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A Probabilidade De Negociação Com Informação Privilegiada No Mercado Acionário Brasileiro (The Probability of Informed Trading in the Brazilian Stock Market) 巴西股票市场内幕交易的概率(巴西股票市场内幕交易的概率)
PSN: Global Markets (Topic) Pub Date : 2013-07-02 DOI: 10.12660/RBFIN.V11N2.2013.6233
O. Martins, E. Paulo
{"title":"A Probabilidade De Negociação Com Informação Privilegiada No Mercado Acionário Brasileiro (The Probability of Informed Trading in the Brazilian Stock Market)","authors":"O. Martins, E. Paulo","doi":"10.12660/RBFIN.V11N2.2013.6233","DOIUrl":"https://doi.org/10.12660/RBFIN.V11N2.2013.6233","url":null,"abstract":"This paper aims to investigate the existence of insider trading in the Brazilian stock market. For this, we estimate the probability of informed trading (PIN) of 229 stocks during the years 2010 and 2011, using the model of Easley et al. (2002). In the results, it was found that the average PIN of these stocks was 24.9%, suggesting the existence of informed trading in that period. Considering the segment of corporate governance, the stocks listed on Level 2 had the lowest average PIN (24.4%), while stocks on Level 1 had the highest average (25.6%). Considering the classes of stock, the average PIN of common stocks was 24.2% and the average PIN of preferred stocks was 26.0%, indicating that the stocks with voting rights had lower information asymmetry. Still, it was found that the relationship between greater and lesser liquidity PIN was only confirmed for common stocks with high liquidity.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116283768","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: 7
Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments 新兴市场主权债券息差的决定因素:本地基本面和全球因素与不断变化的失调
PSN: Global Markets (Topic) Pub Date : 2013-07-01 DOI: 10.5089/9781475573206.001.A001
Balázs Csontó, Iryna V. Ivaschenko
{"title":"Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments","authors":"Balázs Csontó, Iryna V. Ivaschenko","doi":"10.5089/9781475573206.001.A001","DOIUrl":"https://doi.org/10.5089/9781475573206.001.A001","url":null,"abstract":"We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are important in the long-run, global factors are main determinants of spreads in the short-run. Second, we investigate whether and how the strength of fundamentals is related to the sensitivity of spreads to global factors. Countries with stronger fundamentals tend to have lower sensitivity to changes in global risk aversion. Third, we decompose changes in spreads and analyze the behavior of explained and unexplained components over different periods. To do so, we break down fitted changes in spreads into the contribution of country-specific and global factors, as well as decompose changes in the residual into the correction of initial misalignment and an increase/decrease in misalignment. We find that changes in spreads follow periods of tightening/widening, which are well-explained by the model; and the dynamics of the components of the unexplained residual follow all the major developments that impact market sentiment. In particular, we find that in the periods of severe market stress, such as during the intensive phase of the Eurozone debt crisis, global factors tend to drive changes in the spreads and the misalignment tends to increase in magnitude and its relative share in actual spreads.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126249370","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: 82
The Prediction of Fund Failure Through Performance Diagnostics 基于绩效诊断的基金失效预测
PSN: Global Markets (Topic) Pub Date : 2013-05-26 DOI: 10.2139/ssrn.2270300
Philippe Cogneau, G. Hübner
{"title":"The Prediction of Fund Failure Through Performance Diagnostics","authors":"Philippe Cogneau, G. Hübner","doi":"10.2139/ssrn.2270300","DOIUrl":"https://doi.org/10.2139/ssrn.2270300","url":null,"abstract":"Using an international database featuring 1624 mutual funds over 15years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and expected fund survival time, and study the circumstances of a fund’s disappearance, its currency and domicile. By combining relevant measures, fund failure appears to a significant extent predictable, more than with single classical measures. Survivorship predictability has significant economic value. Such evidence suggests that past performance does not only influence investors’ perception of fund quality, but also reflects managers’ ability to sustain performance.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"180 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123883466","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: 17
The Reaction of European Credit Default Swap Spreads to the U.S. Credit Rating Downgrade 欧洲信用违约互换价差对美国信用评级下调的反应
PSN: Global Markets (Topic) Pub Date : 2013-05-16 DOI: 10.2139/ssrn.2266083
Benjamin M. Blau, Brian S. Roseman
{"title":"The Reaction of European Credit Default Swap Spreads to the U.S. Credit Rating Downgrade","authors":"Benjamin M. Blau, Brian S. Roseman","doi":"10.2139/ssrn.2266083","DOIUrl":"https://doi.org/10.2139/ssrn.2266083","url":null,"abstract":"Using data consisting of Credit Default Swap (CDS) spreads, this study examines CDS spreads for nearly all European countries surrounding the August 5th, 2011 sovereign credit rating downgrade of the United States. While U.S. CDS spreads remained at relatively normal levels, we find a surge in European CDS spreads during the ten-day period surrounding the U.S. downgrade. At their highest level during this ten-day period, CDS spreads were nearly 25% higher than normal indicating that the CDS market perceived that the U.S. downgrade dramatically affected the likelihood of default in European countries. We show that European countries with the smallest GDP per capita and countries that had not recently been downgraded had the largest increase in CDS spreads. Our multivariate tests also show that countries that use the EURO also had the largest increases in CDS spreads.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114845351","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: 20
Futures Commodities Prices and Media Coverage 期货商品价格和媒体报道
PSN: Global Markets (Topic) Pub Date : 2013-05-01 DOI: 10.2139/ssrn.2267912
M. Almanzar, M. Torero, K. von Grebmer
{"title":"Futures Commodities Prices and Media Coverage","authors":"M. Almanzar, M. Torero, K. von Grebmer","doi":"10.2139/ssrn.2267912","DOIUrl":"https://doi.org/10.2139/ssrn.2267912","url":null,"abstract":"In this paper we examine the effects of media coverage of commodity prices increases and decreases on the price of the commodity and how media coverage in other commodities affects prices. We provide evidence of the relationship between media coverage and its intensity to the price level of agricultural commodities and oil futures. We find that price movements are correlated with the media coverage of up movements, or increase in prices. The direction of the correlation is robust and positive for media coverage of increases in prices, and negative for decreases in prices. These results point to increases in prices being exacerbated by media attention by 8%. In addition, we find interesting countervailing effects of this reinforcing price pressures due to media activity in the previous days. Finally, we find that even though volatility is higher for the set of days where there is media coverage, this hides important dynamics between media coverage and volatility. The volatility of market adjusted returns is negatively correlated with the media coverage, both up and down media coverage. Markets days with intense media coverage of commodity prices tends to have lower volatility.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124935368","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 Markets in Russia in March 2013 2013年3月俄罗斯金融市场
PSN: Global Markets (Topic) Pub Date : 2013-04-29 DOI: 10.2139/SSRN.2258282
Nikita Andrievskiy, E. Khudko
{"title":"Financial Markets in Russia in March 2013","authors":"Nikita Andrievskiy, E. Khudko","doi":"10.2139/SSRN.2258282","DOIUrl":"https://doi.org/10.2139/SSRN.2258282","url":null,"abstract":"The stock market dynamics in March was affected by several developments, such as a decrease in oil futures prices and the crisis situation in Cyprus. From the beginning of the month the growth was replaced by a reverse trend. The dynamics of stock market indices has led to a decrease in capitalization by 4.66%. The situation in the Russian domestic corporate bond market remained stable. In general, in March the volume and market index were growing, and the activity of issuers and investors in the primary and secondary market segments remained at a high level. A negative factor was the increased weighted average yield and a record number of canceled bond issues because of non-placement of any security.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126511632","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
10 Years Later: Where in the World is Equal Weight Indexing Now? 十年后:现在世界上哪些地方是等权指数?
PSN: Global Markets (Topic) Pub Date : 2013-04-20 DOI: 10.2139/ssrn.2257481
Liyu Zeng, F. Luo
{"title":"10 Years Later: Where in the World is Equal Weight Indexing Now?","authors":"Liyu Zeng, F. Luo","doi":"10.2139/ssrn.2257481","DOIUrl":"https://doi.org/10.2139/ssrn.2257481","url":null,"abstract":"Often the most powerful investment ideas are simple. The S&P 500 EWI 10 years ago pioneered the simple concept of equal weighted indexing. It has now expanded in the U.S. into the S&P 100, a MegaCap index, S&P MidCap 400® and S&P SmallCap 600®. The equal weighting idea has also been applied to international equities, as well as in other asset classes such as fixed income indices and commodity indices. It has become one of the most popular alternatively-weighted ideas. While the headline cause of asset flows has been outperformance over market-cap indices, sophisticated investors have realized that equal weighting creates a different set of risk factor exposures than market cap weighting that seem to have worked over the long-term as noted in the paper. Furthermore, the concept randomizes factor mispricings in the market, and it can serve as a performance benchmark for alternative-weighted indices.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121896149","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: 7
The Global Energy Outlook 全球能源展望
PSN: Global Markets (Topic) Pub Date : 2013-04-01 DOI: 10.3386/W18967
R. Newell, Stuart Iler
{"title":"The Global Energy Outlook","authors":"R. Newell, Stuart Iler","doi":"10.3386/W18967","DOIUrl":"https://doi.org/10.3386/W18967","url":null,"abstract":"We explore the principal trends that are shaping the future landscape of energy supply, demand, and trade. We take a long-term view, assessing trends on the time scale of a generation by looking 25 years into the past, taking stock of the current situation, and projecting 25 years into the future. We view these market, technology, and policy trends at a global scale, as well as assess the key regional dynamics that are substantially altering the energy scene. The shift from West to East in the locus of energy growth and the turnaround of North American gas and oil production are the most pronounced of these currents. Key uncertainties include the strength of economic and population growth in emerging economies, the stringency of future actions to reduce carbon emissions, the magnitude of unconventional natural gas and oil development in non-OPEC countries, and the stability of OPEC oil supplies.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116241209","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: 36
Assessing International Efficiency 评估国际效率
PSN: Global Markets (Topic) Pub Date : 2013-04-01 DOI: 10.1016/B978-0-444-54314-1.00009-4
J. Heathcote, F. Perri
{"title":"Assessing International Efficiency","authors":"J. Heathcote, F. Perri","doi":"10.1016/B978-0-444-54314-1.00009-4","DOIUrl":"https://doi.org/10.1016/B978-0-444-54314-1.00009-4","url":null,"abstract":"","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121407343","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: 16
Covered Call ETFs for BRIC Markets 金砖四国市场的备兑看涨etf
PSN: Global Markets (Topic) Pub Date : 2013-01-15 DOI: 10.2139/SSRN.2222845
R. T. Slivka, Sharad Bhat, Sridhar Nonabuhr Srinivasamurthy
{"title":"Covered Call ETFs for BRIC Markets","authors":"R. T. Slivka, Sharad Bhat, Sridhar Nonabuhr Srinivasamurthy","doi":"10.2139/SSRN.2222845","DOIUrl":"https://doi.org/10.2139/SSRN.2222845","url":null,"abstract":"We explore the feasibility of creating a covered call ETF within BRIC countries to serve the growing global demand for emerging market investments having attractive risk and return characteristics Our findings suggest that currently among BRIC nations India alone has stock and options markets that make an index covered call ETF practically achievable. Such an ETF on India's NIFTY index appear to provide the valuable covered call benefits of yield enhancement over cash returns with volatility below that of the NIFTY index, diversification benefits due to a lower correlation with the NIFTY and a degree of protection against falling markets. Using closing price and intraday price data on the NIFTY and NIFTY options we verify that covered call returns in India are attractive and compatible with findings of past covered call studies. We conclude a covered call ETF on the NIFTY could be created, listed and quoted on local exchanges in India, Europe, the US or elsewhere.","PeriodicalId":374935,"journal":{"name":"PSN: Global Markets (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116688410","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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