发布求助
文献互助 智能选刊 最新文献

Warwick Business School Finance Group Research Paper Series最新文献

筛选
英文 中文
Are Short-Sellers Different? 卖空者与众不同吗?
Warwick Business School Finance Group Research Paper Series Pub Date : 2008-04-17 DOI: 10.2139/ssrn.1101786
F. Bardong, Söhnke M. Bartram, P. Yadav
{"title":"Are Short-Sellers Different?","authors":"F. Bardong, Söhnke M. Bartram, P. Yadav","doi":"10.2139/ssrn.1101786","DOIUrl":"https://doi.org/10.2139/ssrn.1101786","url":null,"abstract":"While theoretical models strongly suggest that short-sales are mainly driven by private information, recent empirical evidence of has been rather mixed. This paper contributes to the discussion by looking at various potential motives to sell short and compares these with regular buys and sales with regards to variation in the information contents and timing of short-sales. We find that short-sellers have different private information than regular buyers and sellers, which seems to have a longer life-time, being related to previous buying pressure. The information advantage of short-sellers seems originating from skilled analysis of publicly available data rather than corporate insider information. Short-sales provide an important stabilizing role by providing liquidity in periods of uninformed buying pressure. Overall, we find that short-sales are driven by multiple trade motives, which sets short-sellers apart from regular buyers and sellers.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116253081","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
What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows 下面是什么:外汇风险敞口，套期保值和现金流
Warwick Business School Finance Group Research Paper Series Pub Date : 2007-06-01 DOI: 10.2139/ssrn.905087
Söhnke M. Bartram
{"title":"What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows","authors":"Söhnke M. Bartram","doi":"10.2139/ssrn.905087","DOIUrl":"https://doi.org/10.2139/ssrn.905087","url":null,"abstract":"This paper presents results from an in-depth analysis of the foreign exchange rate exposure of a large nonfinancial firm based on proprietary internal data including cash flows, derivatives and foreign currency debt, as well as external capital market data. While the operations of the multinational firm have significant exposure to foreign exchange rate risk due to foreign currency-based activities and international competition, corporate hedging mitigates this gross exposure. The analysis illustrates that the insignificance of foreign exchange rate exposures of comprehensive performance measures such as total cash flow can be explained by hedging at the firm level. Thus, the residual net exposure is economically and statistically small, even if the operating cash flows of the firm are significantly exposed to exchange rate risk. The results of the paper suggest that managers of nonfinancial firms with operations exposed to foreign exchange rate risk take savvy actions to reduce exposure to a level too low to allow its detection empirically.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127118888","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: 142
The Price of Ethics: Evidence from Socially Responsible Mutual Funds 道德的代价:来自社会责任共同基金的证据
Warwick Business School Finance Group Research Paper Series Pub Date : 2007-05-01 DOI: 10.2139/ssrn.985265
L. Renneboog, J. ter Horst, Chendi Zhang
{"title":"The Price of Ethics: Evidence from Socially Responsible Mutual Funds","authors":"L. Renneboog, J. ter Horst, Chendi Zhang","doi":"10.2139/ssrn.985265","DOIUrl":"https://doi.org/10.2139/ssrn.985265","url":null,"abstract":"This paper estimates the price of ethics by studying the risk-return relation in socially responsible investment (SRI) funds. Consistent with investors paying a price for ethics, SRI funds in many European and Asia-Pacific countries strongly underperform domestic benchmark portfolios by about 5% per annum, although UK and US SRI funds do not significantly underperform their benchmarks. The underperformance of SRI funds does not seem to be driven by the loadings on an ethical risk factor. SRI funds do not suffer a cost of reduced selectivity nor do SRI funds managers time the market. There is mixed evidence of a smart money effect: SRI investors are unable to identify the funds that will outperform in the future, whereas they show some fund-selection ability in identifying ethical funds that will perform poorly. The screening activities of SRI funds have a significant impact on funds’ riskadjusted returns and loadings on risk factors: corporate governance and social screens generate better risk-adjusted returns whereas other screens (e.g. environmental ones) yield significantly lower returns.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131804306","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: 43
CAPM and Time-Varying Beta: The Cross-Section of Expected Returns CAPM与时变Beta:期望收益的横截面
Warwick Business School Finance Group Research Paper Series Pub Date : 2007-03-01 DOI: 10.2139/ssrn.972255
D. Basu, A. Stremme
{"title":"CAPM and Time-Varying Beta: The Cross-Section of Expected Returns","authors":"D. Basu, A. Stremme","doi":"10.2139/ssrn.972255","DOIUrl":"https://doi.org/10.2139/ssrn.972255","url":null,"abstract":"The failure of the static-beta CAPM to explain the cross-section of returns on portfolios sorted on firm size, book-to-market ratio, momentum, and even portfolios sorted on past CAPM betas, is well documented. In this paper we show that the model's performance dramatically improves when portfolio betas are allowed to be time-varying functions of (lagged) business cycle variables. We use an approach based on Hansen and Richard (1987) to construct a candidate stochastic discount factor (SDF), using the excess return on the market portfolio as the single factor, scaled by a time-varying coe±cient. The result is a model in which the conditional factor risk premium is a non-linear function of the business cycle variables. We assess the performance of our model by computing the R2 of the cross-sectional regression of realized on model-implied expected returns, as for example in Jagannathan and Wang (1996). While this is not a formal test of the model's ability to price the assets correctly, it does provide an informative summary statistic that allows us to compare the performance of our scaled model with that of the static version, and also to compare our findings to those of other similar studies. In the post-1980 period, where the static CAPM is known to perform particularly poorly, our scaled model explains around 60% of the cross-sectional variation in returns on beta and book-to-market portfolios, and 87% for momentum portfolios. Moreover, the model captures 70% of the value premium (the return spread between the highest and lowest book-to-market decile portfolios), and 75% of the momentum premium (the spread between the past 'winner' and 'loser' portfolios). Our results thus confirm the crucial importance of time-varying risk premiums in explaining the cross-section of average returns on these sets of portfolios. Moreover, the conditional market risk premium and hence also the betas implied by our model exhibits considerable non-linearity in the business cycle instruments.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128765561","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: 26
International Evidence on Financial Derivatives Usage 金融衍生工具使用的国际证据
Warwick Business School Finance Group Research Paper Series Pub Date : 2006-10-01 DOI: 10.2139/ssrn.471245
Söhnke M. Bartram, Gregory W. Brown, F. Fehle
{"title":"International Evidence on Financial Derivatives Usage","authors":"Söhnke M. Bartram, Gregory W. Brown, F. Fehle","doi":"10.2139/ssrn.471245","DOIUrl":"https://doi.org/10.2139/ssrn.471245","url":null,"abstract":"Theory predicts that nonfinancial corporations might use derivatives to lower financial distress costs, coordinate cash flows with investment, or resolve agency conflicts between managers and owners. Using a new database, we find that traditional tests of these theories have little power to explain the determinants of corporate derivatives usage. Instead, we show that derivative usage is determined endogenously with other financial and operating decisions in ways that are intuitive but not related to specific theories for why firms hedge. For example, derivative usage helps determine the level and maturity of debt, dividend policy, holdings of liquid assets, and international operating hedging.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124846850","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: 484
How to Time the Commodity Market 如何把握商品市场的时机
Warwick Business School Finance Group Research Paper Series Pub Date : 2006-06-01 DOI: 10.2139/ssrn.910907
D. Basu, R. Oomen, A. Stremme
{"title":"How to Time the Commodity Market","authors":"D. Basu, R. Oomen, A. Stremme","doi":"10.2139/ssrn.910907","DOIUrl":"https://doi.org/10.2139/ssrn.910907","url":null,"abstract":"Over the past few years, commodity prices have experienced the biggest boom in half a century. In this paper we investigate whether it is possible by active asset management to take advantage of the unique risk-return characteristics of commodities, while avoiding their excessive volatility. We show that observing (and learning from) the actions of different groups of market participants enables an active asset manager to successfully 'time' the commodities market. We focus on the information contained in the Commitment of Traders report, published by the CFTC. This report summarizes the size and direction of the positions taken by different types of traders in different markets. Our findings indicate that there is indeed significant informational content in this report, which can be exploited by an active portfolio manager. Our dynamically managed strategies exhibit superior out-of-sample performance, achieving Sharpe ratios in excess of 1.0 and annualized alphas relative to the S&P 500 of around 15%.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121014727","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: 13
The Use of Options in Corporate Risk Management 期权在企业风险管理中的应用
Warwick Business School Finance Group Research Paper Series Pub Date : 2004-01-07 DOI: 10.1108/03074350610641929
Söhnke M. Bartram
{"title":"The Use of Options in Corporate Risk Management","authors":"Söhnke M. Bartram","doi":"10.1108/03074350610641929","DOIUrl":"https://doi.org/10.1108/03074350610641929","url":null,"abstract":"This paper investigates the motivations and practice of nonfinancial firms with regard to using financial options in their risk management activities. To this end, it provides a comprehensive account of the existing empirical evidence on the use of derivatives in general and options in particular by nonfinancial corporations across different underlyings and countries. Overall, a significant number of 15%-25% of the firms outside the financial sector use financial options. This reflects the fact that options are very versatile risk management instruments that can be used to hedge various types of exposures, linear as well as nonlinear. In particular, options are a useful component of corporate risk management if exposures are uncertain, e.g. due to price and quantity risk. Depending on the correlation between price and quantity risk, the optimal hedge portfolio consists of a varying combination of linear and nonlinear risk management instruments. Moreover, the accounting treatment as well as liquidity effects can impact the choice of derivative instrument. At the same time, there may be agency-related incentives to use options because of their role to present dual bets on both direction as well as future volatility of the underlying.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"172 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116936732","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: 24
Defining Benchmark Status: An Application Using Euro-Area Bonds 定义基准地位:使用欧元区债券的应用
Warwick Business School Finance Group Research Paper Series Pub Date : 2002-06-01 DOI: 10.2139/ssrn.313179
Peter G. Dunne, Michael J. Moore, R. Portes
{"title":"Defining Benchmark Status: An Application Using Euro-Area Bonds","authors":"Peter G. Dunne, Michael J. Moore, R. Portes","doi":"10.2139/ssrn.313179","DOIUrl":"https://doi.org/10.2139/ssrn.313179","url":null,"abstract":"The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the benchmark' in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115582929","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: 45
International Portfolio Investment: Theory, Evidence, and Institutional Framework 国际证券投资:理论、证据和制度框架
Warwick Business School Finance Group Research Paper Series Pub Date : 2001-05-01 DOI: 10.2139/SSRN.270196
Söhnke M. Bartram, Gunter. Dufey
{"title":"International Portfolio Investment: Theory, Evidence, and Institutional Framework","authors":"Söhnke M. Bartram, Gunter. Dufey","doi":"10.2139/SSRN.270196","DOIUrl":"https://doi.org/10.2139/SSRN.270196","url":null,"abstract":"At first sight, the idea of investing internationally seems exciting and full of promise because of the many benefits of international portfolio investment. By investing in foreign securities, investors can participate in the growth of other countries, hedge their consumption basket against exchange rate risk, realize diversification effects and take advantage of market segmentation on a global scale. Even though these advantages might appear attractive, the risks of and constraints for international portfolio investment must not be overlooked. In an international context, financial investments are not only subject to currency risk and political risk, but there are many institutional constraints and barriers, significant among them a host of tax issues. These constraints, while being reduced by technology and policy, support the case for internationally segmented securities markets, with concomitant benefits for those who manage to overcome the barriers in an effective manner.","PeriodicalId":381400,"journal":{"name":"Warwick Business School Finance Group Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129636006","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: 83
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信