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Value-neutral tradeoffs between failure risk and growth 在失败风险和增长之间进行价值中立的权衡
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701704356
Sherrill Shaffer
{"title":"Value-neutral tradeoffs between failure risk and growth","authors":"Sherrill Shaffer","doi":"10.1080/17446540701704356","DOIUrl":"https://doi.org/10.1080/17446540701704356","url":null,"abstract":"Business choices typically entail tradeoffs between potential growth rates and the risk of failure. This note applies recent results from the theoretical valuation literature to characterize, as a benchmark, the terms of that tradeoff sufficient to leave the expected value of discounted cash flows unchanged. The central result indicates that risk-neutral investors could accept sizeable increases in risk in exchange for modest improvements in expected growth rates. The benchmark result can be used to rank projects in terms of their impact on the value of the firm's equity.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128810973","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
Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange 调查市场微观结构对股票价格形成和波动的影响:来自雅典证券交易所的证据
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701704364
Christos Alexakis, D. Balios
{"title":"Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange","authors":"Christos Alexakis, D. Balios","doi":"10.1080/17446540701704364","DOIUrl":"https://doi.org/10.1080/17446540701704364","url":null,"abstract":"In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125838465","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
Systematic liquidity in the long run 长期的系统性流动性
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701591357
Charly Sujoto, P. Kalev, R. Faff
{"title":"Systematic liquidity in the long run","authors":"Charly Sujoto, P. Kalev, R. Faff","doi":"10.1080/17446540701591357","DOIUrl":"https://doi.org/10.1080/17446540701591357","url":null,"abstract":"In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders’ activity rather than informed traders' activity.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116468104","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
Fixed income securities with a zero Macaulay duration: senior life settlements 零麦考利期限的固定收益证券:老年人寿结算
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701604291
Carlos E. Ortiz, C. A. Stone, A. Zissu
{"title":"Fixed income securities with a zero Macaulay duration: senior life settlements","authors":"Carlos E. Ortiz, C. A. Stone, A. Zissu","doi":"10.1080/17446540701604291","DOIUrl":"https://doi.org/10.1080/17446540701604291","url":null,"abstract":"Senior life settlements belong to the family of fixed income securities, however, because of the negative stream of cash flows generated by the payment of yearly premia p and the only one positive lump sum received at death of the senior life settler, contrary to the other fixed income securities, senior life settlements, under certain conditions, can achieve a zero Macaulay duration. Investors interested in a hedged portfolio against interest risk could purchase such life settlements. We develop the conditions for which a zero Macaulay duration is obtained.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"29 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114114336","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
Financial distress, relative performance and takeovers as drivers for abnormal accruals 财务困境、相对业绩和收购是异常应计利润的驱动因素
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701630064
Lingyan Zuo, Simon Hussain
{"title":"Financial distress, relative performance and takeovers as drivers for abnormal accruals","authors":"Lingyan Zuo, Simon Hussain","doi":"10.1080/17446540701630064","DOIUrl":"https://doi.org/10.1080/17446540701630064","url":null,"abstract":"Our article examines abnormal accruals for a large sample of UK firms between 1994 and 2004, standardized so as to control for firm size, profitability, growth, information asymmetry and debt. We find that financial distress, proxied by a bankruptcy prediction model developed for UK firms (Charitou et al., 2004), and profitability relative both to cross-sectional and industry-specific norms, are important determinants of abnormal accruals: this is consistent with Peasnell et al. (2000) and Butler et al. (2004). Our results also confirm the suggestion by Jiraporn (2005) that abnormal accruals for acquired firms do not appear to display a particular ‘sign’.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127725590","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
Does foreign exchange intervention reduces the exchange rate volatility? 外汇干预是否降低了汇率波动?
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701720485
Takeshi Hoshikawa
{"title":"Does foreign exchange intervention reduces the exchange rate volatility?","authors":"Takeshi Hoshikawa","doi":"10.1080/17446540701720485","DOIUrl":"https://doi.org/10.1080/17446540701720485","url":null,"abstract":"We report that the Japanese foreign exchange intervention reduces the yen/US dollar exchange rate volatility. Numerous studies generally concluded that foreign exchange interventions increased exchange rate volatility using daily data. The results of our article using monthly data are contrary to results of previous studies.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127007063","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
Dynamic modelling of bank profits 银行利润动态建模
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701630056
J. Mukuddem-Petersen, M. Petersen, I. Schoeman, B. A. Tau
{"title":"Dynamic modelling of bank profits","authors":"J. Mukuddem-Petersen, M. Petersen, I. Schoeman, B. A. Tau","doi":"10.1080/17446540701630056","DOIUrl":"https://doi.org/10.1080/17446540701630056","url":null,"abstract":"A topical issue in financial economics is the development of a stochastic dynamic model for bank behaviour. Under the assumption that the loan market is imperfectly competitive, we investigate the evolution of banking items such as loans, provisions for loan losses and deposit withdrawals, Treasuries and deposits and their relationship with profit. A motivation for studying this type of problem is the need to generalize the more traditional discrete-time models that are being used in the majority of studies that analyse banks and their operational idiosyncracies. An important outcome of our research is an explicit model for bank profit based solely on the stochastic dynamics of bank assets (loans, Treasuries and reserves) and liabilities (deposits). By way of conclusion, we provide a brief discussion of some of the economic aspects of the dynamic bank modelling undertaken in the main body of the article.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115670939","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: 22
Deregulation and productivity changes in banking: evidence from European unification 银行业放松管制和生产率变化:来自欧洲统一的证据
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540500522587
Alexander G. Kondeas, S. Caudill, Daniel Gropper, Jennie E. Raymond
{"title":"Deregulation and productivity changes in banking: evidence from European unification","authors":"Alexander G. Kondeas, S. Caudill, Daniel Gropper, Jennie E. Raymond","doi":"10.1080/17446540500522587","DOIUrl":"https://doi.org/10.1080/17446540500522587","url":null,"abstract":"Over the 1990s European banking markets became increasingly deregulated as European unification progressed. National borders become less relevant, and product line restrictions diminished, increasing competitive pressures on institutions to operate more efficiently. A stochastic frontier cost function is estimated for commercial banks across 15 nations in the European Union (EU) to obtain a better understanding of how banks adapted in this period of rapid change in the competitive environment. It is found that the banking systems in all individual countries became more efficient. Country rankings according to productivity changed little over the sample period, and productivity differences between banking systems narrowed. These results suggest that the policy of reducing restrictions and harmonizing regulations was consistent with promoting banking efficiency across the EU.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125841083","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: 22
Assessing Italian Government bonds’ term structure with CIR model in the aftermath of EMU 用CIR模型评估欧洲货币联盟后意大利政府债券期限结构
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701689391
B. Maggi, Fabrizio Infortuna
{"title":"Assessing Italian Government bonds’ term structure with CIR model in the aftermath of EMU","authors":"B. Maggi, Fabrizio Infortuna","doi":"10.1080/17446540701689391","DOIUrl":"https://doi.org/10.1080/17446540701689391","url":null,"abstract":"In this article we analyse the term structure of the Italian Government bonds after the adoption of Euro currency. In such a framework, we make use of the CIR model and deal with the degree of different volatilities of the maturities considered. To cope with this problem, we propose a simple correction formula and make use of a reaction function to take into account the influence of the monetary policy of the ECB with the result of considerably improving the performance of the model.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127645885","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
Test of a quadratic relationship between the yield of TIPS and the federal funds rate 通货膨胀保值债券收益率与联邦基金利率之间二次关系的检验
Applied Financial Economics Letters Pub Date : 2008-04-21 DOI: 10.1080/17446540701704331
Y. Hsing
{"title":"Test of a quadratic relationship between the yield of TIPS and the federal funds rate","authors":"Y. Hsing","doi":"10.1080/17446540701704331","DOIUrl":"https://doi.org/10.1080/17446540701704331","url":null,"abstract":"This article examines the potential impacts of monetary policy on the yield of Treasury inflation-protected securities (TIPS). A quadratic relationship is confirmed for all four types of TIPS. It suggests that Fed easing would not lower TIPS yields when the federal funds rate is below certain critical values whereas Fed tightening would raise TIPS yields when the federal funds rate is greater than certain critical values.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134485004","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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