Australasian Finance & Banking Conferences最新文献_第4页

Rethinking Asset Bubbles: Reflections for the Age of Institutional Investing 重新思考资产泡沫:对机构投资时代的反思

Australasian Finance & Banking Conferences Pub Date : 2017-12-05 DOI: 10.2139/ssrn.3083036

Bradley Jones

{"title":"Rethinking Asset Bubbles: Reflections for the Age of Institutional Investing","authors":"Bradley Jones","doi":"10.2139/ssrn.3083036","DOIUrl":"https://doi.org/10.2139/ssrn.3083036","url":null,"abstract":"Upon surveying a contentious topic that has occasioned much debate, this paper offers reflections on the likelihood that asset booms, bubbles and busts continue posing a threat to financial stability despite financial markets becoming increasingly informationally-efficient, complete, and heavily influenced by sophisticated (presumably rational) investors. Rather than arise from widespread behavioral irrationality as is commonly assumed, this paper suggests procyclical mispricings stand to increasingly reflect institutional frictions — benchmarking, incentive and organizational design pressures — in the rapidly-growing institutional investment industry. These influences may make bubble riding ‘rational,’ or at the very least, discourage institutions from leaning against the wind. Moreover, even in the absence of leverage, systemic risk could increasingly be shaped by large shifts in risk premia owing to the rational herding motivations of institutional investors. To the extent procyclicality owes less to ‘irrational exuberance’ and more to performance evaluation practices, traditional countercyclical policy measures could be of reduced efficacy unless reinforced by reforms to institutional incentives.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131400948","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

Inventory Behavior and Financial Constraints: Theory and Evidence 存货行为与财务约束:理论与证据

Australasian Finance & Banking Conferences Pub Date : 2017-11-26 DOI: 10.2139/ssrn.2395018

S. Dasgupta, Erica X. N. Li, D. Yan

引用次数: 31

Hedging with an Edge: Parametric Currency Overlay 用边缘对冲:参数货币覆盖

Australasian Finance & Banking Conferences Pub Date : 2017-11-16 DOI: 10.2139/ssrn.3020981

Pedro Barroso, Jurij-Andrei Reichenecker, M. Menichetti

引用次数: 4

A Model-Free Tail Risk Index and Its Return Predictability 无模型尾部风险指数及其收益可预测性

Australasian Finance & Banking Conferences Pub Date : 2017-09-30 DOI: 10.2139/ssrn.2826577

Jinji Hao

引用次数: 0

Financial Knowledge Gap and Debt Choices: Opportunities and Threats to Student Access and Continuing University Education 金融知识差距与债务选择:学生入学与继续大学教育的机遇与威胁

Australasian Finance & Banking Conferences Pub Date : 2017-09-03 DOI: 10.2139/ssrn.3031464

K. Motlhabane

{"title":"Financial Knowledge Gap and Debt Choices: Opportunities and Threats to Student Access and Continuing University Education","authors":"K. Motlhabane","doi":"10.2139/ssrn.3031464","DOIUrl":"https://doi.org/10.2139/ssrn.3031464","url":null,"abstract":"Studies have cited students’ inability to settle debts as a legitimate cause for continued university unrest and conflicts with institutions’ management. Financial knowledge gap, result in students making uninformed debt choices and then struggle to manage it effectively. Universities were forced to write-off students’ irrecoverable debt and their tuition fees increase proposals in 2016 resulting in countrywide students “#fees must fall” rampage. Rather than addressing the threats symptoms, the study aimed to diagnose some root opportunities hindrances to students’ education access and continuation. The present pilot study implemented and then assessed the impact of a custom-designed non-examinable tutorial intervention on students’ financial knowledge and debt perceptions. In pre-test (N=60), primary data was collected using questionnaires from conveniently selected, final-year financial management registered students. Students were then exposed to a two day non-examinable tutorial addressing the cost of debt and how to evaluate it; followed by a two-month period of knowledge experimentation. Thereafter a post-test assessment was conducted [N=55]. Compared to previous studies, this project found statistically significant improvements over pre-test in students’ ability to make informed decisions, debt evaluation and risk aversion. These improvements suggest the need to broaden financial tutorials to the wider student community. Financial skills can improve students’ graduation chances and the prospects of being responsible adults. The research can contribute to policy prescripts governing credit provision and inclusion of topical issues in tutorials curriculum to improve students’ personal finance and debt management skill.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117175272","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

The Impact of Monetary Policy on Stock Market Liquidity and the Business Cycle in Indonesia 货币政策对印尼股市流动性和经济周期的影响

Australasian Finance & Banking Conferences Pub Date : 2017-08-31 DOI: 10.2139/ssrn.3030518

Aldrin Herwany, Yayan Satyakti, Wardhana Wardhana

引用次数: 1

The Smart Money Effect Revisited: Is There a 'Smart Money' Effect During Recessions? “聪明的钱”效应重访:经济衰退期间是否存在“聪明的钱”效应?

Australasian Finance & Banking Conferences Pub Date : 2017-08-18 DOI: 10.2139/ssrn.3021552

Yimeng Chen, T. Haque, Shan Li

引用次数: 0

Effective Activism – Sponsor Identity in Environmental and Social Proposal Filing 有效的行动主义-环境和社会提案归档中的赞助商身份

Australasian Finance & Banking Conferences Pub Date : 2017-08-17 DOI: 10.2139/ssrn.3021424

Jiaying Wei

引用次数: 1

Short-Termism and the Asset Allocation Decisions of Defined Benefit Pension Plans 短期主义与固定收益养老金计划的资产配置决策

Australasian Finance & Banking Conferences Pub Date : 2017-07-01 DOI: 10.2139/ssrn.3003624

Garence Staraci, Kyriakos Chousakos

{"title":"Short-Termism and the Asset Allocation Decisions of Defined Benefit Pension Plans","authors":"Garence Staraci, Kyriakos Chousakos","doi":"10.2139/ssrn.3003624","DOIUrl":"https://doi.org/10.2139/ssrn.3003624","url":null,"abstract":"We examine the presence of short-termism in the asset allocation decisions of U.S. private defined benefit pension plans. We document an inverse U-shaped relationship between a plan’s allocation to fixed income securities and its funding ratio, centered on a 80% funding ratio, and show that the relationship is stronger among plans sponsored by companies in financial distress, and whose CFOs have accumulated a substantial amount of risky pension benefits. We then theoretically demonstrate that this relationship emerges from loss-averse preferences of the plan’s investment committee (supervised by the CFO), with respect to a 80% funding ratio. We additionally show that these preferences encompass both risk-shifting and risk-management behaviors, and as such allow us to explain two empirical features of U.S. defined benefit plans: a collapse in their average funding ratios over the past three decades, and the more recent shift toward fixed income securities in their allocation decisions. Assimilating these loss-averse preferences with short-termism, we conclude that plans without such preferences achieve a significant improvement in their funding ratios over the long-run.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124269987","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

Momentum, Reversals, and other Puzzles in Fama-MacBeth Cross-Sectional Regressions Fama-MacBeth横截面回归中的动量、反转和其他难题

Australasian Finance & Banking Conferences Pub Date : 2017-07-01 DOI: 10.2139/ssrn.2947340

M. Kamstra

{"title":"Momentum, Reversals, and other Puzzles in Fama-MacBeth Cross-Sectional Regressions","authors":"M. Kamstra","doi":"10.2139/ssrn.2947340","DOIUrl":"https://doi.org/10.2139/ssrn.2947340","url":null,"abstract":"The existence of reversals and momentum in equity returns has challenged proponents of efficient markets for over 30 years. Although explanations for momentum profits based on cross-sectional mean return dispersion have been proposed, evidence of time-series autocorrelation from Fama-MacBeth cross-sectional regressions persists without any good risk/return explanation. In this paper I show that common implementations of the Fama-MacBeth procedure will yield upward biased estimates of time-series autocorrelation coefficients. Even in absence of autocorrelation, the bias is strictly positive, leading to apparent momentum when there is, in fact, none. This biased implementation of the Fama-MacBeth procedure has found its way into a great many other studies and may, similarly, lead to apparent effects when there are none. I outline conditions under which this bias occurs and prove the existence of bias under these conditions. I also provide a Monte Carlo simulation showing the magnitude of the bias, I demonstrate the impact of this bias with reference to published results in the literature, and I introduce a new test for misspecification of an asset pricing model. Additionally, I suggest and explore simple fixes for this bias. Some variation of a firm fixed-effects model is appropriate to correct for this bias in applications using the Fama-MacBeth method.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123505551","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