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On the quadratic approximation to the value of American put options: a note 关于美式看跌期权价值的二次逼近:一张票据
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540600993852
A. Andrikopoulos
{"title":"On the quadratic approximation to the value of American put options: a note","authors":"A. Andrikopoulos","doi":"10.1080/17446540600993852","DOIUrl":"https://doi.org/10.1080/17446540600993852","url":null,"abstract":"This article extends the quasi-analytical quadratic approximation of Barone-Adesi and Whaley (1987) in order to improve its performance for options with long time to expiration. We build a system of equations with an extra parameter and an additional boundary condition (‘boundary-optimality’), ensuring that the derived exercise boundary maximizes the price of the option. Numerical results for this approach show improved convergence performance for the quadratic approximation in the case of longer option lives.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116764241","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
Stock price patterns 股票价格模式
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540701222375
Brian Jacobsen
{"title":"Stock price patterns","authors":"Brian Jacobsen","doi":"10.1080/17446540701222375","DOIUrl":"https://doi.org/10.1080/17446540701222375","url":null,"abstract":"Stock price anomalies have been studied in detail; however, most studies use daily closing prices or volume-weighted average prices for identifying day-of-the week and holiday effects. In this article, I extend the day-of-the week and holiday analysis to intraday and interday trading. The results show there are definite advantages to buying a stock at the close of business and then selling at the open of the next trading day, provided that next trading day is also the next calendar day. The worst risk-return trade-off is when you buy at the close and sell at the open when there is an extended weekend. In terms of the average daily return to standard deviation ratio, the close–open strategy has the highest ratio. This strategy also has the highest positive skewness and kurtosis of the daily return distribution.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126597437","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
Stock market risk and dollarization in Ecuador 厄瓜多尔的股市风险和美元化
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540601057913
Dennis W. Jansen, M. Ortiz
{"title":"Stock market risk and dollarization in Ecuador","authors":"Dennis W. Jansen, M. Ortiz","doi":"10.1080/17446540601057913","DOIUrl":"https://doi.org/10.1080/17446540601057913","url":null,"abstract":"We study the impact of dollarization and related economic liberalization of Ecuador in January 2000 on the distribution of stock returns in Ecuador. While the mean dollar return of investing in Ecuadorian stocks changed from large and negative to large and positive, traditional measures of volatility such as the SD of returns actually increased after dollarization. However, focusing on the tails of the distribution and extreme events, we find that the tail thickness of the distribution of Ecuador stock returns increased for positive returns but decreased for negative returns. Thus, while the SD may have increased, it is because of a greater probability of large positive returns. The probability of large negative returns decreased post dollarization. Value at Risk estimates illustrates this phenomenon.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124472837","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
An examination of conditional asset pricing models in the Australian equities market 对澳大利亚股票市场条件资产定价模型的考察
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540701222409
Annette Nguyen, R. Faff, philip. gharghori
{"title":"An examination of conditional asset pricing models in the Australian equities market","authors":"Annette Nguyen, R. Faff, philip. gharghori","doi":"10.1080/17446540701222409","DOIUrl":"https://doi.org/10.1080/17446540701222409","url":null,"abstract":"This article examines the link between macroeconomic variables and equity returns in Australia by testing conditional asset pricing models. We find that conditioning the Fama–French model with a series of macroeconomic variables does not considerably improve its performance. However, we do find that the Fama–French factors, SMB and HML, retain their ability to explain equity returns even after the model is conditioned on macroeconomic variables. Our findings suggest that investors do not adjust their risk premiums according to the changes in the macroeconomic variables we employ.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131050840","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
Multivariate test of Sharpe–Lintner CAPM with time-varying beta 具有时变beta的Sharpe-Lintner CAPM的多变量检验
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540701206584
Pei-Shan Wu, Jer-Shiou Chiou
{"title":"Multivariate test of Sharpe–Lintner CAPM with time-varying beta","authors":"Pei-Shan Wu, Jer-Shiou Chiou","doi":"10.1080/17446540701206584","DOIUrl":"https://doi.org/10.1080/17446540701206584","url":null,"abstract":"This study considers two important features of most time series analysis, i.e. nonlinearity and time-varying risk, to test the validity of Sharpe–Lintner Capital asset pricing model (CAPM). By using data on BM- and size-sorted quintile portfolios, this study resolves the problem of error-in-variables by estimating the firm-specific betas, of which the Kalman filter and the betas obtained from based-sectional analysis are used. From pooled data, this study finds time variance in the systematic risk for certain portfolios. Additionally, the proposed model rejects the Shape–Lintner CAPM. Firm BM(size) appears to be the reason for the rejection of CAPM and firm earnings in excess of predicted CAPM appear to increase(decrease) with bigger(smaller) BM(size).","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131018439","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
Sectoral cointegration and causality analyses of the UAE financial markets 阿联酋金融市场的部门协整与因果分析
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540701206568
J. Squalli
{"title":"Sectoral cointegration and causality analyses of the UAE financial markets","authors":"J. Squalli","doi":"10.1080/17446540701206568","DOIUrl":"https://doi.org/10.1080/17446540701206568","url":null,"abstract":"This article investigates cointegration and causality across the common sectors of the Abu Dhabi Securities Market (ADSM) and the Dubai Financial Market (DFM). Cointegration and Granger causality tests yield evidence of a long-run equilibrium and one-way causality from the ADSM to the DFM across the banking sector, the services sector and the general index. The absence of cointegration and causality across the insurance sectors of the ADSM and DFM is consistent with Squalli (2006) in which the insurance sector of the ADSM is the only sector evidenced to be weak-form efficient. This suggests that comovements and cross-market spillovers may only exist in weak-form inefficient sectors.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128791708","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: 5
The costs of raising equity capital for closed-end fund IPOs 封闭式基金ipo募资成本
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540701222391
W. Dimovski, R. Brooks, A. van Eekelen
{"title":"The costs of raising equity capital for closed-end fund IPOs","authors":"W. Dimovski, R. Brooks, A. van Eekelen","doi":"10.1080/17446540701222391","DOIUrl":"https://doi.org/10.1080/17446540701222391","url":null,"abstract":"This article reports on some of the direct costs of raising equity capital by closed-end fund licensed investment company (LIC) initial public offerings (IPOs) in Australia from 1995 to 2005. The amount of underpricing by these IPOs is also identified. The average total direct costs amounted to a relatively low 3.4% of the capital raised, while fees paid to underwriters and/or stockbrokers was around 2.3%, to legal firms around 0.25% and to accounting firms around 0.07%. The average underpricing by these LIC IPOs was 1.3%. This article also confirms that the percentage total direct capital raising costs are inversely related to the size of the IPO and underwritten closed-end fund IPOs tend to have higher percentage total capital raising costs than those not underwritten.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116300612","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
Interest rate fluctuations and the UK financial services industry 利率波动与英国金融服务业
Applied Financial Economics Letters Pub Date : 2007-09-01 DOI: 10.1080/17446540601118319
Panayiotis G. Artikis, E. Kalotychou, Sotiris K. Staikouras
{"title":"Interest rate fluctuations and the UK financial services industry","authors":"Panayiotis G. Artikis, E. Kalotychou, Sotiris K. Staikouras","doi":"10.1080/17446540601118319","DOIUrl":"https://doi.org/10.1080/17446540601118319","url":null,"abstract":"The article explores the relationship between short-term interest rates and the equity returns of the UK financial services industry. Based on the arbitrage pricing theory, the present study seeks to answer the sensitivity and pricing questions. The former is tested with a linear two-index model attempting to identify any interest rate risk exposure of these stock returns. The latter, however, is examined using a nonlinear multivariate analysis based on the Seemingly Unrelated Regression Equations (SURE) model by imposing cross- and within-equation constraints on the estimated parameters. The econometric analysis unveils a significant negative interest rate effect and the existence of a risk premium incorporated in the expected returns of portfolios consisting of these stocks.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128947024","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
An evaluation of professional forecasts of US corporate profits 对美国企业利润专业预测的评价
Applied Financial Economics Letters Pub Date : 2007-07-01 DOI: 10.1080/17446540601018907
Hamid Baghestani
{"title":"An evaluation of professional forecasts of US corporate profits","authors":"Hamid Baghestani","doi":"10.1080/17446540601018907","DOIUrl":"https://doi.org/10.1080/17446540601018907","url":null,"abstract":"We show that the one-year-ahead forecast of growth in US corporate profits from the Survey of Professional Forecasters, for 1983–2004, is unbiased and superior to the random walk forecast. Survey respondents, however, generally predicted positive growth and thus failed to accurately predict negative growth in corporate profits. This bias may be due to respondents assigning asymmetric costs to incorrect positive and negative growth predictions.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123513472","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
Portfolio allocation with heavy-tailed returns 重尾收益的投资组合配置
Applied Financial Economics Letters Pub Date : 2007-07-01 DOI: 10.1080/17446540601057905
A. Laha, Divyajyoti Bhowmick, Bharathy Subramaniam
{"title":"Portfolio allocation with heavy-tailed returns","authors":"A. Laha, Divyajyoti Bhowmick, Bharathy Subramaniam","doi":"10.1080/17446540601057905","DOIUrl":"https://doi.org/10.1080/17446540601057905","url":null,"abstract":"In this article we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitz's mean-variance method using extensive simulation. It is found that the new methods perform appreciably in terms of growth of wealth as well as protecting against the downside risk, in situations where the return distributions of one or more of the stocks is heavy-tailed. These methods can be effective substitutes for the mean-variance method which is not applicable for return distributions with heavy-tails having infinite expectation or variance.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124129624","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
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