Econometric Modeling: Financial Markets Regulation eJournal最新文献_第9页

Arbitrage Risk and Market Efficiency – Applications to Securities Class Actions 套利风险和市场效率——在证券集体诉讼中的应用

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2015-01-28 DOI: 10.2139/ssrn.2099241

Rajeev R. Bhattacharya, S. O'brien

{"title":"Arbitrage Risk and Market Efficiency – Applications to Securities Class Actions","authors":"Rajeev R. Bhattacharya, S. O'brien","doi":"10.2139/ssrn.2099241","DOIUrl":"https://doi.org/10.2139/ssrn.2099241","url":null,"abstract":"Measuring the efficiency of the market for a stock is important for a number of reasons, but such measurements have been widely utilized in securities class action litigation, particularly to justify certification of cases as appropriate for class action treatment. We provide a general methodology to measure the arbitrage risk, which is a negative proxy for the market efficiency, of a stock for any relevant period. We apply this methodology to calculate the arbitrage risk of each U.S. exchange-listed common stock for every calendar year from 1988 to 2010. We find that market efficiency is significantly affected by turnover (negatively), the number of market makers for Nasdaq stocks (negatively), and serial correlation in the Capital Asset Pricing Model of the stock (positively). These findings seem inconsistent with “conventional wisdom” and with the understanding that courts use in applying notions of market efficiency to class certification decisions, but we show that our findings are consistent with economic logic. The relations between market efficiency and market capitalization (positive), bid-ask spread (negative) and institutional ownership (positive) are consistent with conventional wisdom. The impact on market efficiency of the number of securities analysts following a stock and the public float ratio of a stock are of ambiguous significance.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129877150","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

Retrieving Financial Information in XBRL on the Next-Generation Edgar 基于下一代Edgar的XBRL财务信息检索

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2015-01-26 DOI: 10.2139/SSRN.2555784

Jianing Fang

引用次数: 0

Lending Booms, Smart Bankers and Financial Crises 贷款繁荣、聪明的银行家和金融危机

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2015-01-19 DOI: 10.2139/ssrn.2587168

A. Thakor

引用次数: 58

The Evolution of the Financial Stability Mandate: From its Origins to the Present Day 金融稳定使命的演变:从起源到今天

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2015-01-01 DOI: 10.3386/W20844

G. Toniolo, Eugene N. White

引用次数: 17

The Regulation of Electronic Money Institutions in the SADC Region: Some Lessons from the EU 南共体地区电子货币机构的监管:欧盟的经验教训

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2014-12-30 DOI: 10.4314/PELJ.V17I6.02

M. Tuba

{"title":"The Regulation of Electronic Money Institutions in the SADC Region: Some Lessons from the EU","authors":"M. Tuba","doi":"10.4314/PELJ.V17I6.02","DOIUrl":"https://doi.org/10.4314/PELJ.V17I6.02","url":null,"abstract":"This article analyses the different approaches adopted for the regulation of payment systems in a variety of legislative instruments by the European Union (EU). It looks in particular at how the institutions that issue new electronic money products are regulated and supervised by the relevant authorities in the EU, in comparison with existing institutions such as banks. It analyses some of the lessons that may be learned by the South African Development Corporation (SADC) from the regulatory approaches for electronic money institutions adopted by the EU. The article asks if the approach adopted by the EU may be useful for the future regulation of electronic money institutions in the SADC. The proliferation of electronic devices that arrived with the invention of the Internet has sparked some regulatory challenges. This development has become global and involves both developed and developing countries, including regions such as the SADC. It is asked if these technological developments should be addressed by means of a concrete regulatory framework while they continue to develop, instead of the regulators waiting to observe and acquaint themselves with the relevant regulatory challenges that underpin the innovations. The EU has attempted to address the anticipated regulatory challenges that came about with the development of electronic money and to align its regulatory approach with other payment systems. This article discusses the regulatory approaches adopted in the EU and provides an overview that the SADC may use in order to adopt an effective regulatory framework for electronic money and the institutions that issue these methods of payment. It analyses both the achievements and the challenges that the EU faced (and continues to face) in developing the regulation of e-money, and recommends some possible approaches derived from the lessons learned.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121195686","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

Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework 新规管架构下的利率衍生产品及近期市场活动

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2014-12-20 DOI: 10.1002/9781118709207.CH16

Christopher L. Culp

引用次数: 2

Contagion in the Interbank Market: Funding versus Regulatory Constraints 银行间市场的传染:融资与监管约束

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2014-12-02 DOI: 10.2139/ssrn.2271545

Oana Georgescu

引用次数: 4

Rules vs Principles Based Financial Regulation 规则vs基于金融监管的原则

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2014-11-25 DOI: 10.2139/ssrn.2561370

P. Frantz, Norvald Instefjord

{"title":"Rules vs Principles Based Financial Regulation","authors":"P. Frantz, Norvald Instefjord","doi":"10.2139/ssrn.2561370","DOIUrl":"https://doi.org/10.2139/ssrn.2561370","url":null,"abstract":"We study the relative strengths and weaknesses of principles based and rules based systems of regulation. In the principles based systems there is clarity about the regulatory objectives but the process of reverse-engineer these objectives into meaningful compliance at the firm level is ambiguous, whereas in the rules based systems there is clarity about the compliance process but the process of forward-engineer this into regulatory objectives is also ambiguous. The ambiguity leads to social costs, the level of which is influenced by regulatory competition. Regulatory competition leads to a race to the bottom effect which is more harmful under the principles based systems. Regulators applying principles based systems make dramatic changes in the way they regulate faced with regulatory competition, whereas regulators applying rules based systems make less dramatic changes, making principles based regulation less robust than rules based regulation. Firms prefer a rules based system where the cost of ambiguity is borne by society rather than the firms, however, when faced with regulatory competition they are better off in principles based systems if the direct costs to firms is sufficiently small. We discuss these effects in the light of recent observations.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131175358","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

Modelling the Impact of New Capital Regulations on Bank Profitability 新资本法规对银行盈利能力的影响建模

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2014-09-04 DOI: 10.2139/ssrn.2491397

Vighneswara Swamy

引用次数: 3

Jump and Variance Risk Premia in the S&P 500 标准普尔500指数的跳跃和方差风险溢价

Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2014-07-01 DOI: 10.2139/ssrn.2461282

M. Neumann, Marcel Prokopczuk, Chardin Wese Simen

引用次数: 18