ERN: Europe (Developed Markets) (Topic)最新文献_第3页

BTP Futures and Cash Relationships: A High Frequency Data Analysis BTP期货与现金关系:高频数据分析

ERN: Europe (Developed Markets) (Topic) Pub Date : 2016-09-29 DOI: 10.2139/ssrn.2896831

O. Panzarino, Francesco Potente, A. Puorro

{"title":"BTP Futures and Cash Relationships: A High Frequency Data Analysis","authors":"O. Panzarino, Francesco Potente, A. Puorro","doi":"10.2139/ssrn.2896831","DOIUrl":"https://doi.org/10.2139/ssrn.2896831","url":null,"abstract":"The paper analyses the interactions between the ‘cash’ market (MTS Cash) and the futures market (Eurex) of Italian government bonds in terms of liquidity, price correlation and volatility. Based on daily data, the growth of the Eurex market seems to support the tightening of the bid-ask spread of MTS Cash, all things being equal, thus confirming a healthy and efficient link between cash and futures markets. Against this backdrop, a high frequency analysis highlights some episodes of partial divergence between price developments of futures and cash markets, which might be related to differences in the microstructures of the two markets. The futures market is order driven while the cash market is quote driven; furthermore different types of participants are active in each market. At higher frequencies, episodes of unidirectional propagation of volatility shocks from BTP futures to the MTS Cash market materialize, with potential spillovers on cash market liquidity conditions. In this regard, it is also important to consider the role played by High Frequency Traders, whose activity in futures markets may well contribute to explaining the peculiarities in price dynamics highlighted by high frequency data.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130973024","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: 21

Recent Developments in the Most Controversial Aspects of EU International Investment Agreements: Portfolio Investments and Investor-State Dispute Settlement 欧盟国际投资协定最具争议方面的最新发展:证券投资和投资者-国家争端解决

ERN: Europe (Developed Markets) (Topic) Pub Date : 2016-03-01 DOI: 10.2139/ssrn.3072401

Ruggiero Cafari Panico, F. di Benedetto

{"title":"Recent Developments in the Most Controversial Aspects of EU International Investment Agreements: Portfolio Investments and Investor-State Dispute Settlement","authors":"Ruggiero Cafari Panico, F. di Benedetto","doi":"10.2139/ssrn.3072401","DOIUrl":"https://doi.org/10.2139/ssrn.3072401","url":null,"abstract":"The most controversial issues regarding EU international investment agreements are, on the one hand, the actual extent of the EU’s exclusive external competence over international investments and, on the other, the opportunity to include investor-state dispute settlement (ISDS) clauses in these agreements. The former issue is mainly a legal question, and it especially concerns the inclusion of portfolio investments in the EU’s exclusive external competence. In this respect, this article seeks to provide some insights on the opinion that the European Commission has recently requested from the Court of Justice on the free trade agreement between the EU and Singapore on the basis of the latest developments in the case law of the Court of Justice of the European Union. By contrast, the second issue is mainly a political question and focuses on the inclusion of ISDS in the investment chapter of the Comprehensive Trade and Economic Agreement (CETA) between the EU and Canada. In this respect, while highlighting the main criticisms of the inclusion of ISDS in CETA, it is argued that the right response to European concerns about ISDS provisions in CETA and in TTIP should not be the removal of ISDS from those agreements. Instead, in order to reduce the asymmetric conditions related to the regulatory powers of the parties to CETA, it would be opportune to ask whether it may be appropriate to adopt, in the EU, a system of control on foreign investments like the one existing in Canada and in the United States. In particular, it is demonstrated how the solution can be found in Articles 64(2) and 207(2) TFEU that could be used to adopt a regulation establishing an EU committee on foreign investment in charge of the review of inflow investments coming from non-EU countries in order to protect the EU’s general interests — first, EU security and welfare — just as the Committee on Foreign Investment in the United States and the Minister of Industry of Canada already do.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122006347","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: 2

Swedish Stock Recommendations: Information Content or Price Pressure? 瑞典股票推荐:信息含量还是价格压力?

ERN: Europe (Developed Markets) (Topic) Pub Date : 2015-06-26 DOI: 10.17578/11-3/4-4

E. Lidén

引用次数: 5

Alternative Indexierung Am Deutschen Aktienmarkt (Alternative Indexation on the German Stock Market) 德国股票市场的另类指数

ERN: Europe (Developed Markets) (Topic) Pub Date : 2015-06-23 DOI: 10.2139/ssrn.2536411

Jochim G. Lauterbach, Maximilian Overkott

{"title":"Alternative Indexierung Am Deutschen Aktienmarkt (Alternative Indexation on the German Stock Market)","authors":"Jochim G. Lauterbach, Maximilian Overkott","doi":"10.2139/ssrn.2536411","DOIUrl":"https://doi.org/10.2139/ssrn.2536411","url":null,"abstract":"German Abstract: Diese Studie testet mehrere alternative Indexierungsmethoden fur Aktienindizes am Beispiel des DAX 30 und MDAX fur den Zeitraum 2000 bis 2013. Einige dieser Methoden sind in letzter Zeit unter dem Begriff „Smart-Beta“ bekannt geworden. Die zentrale Erkenntnis ist, dass diese alternativen Indexierungsmodelle auch in Deutschland der Marktwertgewichtung vorzuziehen sind. In vielen Fallen liefern sie eine hohere Rendite, einige eine niedrigere Volatilitat, aber besonders hinsichtlich der Sharpe-Ratio, dem Rendite-Risiko-Verhaltnis, sind alle alternativen Methoden gegenuber der Marktwertgewichtung im Vorteil. Eine Carhart-Vier-Faktoren-Regression liefert interessante Einblicke in die Einflusse der bekannten Risikofaktoren auf die Rendite der verschiedenen Indexierungsmethoden. Zudem erreichen fast alle Strategien ein signifikantes Alpha. Diese Uberrendite kann in erster Linie durch eine geringere Krisenanfalligkeit im Vergleich zur Marktwertgewichtung erklart werden. Werden die Portfolios einmal pro Jahr umgeschichtet, sind diese Erkenntnisse auch nach Abzug der Transaktionskosten gultig.English Abstract: This paper investigates for the first time a variety of different smart beta strategies for the German DAX 30 and MDAX stocks sample. All strategies show a superior Sharpe-Ratio thanks to a higher return or lower volatility compared to the market index. Furthermore, most strategies show a significant Carhart-four-factor alpha for the time span from 2000 to 2013. For annual rebalancing, the outperformance still remains after controlling for transaction costs.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133227355","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

Determinants of Investor Reactions to Error Announcements - Evidence from Germany 投资者对错误公告反应的决定因素——来自德国的证据

ERN: Europe (Developed Markets) (Topic) Pub Date : 2015-03-23 DOI: 10.2139/ssrn.2583667

G. Ebner, Matthias Hoeltken, Henning Zülch

{"title":"Determinants of Investor Reactions to Error Announcements - Evidence from Germany","authors":"G. Ebner, Matthias Hoeltken, Henning Zülch","doi":"10.2139/ssrn.2583667","DOIUrl":"https://doi.org/10.2139/ssrn.2583667","url":null,"abstract":"This paper contributes to the understanding of the German two-tiered enforcement set-up. The first tier is represented by the private review panel FREP, which has been investigating IFRS financial statements since 2005 and ensures consistent and faithful application of the latter. The German securities regulator BaFin, as second tier to the mechanism, enforces disclosure of errors established by either FREP or BaFin and therefore substantiates the adverse disclosure mechanism. We investigate short-term reactions to error announcements published between 2006 and 2013 and find evidence for differences of investor reactions between the early and the current years of enforcement. Disentangling the contributing factors of error severity, we provide evidence that investor reaction is primarily associated with the impact of error announcements on profitability. In addition, we detect that the amount of errors established is negatively associated with investor reaction indicating that extensive error announcements have an attenuating effect on investor reaction. Yet we caution to blindly interpret these findings, since they are also subject to change over time and partially driven by outliers. Further multivariate analyses provide additional insights referring to determinants of investor reactions by examining effects of stated errors on core earnings, effects of errors triggered due to second-guessing the use of professional judgment, and changes of investor perception over time.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124120369","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

How IFRS Affects Value Relevance and Key Financial Indicators? Evidence from the UK 国际财务报告准则如何影响价值相关性和关键财务指标?来自英国的证据

ERN: Europe (Developed Markets) (Topic) Pub Date : 2015-03-01 DOI: 10.2139/ssrn.2394507

Yhlas Sovbetov

{"title":"How IFRS Affects Value Relevance and Key Financial Indicators? Evidence from the UK","authors":"Yhlas Sovbetov","doi":"10.2139/ssrn.2394507","DOIUrl":"https://doi.org/10.2139/ssrn.2394507","url":null,"abstract":"This paper has two contributions to the International Financial Reporting Stands (IFRS) adoption literature. First is the scrutinizing impact of IFRS adoption on value relevance in the UK with TEST-A analysis under the H01 hypothesis. The second contribution is capturing the impact of IFRS adoption on key financial indicators of firms with the TEST-B analysis that hypothesizes H02. The statistical differences of items of two different reporting standards are examined with non-parametric tests as all input variables failed the Shapiro-Wilk and Lilliefors normality tests in TEST-A. The finding rejects the H01 hypothesis for BvMv, and agrees that IFRS has impact on value relevance. Besides, Ohlson’s (1995) model documents that the coefficient of dummy variable (MODE) is positive. Therefore, the analysis concludes that IFRS has positive impact on value relevance. The aftermath of TEST-B rejects the H02 hypothesis for all profitability ratios (ROE, ROCE, ROA, PM) and gearing ratios (GR). It concludes that profitability and gearing ratios are affected by IFRS adoption, whereas efficiency-liquidity ratios are not. Also, in Forward Stepwise regression analysis only ROCE, ROA, and PM ratios show significant results. The analysis documents positive and significant impact of IFRS on these three ratios.","PeriodicalId":341097,"journal":{"name":"ERN: Europe (Developed Markets) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132146487","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: 11

Global Financial Market Impact of the Announcement of the Ecb's Extended Asset Purchase Programme 欧洲央行宣布扩大资产购买计划对全球金融市场的影响

ERN: Europe (Developed Markets) (Topic) Pub Date : 2015-03-01 DOI: 10.24149/gwp232

Georgios P. Georgiadis, J. Gräb

引用次数: 52

Rethinking Zero Returns in the Liquidity Puzzle of a Limit Order Market 对限价单市场流动性难题中零收益的再思考

ERN: Europe (Developed Markets) (Topic) Pub Date : 2015-01-01 DOI: 10.2139/ssrn.2212101

P. Mazza

引用次数: 7

Limits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets 套利的限制:来自欧元区主权债券市场的经验证据

ERN: Europe (Developed Markets) (Topic) Pub Date : 2014-07-15 DOI: 10.2139/ssrn.2247312

Stefano Corradin, María Rodríguez-Moreno

引用次数: 23

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis 欧元区宏观新闻与股票回报:var - garch均值分析

ERN: Europe (Developed Markets) (Topic) Pub Date : 2014-07-01 DOI: 10.2139/ssrn.2472983

G. Caporale, Fabio Spagnolo, Nicola Spagnolo

引用次数: 6