (Topic)最新文献

{"title":"均值方差均衡下的证券价格: CAPM 再认识 (Security Prices in Mean-Variance Equilibrium: A Further Study on CAPM)","authors":"Deng-Ta Chen","doi":"10.2139/ssrn.3103035","DOIUrl":"https://doi.org/10.2139/ssrn.3103035","url":null,"abstract":"Chinese Abstract: CAPM 所在的资本市场是非完全的,并且是 一 个 Hilbert 空间,我们找出了该市场中 SDF 模仿支付的显式表达式。纯风险证券的局部均衡中,CAPM 公式成立,CAPM 等价于市场组合恰好为切点组合,并且证券价格的通解在一维空间中。给定投资者的禀赋和均值方差偏好,结合 CAPM 的价格通解,资本市场的均衡条件转化为单变量的方程,从而求得均值方差均衡价格的解析解。证券价格是内生的,全体风险证券是作为 一 个整体被定价的,貌似真实的风险决定收益是局部均衡的产物,其错误在于把市场收益率当成外生的。我们还通过数值例子,分析均值方差决策与无套利的关系,化解不可能前沿的危机,展示贝塔定价导致欧式看涨期权负价格,以及不可以使用贝塔估计权益资本成本。CAPM 实证方面,我们区分了均衡收益率与时序收益率,讨论被忽视的 DGP 和平稳性等问题,并结合均衡解析解给出针对预测型因子模型的建议。 \u0000English Abstract: The capital market for CAPM is incomplete and is a Hilbert space, we find out the analytic expression for the SDF mimicking payoff in this market. CAPM is equivalent to the condition that the market portfolio is the tangent portfolio. CAPM holds under the partial equilibrium of pure risky assets, and the general solution to asset prices has only one dimension. Given investor’s endowment and mean-variance preference, applying the general solution from CAPM, the condition of market equilibrium turns out to be an equation of only one variable, from which we work out the closed form solutions. By the mistake that the return of market portfolio is assumed to be exogenous, the risk-return characteristics is a concept from the partial equilibrium of pure risky assets, thus it is illusory, for the assets are priced as a whole and the prices are endogenous. By way of numerical examples, we explore the relationship between mean-variance equilibrium and free of arbitrage, defuse the crisis of impossible frontier, present the negative price of European call option pricing by beta, and point out the incorrect practice of the estimation of cost of equity by beta. On the empirical study of CAPM, we emphasize the difference between rate of return in mean- variance equilibrium and the one computed by price time series. We discuss the unnoticed issues such as DGP, stationarity and others. For the predictive factor models, we provide suggestions based on the closed form solution of mean-variance equilibrium.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116901535","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":"Pricing of Cash Settled Swaptions by the Replication Formula","authors":"N. Rom","doi":"10.2139/ssrn.3029321","DOIUrl":"https://doi.org/10.2139/ssrn.3029321","url":null,"abstract":"This note shows how to value cash settled swaptions using the replication formula normally used for valuing European type of options, in which the pay-off is given as a function of the underlying swap rate. A section showing how to do exact calculations of sensitivity key-figures from a stochastic volatility model with auto differentiation is also included. Nothing new is presented, this note simply demonstrates how to put things together in order to develop a framework for valuing cash settled swaptions.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133999716","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":"Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study","authors":"E. Xanthopoulos, K. Aravossis, Spyros Papathanasiou","doi":"10.5750/JPM.V11I1.1322","DOIUrl":"https://doi.org/10.5750/JPM.V11I1.1322","url":null,"abstract":"This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE Large Capitalization index over the seven-year period 2005-2012, which was before and during the Greek crisis. The technical rules that will be explored are the simple moving average, the envelope (parallel bands) and the slope (regression). We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t-test and Bootstrap methodology under the Random Walk with drift, AR(1) and GARCH(1,1) models. We enrich our analysis via Fourier analysis technique (FFT) and more statistical tests. The results provide strong evidence on the profitability of the examined technical trading rules, even during recession period (2009-2012), and contradict the Efficient Market Hypothesis.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"292 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116445038","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":"Funding Constraints and Market Illiquidity in the European Treasury Bond Market","authors":"Sophie Moinas, Minh Nguyen, Giorgio Valente","doi":"10.2139/ssrn.2783426","DOIUrl":"https://doi.org/10.2139/ssrn.2783426","url":null,"abstract":"Theoretical studies show that shocks to funding constraints should affect and be affected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique based on the heteroskedasticity of illiquidity proxies to infer the reaction of one measure to shocks affecting the other. Using data for the European Treasury bond market, we find evidence that funding illiquidity shocks affect bond market illiquidity and of a weaker simultaneous feedback reverse. We also investigate the determinants of the magnitude of these effects in the cross-section of bonds and find that the responses of individual bonds' market illiquidity to funding illiquidity shocks increase with bond duration, with the credit risk of the issuer, and with haircuts.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127771696","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 Role of Liquidity in Asset Pricing: The Special Case of the Portuguese Stock Market","authors":"María del Mar Miralles-Quirós, José Luis Miralles‐Quirós, C. Oliveira","doi":"10.1108/JEFAS-12-2016-0001","DOIUrl":"https://doi.org/10.1108/JEFAS-12-2016-0001","url":null,"abstract":"Purpose – The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach – The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one. Findings – The overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market. Research limitations/implications – These findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. Practical implications – The results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision. Originality/value – The Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed stock market. Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternativemethodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131210264","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 Recovery Factors and the Gold Reserves – South-East European and Black Sea Economic Cooperation Countries Comparative Analyses and Evaluation (2006-2015)","authors":"A. Zahariev, Nikolay Ivanov Kolev","doi":"10.2139/ssrn.2915420","DOIUrl":"https://doi.org/10.2139/ssrn.2915420","url":null,"abstract":"The aim of this report is to provide a critical analysis of the economic development trends of ten selected SEE and BSEC countries in terms of identification of key factors supporting GDP growth and post-crisis recovery. The paper is structured in three parts. The first part presents a comparative monitoring analysis of the trends in the import and export flows for the period 2006-2015 in the selected SEE and the BSEC countries. The second part presents GDP growth rate models of the selected SEE and the BSEC countries in terms of the level of openness of their economies and the dynamics of their export and import flows (single and multiple regressions). The final, third part focused on the “gold anchor” as a re-stabilization factor, included in the national reserve assets and its price dynamics on the market of precious metals.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134007676","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":"Forecasting Euro Area Inflation Using Targeted Predictors: Is Money Coming Back?","authors":"Matteo Falagiarda, João Sousa","doi":"10.2139/ssrn.2912750","DOIUrl":"https://doi.org/10.2139/ssrn.2912750","url":null,"abstract":"This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area. Overall, we find strong variation in the information content of these variables over time. We show that monetary and credit aggregates are very often selected among the top predictors of inflation, with their predictive power relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the benchmark model are generally high and significant across horizons and HICP components only in the most recent period. When the forecasts are computed using factor-augmented regressions based on the best predictors, we confirm the importance of monetary and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of variables. JEL Classification: C53, E37, E41, E51, E58","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117116119","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 European Market Abuse Directive: Has it Worked?","authors":"K. Shahzad, G. Mertens","doi":"10.1111/jifm.12052","DOIUrl":"https://doi.org/10.1111/jifm.12052","url":null,"abstract":"In this paper, we examine whether the Market Abuse Directive (MAD) has been effective in achieving its objectives of deterring the market manipulation activities, increasing the timeliness of information and decreasing the disclosure of inside information to select groups. Our sample consists of firms listed on Frankfurt Stock Exchange. We use stock prices and analysts' forecast-based proxies to examine the impact and effectiveness of MAD. The analysis based on these two set of proxies provides evidence that the adoption of MAD has been effective. In particular, we find that after the implementation of MAD, on average, (1) the volatility of stock prices around earnings announcement declines, (2) stock prices remain closer to their post earnings announcement level during the period before earnings announcement, (3) the accuracy of analyst forecasts improves, (4) the dispersion of analyst forecasts decreases, and (5) the number of analysts following a company declines.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131873200","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":"Event Study on the Reaction of Stock Returns to Acquisition News","authors":"Fotoh Lazarus Elad, Nko Solange Bongbee","doi":"10.2139/ssrn.2863243","DOIUrl":"https://doi.org/10.2139/ssrn.2863243","url":null,"abstract":"This study examines the reaction of stock returns to acquisition news. A data of 51 observations of acquiring companies with publicly traded shares on the London Stock Exchange (FTSE100) is used over a period, from July 2012 to May 2013 with an estimation period [-100, -10] and test period [-5, +5]. The market model is applied here in order to predict future stock returns and the use of the simple regression to get the parameters of the regression equation. With this a test statistics obtained on average, is significantly positive and greater than the critical value. Therefore, the event of acquisition does appear to be related significantly to the abnormal returns and the null hypothesis being rejected.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127176885","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":"Option-Implied Libor Rate Expectations Across Currencies","authors":"Nick Gebbia","doi":"10.17016/IFDP.2016.1182","DOIUrl":"https://doi.org/10.17016/IFDP.2016.1182","url":null,"abstract":"In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger’s (1978) result regarding the relationship between option prices and implied probabilities for the underlying to estimate full probability density functions for future Libor rates. I use these estimates in case studies, detailing the evolution of probabalistic expectations for future Libor rates over the course of several important market events. Next, I compute distributional moments from density functions estimated for fixed horizons and test for Granger causality across the three Libor rate distributions considering their mean, standard deviation, skewness, and kurtosis. I further break these relationships down by various fixed horizon lengths, as well as the slope and curvature in the term structure of moments over different horizons. The results show a rich interconnectedness among these three Libor rates that extends well beyond levels of future mean expectations.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128923683","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}