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A duration-based equity premium 基于持续时间的股票溢价
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540600806229
S. Azar
{"title":"A duration-based equity premium","authors":"S. Azar","doi":"10.1080/17446540600806229","DOIUrl":"https://doi.org/10.1080/17446540600806229","url":null,"abstract":"Theoretically the expected return on any financial asset need not equal the average of the actual return. In this paper, the expected equity premium is estimated based on two fundamentals: the Gordon dividend model with constant growth, and duration analysis. The result is that the ex ante, or expected, equity premium is around 3.24%, with a standard error between 0.30% and 0.87%. Taking 0.87% as the standard error, the 95% confidence interval is between 1.53% and 4.95%. These figures show clearly that the actual equity premium is much higher than the expected one. The reason for that is due to unpredictable changes in interest rates, and other growth rates.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116635703","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
Assessing dependence changes using nonparametric methods 使用非参数方法评估依赖性变化
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540701335490
P. Silvapulle, Xibin Zhang
{"title":"Assessing dependence changes using nonparametric methods","authors":"P. Silvapulle, Xibin Zhang","doi":"10.1080/17446540701335490","DOIUrl":"https://doi.org/10.1080/17446540701335490","url":null,"abstract":"This article examines the change in the dependence between two emerging equity markets (Korean and Thai) returns due to July 1997-financial crisis. The nonparametric chi- and K-plots reveal that these two markets were largely independent before the crisis and became significantly dependent in the post-crisis period. These results indicate that the benefit of international portfolio diversification would be eroded after these emerging markets experience major crises. Further, we find that the dependence in the post-crisis period can be captures by the Gumbel copula. The chi- and K-plots can be used as a guide to choosing a suitable copula before embarking on parametric modelling and estimating exercise.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133119681","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
Firms’ growth opportunities and profitability: a nonlinear relationship 企业成长机会与盈利能力:一种非线性关系
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540701262827
Zélia M. Serrasqueiro, Paulo J. Maçãs Nunes, Sequeira Tiago Neves Sequeira
{"title":"Firms’ growth opportunities and profitability: a nonlinear relationship","authors":"Zélia M. Serrasqueiro, Paulo J. Maçãs Nunes, Sequeira Tiago Neves Sequeira","doi":"10.1080/17446540701262827","DOIUrl":"https://doi.org/10.1080/17446540701262827","url":null,"abstract":"Using different panel estimators, this article shows that the relationship between growth opportunities and profitability is nonlinear in a sample of firms in the Portuguese Stock Market. These results highlight that firms with low and high growth opportunities tend to show high profitability and firms in the middle of the growth opportunities distribution have small profitability. These suggest that the agency problems between managers and owners are particularly relevant in firms with middle growth opportunities, as managers seem to act in order to simultaneously grow and decrease profitability.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"4 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125996258","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: 10
A requiem for the use of the geometric mean in evaluating portfolio performance 用几何均值来评价投资组合的表现
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540601018964
S. Missiakoulis, D. Vasiliou, N. Eriotis
{"title":"A requiem for the use of the geometric mean in evaluating portfolio performance","authors":"S. Missiakoulis, D. Vasiliou, N. Eriotis","doi":"10.1080/17446540601018964","DOIUrl":"https://doi.org/10.1080/17446540601018964","url":null,"abstract":"Although the geometric mean procedure is very popular among financial analysts, it is shown that when it is applied on rates of returns for evaluating portfolio performance it does not produce efficient results. Valuable past performance information is ignored since the geometric mean procedure applied on rates of returns uses only three specific pieces of information, namely the initial value, the terminal value and the total number of time periods under evaluation.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114079707","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: 6
Time-varying nonlinear exchange rate exposure 时变非线性汇率暴露
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540701262850
Renatas Kizys, Christian Pierdzioch
{"title":"Time-varying nonlinear exchange rate exposure","authors":"Renatas Kizys, Christian Pierdzioch","doi":"10.1080/17446540701262850","DOIUrl":"https://doi.org/10.1080/17446540701262850","url":null,"abstract":"We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"23 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120857137","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: 6
Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets 股票市场收益的长期依赖性检验:来自中东和北非新兴股票市场的进一步证据
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540701222417
A. Maghyereh
{"title":"Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets","authors":"A. Maghyereh","doi":"10.1080/17446540701222417","DOIUrl":"https://doi.org/10.1080/17446540701222417","url":null,"abstract":"The financial rates of return from Middle East and North African markets are found to be nonnormal, nonstationary and long-range dependent, i.e. they have long memory. The degree of long-term dependence is measured by Hurst exponents using local Whittle method which is a semi-parametric method that presents robustness to data seasonality and short-range dependence. Our long-term results are consistent with similar empirical findings from American, European and Asian financial markets. Therefore, the article extends the domain of the empirical investigation of the dynamics characteristics of the global financial markets and disproves the hypothesis of perfectly efficient financial markets.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116647534","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: 9
To be euro or not to be euro: a comparative analysis of banking systems 加入欧元区还是退出欧元区:银行体系的比较分析
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540701320195
Mark J. Bertus, J. Jahera, Keven Yost
{"title":"To be euro or not to be euro: a comparative analysis of banking systems","authors":"Mark J. Bertus, J. Jahera, Keven Yost","doi":"10.1080/17446540701320195","DOIUrl":"https://doi.org/10.1080/17446540701320195","url":null,"abstract":"For the past half century, European countries have moved to harmonize their economies. While there has been a push for a single banking market in Europe, the 25 European Union (EU) countries have still not achieved full harmonization. The purpose of this study is to explore similarities and differences in country-specific banking system attributes between member nations in the EU that have adopted the Euro and those that have not. We find evidence suggesting that the currency adoption decision is related to the level of market disclosure and openness. In general, countries that have adopted the Euro have the strongest quality of information and greatest protection against the exploitation of banking entities.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"207 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130971094","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
Measuring the macroeconomic impact of workers’ remittances in a data-rich environment 在数据丰富的环境中衡量工人汇款的宏观经济影响
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540600993878
Carlos Vargas‐Silva
{"title":"Measuring the macroeconomic impact of workers’ remittances in a data-rich environment","authors":"Carlos Vargas‐Silva","doi":"10.1080/17446540600993878","DOIUrl":"https://doi.org/10.1080/17446540600993878","url":null,"abstract":"This article uses 85 monthly time series from Mexico to study the macroeconomic impact of workers’ remittances. The estimation approach is based on the two-step factor augmented vector autoregression methodology used by Bernanke et al . (2005). The results show that Mexico's inward remittances have a positive impact on prices, the stock market, interest rates and various measures of economic activity.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"34 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113937145","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: 6
Structural breaks in financial ratios: evidence for nine international markets 财务比率的结构性断裂:9个国际市场的证据
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540701262835
D. McMillan
{"title":"Structural breaks in financial ratios: evidence for nine international markets","authors":"D. McMillan","doi":"10.1080/17446540701262835","DOIUrl":"https://doi.org/10.1080/17446540701262835","url":null,"abstract":"Financial ratios have recently reached unprecedented levels and despite price falls remain at ahistoric levels. This is at odds with the theoretical present value model. Whilst, several researchers have attempted to reconcile theory and data using fractional integration and nonlinear techniques, an alternate view is that such ratios do not revert to a single point but exhibit a time-variation in their level. This article, tests for and supports, the belief that financial ratios exhibit structural breaks, or level shifts, through time. As such, the present value model does not hold exactly, but needs to accommodate such shifts. This may also explain apparent contradictory findings in long-horizon return predictability regressions performed over different sample periods.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"177 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133319941","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
Valuation effects of international joint venture formation: Hong Kong listed companies 国际合资企业的估值效应:香港上市公司
Applied Financial Economics Letters Pub Date : 2007-11-01 DOI: 10.1080/17446540600848221
W. Leung, F. Cheung
{"title":"Valuation effects of international joint venture formation: Hong Kong listed companies","authors":"W. Leung, F. Cheung","doi":"10.1080/17446540600848221","DOIUrl":"https://doi.org/10.1080/17446540600848221","url":null,"abstract":"The study tests the abnormal returns of announcements of joint-venturing in Mainland China by Hong Kong-based companies. As the Hong Kong stock market is one of the most mature stock markets in the world, the response of the stock price should be among the best quality. Thus the positive response suggests that international joint ventures provide potential profits to the parent firms, which is predicted by the nowadays standard eclectic theory. The result supports the hypothesis of abnormal returns.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126109778","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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