Australasian Finance & Banking Conferences最新文献

{"title":"Cash Holdings, Precautionary Motives, and Systematic Uncertainty","authors":"Janet Gao, Yaniv Grinstein, Wenyu Wang","doi":"10.2139/ssrn.2478349","DOIUrl":"https://doi.org/10.2139/ssrn.2478349","url":null,"abstract":"Prior literature has shown that U.S. firms hold large amounts of cash for precautionary reasons: faced by heightened uncertainty regarding future cash needs, firms choose to hold more cash. We decompose firm-level uncertainty into systematic and idiosyncratic components, and find that the systematic component, rather than the idiosyncratic component, explains firms’ cash holding decisions. We further decompose systematic uncertainty and find that uncertainty regarding macroeconomic policy, interest rates, and the market risk premium are important determinants of cash holdings. The results stem from the effect of macroeconomic level uncertainty on both the need for and the cost of external financing.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115979948","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":"An Approach to Enhanced Indexing","authors":"A. Bolshakov, Ludwig B. Chincarini","doi":"10.2139/ssrn.2989955","DOIUrl":"https://doi.org/10.2139/ssrn.2989955","url":null,"abstract":"Investment managers often manage a portfolio of stocks with respect to a benchmark. Their primary concern is selecting the best stocks to outperform their benchmark, while constraining their tracking error. The most common way of doing this is to use an optimization framework to maximize the information ratio of their portfolio. In this paper, we develop an unconventional approach to determining how a portfolio should be managed with respect to the benchmark. In particular, given some assumptions, we determine what percentage of the benchmark stocks would be optimal for the portfolio manager to select. The optimal portfolio depends on Fisher’s noncentral hypergeometric distribution and the Wallenius noncentral hypergeometric distribution. We find that the optimal selectivity of a benchmark universe varies from 50% to 80%, when managers have selection ability. The information ratio and the selectivity percentage can vary as the selection ability of the portfolio manager changes and as the underlying size of the universe changes. These results are provocative, given that many enhanced index portfolio managers select a low a percentage of the benchmark universe.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130427814","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 Political Economy of Financial Innovation: Evidence from Local Governments","authors":"C. Pérignon, B. Vallée","doi":"10.2139/ssrn.1898965","DOIUrl":"https://doi.org/10.2139/ssrn.1898965","url":null,"abstract":"We investigate the development of an innovative and high-risk type of borrowing for local governments, known as structured loans. Using transaction data for more than 2,700 local governments in France, we show that the adoption of these instruments is more frequent for politicians from highly indebted local governments, from politically contested areas, and during political campaigns. Taking on structured loans helps incumbents win a reelection, and initially allows them to maintain lower taxes. Our findings illustrate how financial innovation can amplify principal-agent problems within the political system.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133656030","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":"Macroeconomic Factors and Equity Premium Predictability","authors":"","doi":"10.2139/ssrn.2757155","DOIUrl":"https://doi.org/10.2139/ssrn.2757155","url":null,"abstract":"Neely et al. (2014) have recently demonstrated how to efficiently combine information from a set of popular technical indicators together with the standard Goyal and Welch (2008) predictor variables widely used in the equity premium forecasting literature to improve out-of-sample forecasts of the equity premium using a small number of principal components. We show that forecasts of the equity premium can be further improved by, first, incorporating broader macroeconomic data into the information set, second, improving the selection of the most relevant factors and combining the most relevant factors by means of a forecast combination regression, and third, imposing theoretically motivated positivity constraints on the forecasts of the equity premium. We find that in particular our proposed forecast combination approach, which combines forecasts of the most relevant Neely et al. (2014) and macroeconomic factors and further imposes positivity constraints on the equity premium forecasts, generates statistically significant and economically sizeable improvements over the best performing model of Neely et al. (2014).","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131137355","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":"Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method","authors":"Rongju Zhang, N. Langrené, Yu Tian, Zili Zhu, F. Klebaner, K. Hamza","doi":"10.21314/JCF.2019.368","DOIUrl":"https://doi.org/10.21314/JCF.2019.368","url":null,"abstract":"In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted range, composed of a conservative lower target representing a need for capital protection and a desired upper target representing an investment goal. This strategy favorably shapes the entire probability distribution of returns, as it simultaneously seeks a desired expected return, cuts off downside risk and implicitly caps volatility and higher moments. To illustrate the effectiveness of this investment strategy, we study a multiperiod portfolio optimization problem with transaction costs and develop a two-stage regression approach that improves the classical least squares Monte Carlo (LSMC) algorithm when dealing with difficult payoffs, such as highly concave, abruptly changing or discontinuous functions. Our numerical results show substantial improvements over the classical LSMC algorithm for both the constant relative risk-aversion (CRRA) utility approach and the proposed skewed target range strategy (STRS). Our numerical results illustrate the ability of the STRS to contain the portfolio value within the targeted range. When compared with the CRRA utility approach, the STRS achieves a similar mean-variance efficient frontier while delivering a better downside risk-return trade-off.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122365762","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":"Informed Trading in Family Firms: Evidence from Short Selling around Insider Sales","authors":"Hanwen Sun, Shuxing Yin","doi":"10.2139/SSRN.2786629","DOIUrl":"https://doi.org/10.2139/SSRN.2786629","url":null,"abstract":"Using a dataset of insider trading and short selling from the Hong Kong Stock Exchange, we investigate the impact of large controlling shareholders on short sellers’ ability to predict insider trading. We document a significant increment in short selling volume before the information of insider sales is released to the public. Compared to widely held companies, insider trading in firms with large controlling owners triggers stronger short sales. Further, the abnormal short sales are more concentrated in family-controlled firms rather than state-controlled firms. The evidence of a concave relationship between the intensity of short selling and controlling power in family firms contributes to the ongoing debate on whether and when the entrenchment effect of large shareholders dominates the alignment effect. Within family-controlled firms, trading by non-family owners attracts more attention of short sellers. Overall, our analysis provides new evidence about the information interaction between short sellers and insiders and also the effect of the presence of large controlling shareholders on the information flows from insiders to outsiders.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126754112","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":"Testimonial Channels in Economic Impacts of Cambodia: The Structural Path Analysis Model","authors":"Phon Sophat","doi":"10.2139/ssrn.3119046","DOIUrl":"https://doi.org/10.2139/ssrn.3119046","url":null,"abstract":"This paper will cover two distributions on the study of Cambodia’s economy to domestic chain and paths. First procedure of calculation with SAM ratio and Leontief multiplier analysis was presented above. Second quantitative techniques combined with Leontief multipliers and the structural Path Analysis (SPA) is employed in the social accounting matrix of Cambodia. From the SAM ratio proposed that agriculture sector is the main sector for Cambodia to develop while some higher as Import tax and production tax too. But due to table 1, said about 56.04% of export is from garment sector and agriculture, 5.93% , other industries , 9.22% and Services,18.52%.From this multiplier calculation allocated that the highest five sectors in Backward multiplier are Import tax , productive tax , agriculture , unskilled labor and skilled labors , where garment sector ranked lastly and Forward multipliers ranked households and other industries are the highest multipliers ,meaning that Cambodia’s economy has distributed much from household and other industries and service sector too where other sectors respectively followed. Upstream and downstream connected both each other with domestic sectors and located entire country and other domestic level impacts. The Structural Path Analysis (SPA) method was used and illustrated the channelized economy mechanism with prioritized sectors, main sectors to exports of Cambodia, agriculture and garment sector across other sectors as unskilled labor and skilled labor, households and others. That result of garments also reveals the similar pattern as other too. This finding shows that Cambodia’s economy is so vital from labor force where mostly existing as unskilled one, even in agriculture sector is employed huge amount of unskilled labor. Those can be effective to future output and sustainable growth of economy in the near future while our export based on garment and agriculture sector (see table1). Due to these above computation globalizedly shows that contributions in competition of Cambodia has limited while some main raw materials are imported from other locations.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116722246","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":"Do Cash Flows of Growth Stocks Really Grow Faster?","authors":"Huafeng (Jason) Chen","doi":"10.2139/ssrn.1903904","DOIUrl":"https://doi.org/10.2139/ssrn.1903904","url":null,"abstract":"Contrary to conventional wisdom, growth stocks (low book-to-market stocks) do not have substantially higher future cash-flow growth rates than value stocks, in both rebalanced and buy-and-hold portfolios. The efficiency growth, survivorship and look-back biases, and rebalancing effect help explain the results. This finding suggests that duration alone is unlikely to explain the value premium.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128126401","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":"Dynamics of Political Risk Rating and Stock Market Volatility","authors":"M. Suleman, J. Randal","doi":"10.2139/ssrn.2315645","DOIUrl":"https://doi.org/10.2139/ssrn.2315645","url":null,"abstract":"In this paper we propose a framework for predicting market returns and volatility using changes in the country's political risk. We identify the appropriate lag to calculate changes over, and show how the changes should be included in mean and volatility equations. The appropriate level of aggregation for the political risk variable is also examined. We analyse 47 emerging and 21 developed markets. We find political risk predictive power primarily for volatility, when looking at emerging markets. Our paper recommends use of three political risk components, which suitably capture important dimensions of the political environment.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134380113","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 Impact of Capital Buffers on Future Loan Growth, Interest Income and Tier 1 Capital Ratios","authors":"Jyotirmoy Podder, T. Haque","doi":"10.2139/ssrn.2826347","DOIUrl":"https://doi.org/10.2139/ssrn.2826347","url":null,"abstract":"The literature on banking supervision largely focuses on maintenance of capital adequacy. Many banks, however, appear to have much higher capital ratios than the minimum required (Ayuso et al., 2004; Jokipii and Milne, 2008; Shim, 2013). In this paper, we show that bank capital buffers (actual capital minus the minimum required) are positively associated with future loan growth, future interest income and the future Tier 1 capital ratio. We, however, find that banks with low capital buffers experience a reduction in their future Tier 1 Capital ratio while banks with high capital buffers experience increased future loan growth and an increase in the future Tier 1 Capital Ratio. We, therefore, extend Foos et al. (2010) who show that loan growth leads to increased loan loss provisions and lower capital ratios by allowing for the level of capital buffer.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127833081","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}