EFA 2004 Maastricht Meetings (Archive)最新文献_第2页

Banking Crises and Transparency 银行业危机与透明度

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-15 DOI: 10.2139/ssrn.567052

Erlend W. Nier

引用次数: 7

Benefits and Costs of Having Bank and Trade Credit Simultaneously 同时拥有银行和贸易信贷的收益和成本

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-15 DOI: 10.2139/ssrn.567043

Jochen Bigus

引用次数: 0

Are 'Market Neutral' Hedge Funds Really Market Neutral? “市场中性”对冲基金真的是市场中性吗?

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-11 DOI: 10.2139/ssrn.557096

Andrew J. Patton

引用次数: 17

Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data 低频交易市场的期限结构估计:不完全面板数据下的卡尔曼滤波方法

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-01 DOI: 10.2139/ssrn.567090

G. Cortazar, Eduardo S. Schwartz, Lorenzo Naranjo

{"title":"Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data","authors":"G. Cortazar, Eduardo S. Schwartz, Lorenzo Naranjo","doi":"10.2139/ssrn.567090","DOIUrl":"https://doi.org/10.2139/ssrn.567090","url":null,"abstract":"There are two issues that are of central importance in term structure analysis. One is the modeling and estimation of the current term structure of spot rates. The second is the modeling and estimation of the dynamics of the term structure. These two issues have been addressed independently in the literature. The methods that have been proposed assume a sufficiently complete price data set and are generally implemented separately. However, when the methods are applied to markets with sparse bond price, results are unsatisfactory. We develop a method for jointly estimating the current term structure and its dynamics for markets with low-frequency transactions. We propose solving both issues by using a dynamic term structure model estimated from incomplete panel data. To achieve this, we modify the standard Kalman filter approach to deal with the missing-observation problem. In this way, we can use historic price data in a dynamic model to estimate the current term structure. With this approach we are able to obtain an estimate of the current term structure even for days with an arbitrary low number of price observations. The proposed methodology can be applied to a broad class of continuous-time term-structure models with any number of stochastic factors. To show the implementation of the approach, we estimate a three-factor generalized-Vasicek model using Chilean government bond price data. The approach, however, may be used in any market with low-frequency transactions, a common characteristic of many emerging markets.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125936369","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: 21

Are Financial Crises Indeed 'Crises?' Evidence from the Emerging Adr Market 金融危机真的是“危机”吗?来自新兴Adr市场的证据

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-01 DOI: 10.2139/ssrn.557093

P. Pasquariello

{"title":"Are Financial Crises Indeed 'Crises?' Evidence from the Emerging Adr Market","authors":"P. Pasquariello","doi":"10.2139/ssrn.557093","DOIUrl":"https://doi.org/10.2139/ssrn.557093","url":null,"abstract":"The recent episodes of financial turmoil in Mexico, East Asia, Russia, Brazil, and Argentina are often dubbed financial crises. However, the severe downturns in equity markets, abrupt currency devaluations, and massive capital flight that characterize these events can still be deemed compatible with efficient and functioning financial markets. Thus, why is a financial crisis a \"crisis?\" To answer this question, we conduct an empirical investigation of the efficiency and pricing of the emerging ADR market. More specifically, using a non-parametric technique, we test for regime shifts in two basic structural relationships for ADR returns in 20 emerging countries, identified via arbitrage and capital mobility considerations. We find that \"normal\" market conditions were violated in proximity of financial crises: The law of one price often ceased to hold, and domestic sources of risk became more important for many depositary receipts in our sample. We also find that some popular explanations for the occurrence of financial crises in emerging economies, in particular uncertainty among investors, exchange rate volatility, economic integration, and liquidity (but not financial integration, currency devaluations, or capital flight) made their equity markets less efficient as well. Based on this evidence, we can state with greater confidence that those episodes of financial turmoil were indeed \"crises.\"","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129484082","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 Study of Neo-Austrian Economics Using an Artificial Stock Market 用人工股票市场研究新奥地利经济学

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-03-01 DOI: 10.2139/ssrn.567125

Harald Benink, J. Gordillo, Juan Pablo Pardo-Guerra, Christopher R. Stephens

{"title":"A Study of Neo-Austrian Economics Using an Artificial Stock Market","authors":"Harald Benink, J. Gordillo, Juan Pablo Pardo-Guerra, Christopher R. Stephens","doi":"10.2139/ssrn.567125","DOIUrl":"https://doi.org/10.2139/ssrn.567125","url":null,"abstract":"An agent-based artificial financial market (AFM) is used to study market efficiency and learning in the context of the Neo-Austrian economic paradigm. Efficiency is defined in terms of the 'excess' profits associated with different trading strategies, where excess for an active trading strategy is defined relative to a dynamic buy and hold benchmark. We define an Inefficiency matrix that takes into account the difference in excess profits of one trading strategy versus another ('signal') relative to the standard error of those profits ('noise') and use this statistical measure to gauge the degree of market efficiency. A one-parameter family of trading strategies is considered, the value of the parameter measuring the relative 'informational' advantage of one strategy versus another. Efficiency is then investigated in terms of the composition of the market defined in terms of the relative proportions of traders using a particular strategy and the parameter values associated with the strategies. We show that markets are more efficient when informational advantages are small (small signal) and when there are many coexisting signals. Learning is introduced by considering 'copycat' traders that learn the relative values of the different strategies in the market and copy the most successful one. We show how such learning leads to a more informationally efficient market but can also lead to a less efficient market as measured in terms of excess profits. It is also shown how the presence of exogeneous information shocks that change trader expectations increases efficiency and complicates the inference problem of copycats.","PeriodicalId":411978,"journal":{"name":"EFA 2004 Maastricht Meetings (Archive)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117203797","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

Loss Functions in Option Valuation: A Framework for Model Selection 期权估值中的损失函数:模型选择的框架

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-02-01 DOI: 10.2139/ssrn.567092

D. Bams, T. Lehnert, Christian C. P. Wolff

引用次数: 4

Dynamic Hedging Incentives, Debt, and Warrants 动态对冲激励、债务和权证

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-01-14 DOI: 10.2139/ssrn.559409

C. Hennessy, Yuri Tserlukevich

引用次数: 13

The Many Facets of Privately Negotiated Stock Repurchases 私下协商股票回购的诸多方面

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-01-01 DOI: 10.2139/ssrn.472200

U. Peyer, Theo Vermaelen

引用次数: 108

Do Tests of Capital Structure Theory Mean What They Say? 资本结构理论的检验有其实际意义吗?

EFA 2004 Maastricht Meetings (Archive) Pub Date : 2004-01-01 DOI: 10.2139/ssrn.556697

Ilya A. Strebulaev

引用次数: 920