POL: Resource Financing Strategies (Topic)最新文献

{"title":"Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis","authors":"J. Novotný","doi":"10.2139/ssrn.1667056","DOIUrl":"https://doi.org/10.2139/ssrn.1667056","url":null,"abstract":"I empirically study price jumps using high frequency data comprising 5-, 10-, 15- and 30-minute market data on the main indices from the Prague, Warsaw, Budapest and Frankfurt Stock Exchanges for June 2003 to the end of 2008. I use two definitions of price jumps: the price jump index and normalized returns. First, I analyze the distribution of returns to support the presence of jumps. Second, I find that the distributions of the price jump indicators employed are significantly different for positive moves compared with negative moves in all the markets studied. In addition, the comparison of jump distributions across different frequencies and markets suggests a possible relationship with market micro-structure as well as with the composition of investors. In particular, at the Prague Stock Exchange, the lower the frequency, the lower the number of extreme jumps, but this is not so at the other markets. Last but not least, I show that the recent financial crisis caused an overall increase in volatility. However, this was not translated into an increase in the absolute number of jumps.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126895096","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}

{"title":"Earnings Restatements, the Sarbanes-Oxley Act and the Disciplining of Chief Financial Officers","authors":"D. Collins, Adi Masli, Austin L. Reitenga, J. M. Sánchez","doi":"10.2139/ssrn.1076800","DOIUrl":"https://doi.org/10.2139/ssrn.1076800","url":null,"abstract":"We investigate involuntary chief financial officer (CFO) turnover following earnings restatements, the labor market penalties imposed on former restatement-firm CFOs, and whether these disciplinary consequences have increased following the passage of the Sarbanes-Oxley Act of 2002 (SOX). Our results suggest that, relative to a control group of non-restating firms, firms restating earnings have higher rates of involuntary CFO turnover, and that former restatement-firm CFOs face stiff labor market penalties. We generally find that the passage of SOX has not increased involuntary CFO turnover rates following restatements. However, we find that labor market penalties for former CFOs of restatement firms are more severe in the post-SOX period, suggesting that SOX has increased ex post settling up costs. Our results suggest that the influence of SOX on the labor market has resulted in CFOs being held more accountable for their actions.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123329662","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}

{"title":"The Effect of Mutual Fund Fees on Performance: A Review of the Literature for Practitioners","authors":"Benjamin F. Cummings","doi":"10.2139/ssrn.1967307","DOIUrl":"https://doi.org/10.2139/ssrn.1967307","url":null,"abstract":"Like any consumer product, mutual funds are not free, and the associated expenses impact performance. Expense ratios and loads are negatively related to performance (Carhart, 1997; Dellva & Olson, 1998). As such, financial planners ought to educate their clients about the importance of minimizing fees. Although the impact on performance is mixed, 12b 1 fees are not found to reduce other expenses and should be avoided. Redemption fees and incentive fees can help align the interests of managers and other shareholders with those of long-term investment strategies. Any mutual fund with redemption fees can be beneficial, and incentive fees can be beneficial for actively managed funds, given that expense ratios are minimized. Because investors tend to pay more attention to loads and commissions, financial planners also have a responsibility to raise their clients’ awareness of high expense ratios and their effect on performance. An analysis of fees ought to be part of the due diligence performed by a financial planner. Because financial planners are frequently compensated on a fee-based structure, they may be hesitant to discuss the role that fees play on performance. However, Choi, Laibson, and Madrian (2008) suggest that clients will likely be grateful for the efforts to minimize expenses in order to increase expected risk-adjusted return. This effort to minimize expenses can also be highlighted when meeting with new clients in order to ease potential concerns about the additional cost of the financial planner.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123227832","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}

{"title":"Modeling Heterogeneous Beliefs and Short Sale Constraint: Evidences from Segmented Capital Markets of China","authors":"Jing Lu","doi":"10.2139/ssrn.1652725","DOIUrl":"https://doi.org/10.2139/ssrn.1652725","url":null,"abstract":"Provided that the investors have different information processing abilities in segmented markets, I build a two-stage model including heterogeneous beliefs of investors to prove that heterogeneous beliefs and short sale constraint is one of the reasons which result in lower H-share price than A-share price, and provide some empirical evidences by using data in A-share market and H-share market of China. This study could theoretically explain the anomalies of China’s segmented capital markets and be helpful to analyze the microstructure for the emerging capital markets of China.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114671892","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}

{"title":"Developing Asian Local Currency Bond Markets: Why and How?","authors":"M. Spiegel","doi":"10.2139/ssrn.1627985","DOIUrl":"https://doi.org/10.2139/ssrn.1627985","url":null,"abstract":"This paper examines the motivation for, and the success of, regional efforts in Asia to promote local currency bond markets. The analysis demonstrates that Asian local currency bond markets made substantial gains as a region going into the current global financial crisis. However, we argue that the current financial crisis requires a reassessment of the merits of promoting local currency bond markets and the gains that have been made to date. While most of the initial motivations for encouraging the development of domestic local currency bond markets appear to remain valid, there are some exceptions. However, the degree to which success in the development of these markets will be sustained remains unknown until global financial markets regain tranquility and official interventions into these markets are removed.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124018254","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}

{"title":"The Microstructure of the TIPS Market","authors":"M. Fleming, N. Krishnan","doi":"10.2139/ssrn.1976375","DOIUrl":"https://doi.org/10.2139/ssrn.1976375","url":null,"abstract":"The potential advantages from the introduction of Treasury inflation-protected securities (TIPS) in 1997 have not been fully realized, mainly because TIPS are less liquid than nominal Treasury securities. The lack of liquidity is thought to adversely affect TIPS prices relative to prices of nominal securities, offsetting the benefits that come from TIPS having no inflation risk. Despite the importance of TIPS liquidity and the market’s large size, there is virtually no quantitative evidence on the securities’ liquidity. This article sheds light on this phenomenon using novel tick data from the interdealer market. The authors identify several features of the TIPS market also present in the nominal securities market, but some unique features as well. As in the nominal market, there is a marked difference in trading activity between the most recently issued (“on-the-run”) and previously issued (“off-the-run”) securities, as trading drops sharply when securities go off the run. In contrast to the nominal market, there is little difference in bid-ask spreads or quoted depth between these securities, but there is a difference in the incidence of posted quotes. These results suggest that trading activity and quote incidence may be better cross-sectional measures of liquidity in the TIPS market than bid-ask spreads or quoted depth. Intraday patterns of trading activity are broadly similar in both markets, but TIPS activity peaks somewhat later, likely reflecting differences in the use and ownership of these securities. Announcement effects also differ between markets, with TIPS auction results and CPI releases eliciting particularly strong increases in trading activity, likely indicating these announcements’ special importance to TIPS valuation.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116932890","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}

{"title":"Structured Products Asset-Backed Securities: Opportunities Resulting from Systematic Mispricing","authors":"Brandes Institute","doi":"10.2139/ssrn.1898733","DOIUrl":"https://doi.org/10.2139/ssrn.1898733","url":null,"abstract":"Asset-backed securities have attracted attention in the recent months amid the uncertainty surrounding the mortgage sector and securitized debt. This paper examines the “boom/bust” cycle of sub-prime mortgage pools, and demonstrates how long standing perceptions of rating agencies and their ratings could potentially be either a risk or an opportunity.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130095632","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}

{"title":"Valuing Corporate Financing Strategies","authors":"Andrea Gamba, Alexander J. Triantis","doi":"10.2139/ssrn.1101902","DOIUrl":"https://doi.org/10.2139/ssrn.1101902","url":null,"abstract":"We develop a dynamic structural model of the firm that allows us to carefully analyze the value of alternative financing strategies. We first illustrate the benefits of joint versus separate optimization of dynamic financing and investment policies. We then examine the impact on firm value of investment and financing distortions due to financial agency conflicts, and highlight the compounding of these two distortions in a fully dynamic setting. We show that simple debt contract covenants designed to restrict financing or investment behavior can decrease agency costs quite effectively. We also investigate the performance of various simple financing policy heuristics. We find that these heuristics fail to capture the full value of debt financing, even though the resulting leverage distributions may appear similar to those of optimized financing policies. Generally, our results suggest that firm values can be quite sensitive to the exact specification of financing policies in a dynamic setting.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116466338","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}

{"title":"Onshore and Offshore Hedge Funds: Are They Twins?","authors":"G. Aragon, Bing Liang, Hyuna Park","doi":"10.2139/ssrn.2014402","DOIUrl":"https://doi.org/10.2139/ssrn.2014402","url":null,"abstract":"Contrary to offshore hedge funds, US-registered (“onshore”) funds are subject to strict marketing prohibitions, accredited investor requirements, limited number of investors, and tax disadvantage. We exploit this difference to test predictions about organizational design, capital flow, and fund performance. We find that onshore funds impose stronger share restrictions such as a lockup provision than offshore funds to deter redemptions, but hold more liquid assets to reduce the cost of liquidity- motivated trading. Our results show that capital flows are less sensitive to past performance in onshore funds than in offshore funds due to regulation on advertising, and the flow sensitivity difference affects performance. Liquidity-adjusted alpha is positive and significant (0.94% per month) only for stand-alone onshore funds that have not been affected by excess capital flows from offshore investors through a master-feeder structure.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126483664","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}

{"title":"The Need for Actively Managed Mutual Funds","authors":"John A. Haslem","doi":"10.2139/ssrn.2091375","DOIUrl":"https://doi.org/10.2139/ssrn.2091375","url":null,"abstract":"Superior actively managed mutual funds have numerous attributes that assist in their selection. These attributes are identified above. These portfolio managers may be normally be characterized as having an eclectic, concentrated, and wide ranging value driven investment style, which results in a large degree of unique portfolio risk.The unique investment style carries larger risk with respect to six of the nine elements of diversification risk. To the extent these larger risks are properly descriptive of these funds, their portfolio managers must overcome a variety of diversification risks that accompany their style of managing money. But, there are a few portfolio managers with reputations for doing so, and for adding a few points of long-term performance.However, independent thinking portfolio managers could greatly reduce their analytical burden. They could join the crowd that charge fees for active management, but actually herds portfolio holdings around benchmark indexes or high performance funds. Thankfully, these entrepreneurial portfolio managers are not programmed that way. And, they contribute to market efficiency. Vive la difference!Finally, a recent study by Kacperczyk, Sialm and Zheng (2005) finds that mutual fund portfolio managers with concentrated portfolios have skills related to specific industries. On average, concentrated portfolios outperform diversified portfolios after controlling for differences in risk and investment style.They find that better stock selection and style timing abilities are also more evident among portfolio managers who hold concentrated portfolios. Further, the trades of concentrated portfolios add more value than do those of diversified portfolios.Their findings thus support the value of active mutual fund portfolio management. Portfolio managers with concentrated portfolios follow distinct investment styles, which over-weight growth and small-cap stocks. On the other hand, diversified portfolios more closely resemble market portfolios. Investment ability is thus more evident among portfolios concentrated in a few industries, where portfolio managers exploit informational advantages.Their findings also differ from the above approaches in the following ways. First, small-cap or growth stocks outperform value stocks, especially large value stocks, across all performance measures. Second, portfolio managers focus by design on a few industries to exploit informational advantages. These issues aside, both approaches are consistent in the use of concentrated portfolios.","PeriodicalId":406780,"journal":{"name":"POL: Resource Financing Strategies (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125886583","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}