Econometrics: Applied Econometric Modeling in Financial Economics eJournal最新文献_第6页

On the Nature and Predictability of Corporate Bond Returns 论公司债券收益的性质和可预测性

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-05-16 DOI: 10.2139/ssrn.1914680

Daniel Haesen, P. Houweling

{"title":"On the Nature and Predictability of Corporate Bond Returns","authors":"Daniel Haesen, P. Houweling","doi":"10.2139/ssrn.1914680","DOIUrl":"https://doi.org/10.2139/ssrn.1914680","url":null,"abstract":"Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical. These components are mutually negatively correlated and their relative importance varies with credit quality. We show that it is of critical importance to take this into account when studying the predictability of corporate bond returns. In this paper we focus on the credit spread component of corporate bond returns, enabling us to find new predictors that were previously unknown to the literature. Moreover, by re-examining previously documented predictors, we are able to dismiss several of them as irrelevant for credit spread returns and to explain inconsistent findings between investment grade and high yield corporate bonds. In total, we find four factors with significant in-sample and out-of-sample predictability of both investment grade and high yield excess returns over Treasury. Two variables come from the existing literature: past equity return and past corporate bond return. Evidence for the other two variables is new: change in implied equity volatility and the Halloween indicator.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125305716","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: 5

The Seasonality of Gold - The Autumn Effect 黄金的季节性——秋季效应

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-05-13 DOI: 10.2139/ssrn.1989593

D. Baur

引用次数: 3

Assessing Time-Series Versus Cross-Sectional Influences in Panel Estimates: International Financial Architecture and Expected Equity Premia 评估小组估计中的时间序列与横断面影响:国际金融架构和预期股权溢价

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-04-29 DOI: 10.2139/ssrn.2047724

R. Aggarwal, John W. Goodell

{"title":"Assessing Time-Series Versus Cross-Sectional Influences in Panel Estimates: International Financial Architecture and Expected Equity Premia","authors":"R. Aggarwal, John W. Goodell","doi":"10.2139/ssrn.2047724","DOIUrl":"https://doi.org/10.2139/ssrn.2047724","url":null,"abstract":"In the study of economic and financial panel data it is often important to differentiate between time-series and cross-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and financial architecture where a number of variables vary across time but not cross-sectionally while other variables vary cross-sectionally but not across time. Using two different estimation procedures we find a preference for market financing to be negatively associated with the size of expected premia. However, we also find that U.S. corporate bond spreads negatively determine financial architecture according to the first procedure but not according to the second estimation as U.S. Corporate bond spreads change value each year but have the same value across countries. Similarly some measures that change across countries but do not change across time, such as cultural dimensions as well as the an index of measures against self dealing, are significant determinants of financial architecture according second estimation but not according to the first estimation. Our results show that using these two estimation procedures together can assess time-series versus cross-sectional variations in panel data. This research should be of considerable interest to empirical researchers.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129105656","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

Price Discovery in Futures and Options Markets 期货和期权市场的价格发现

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-23 DOI: 10.2139/ssrn.2028002

Naomi E. Boyd, Peter R. Locke

引用次数: 3

What Explains the Distress Risk Puzzle: Death or Glory? 如何解释痛苦风险之谜:死亡还是荣耀?

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2023933

Jennifer S. Conrad, Nishad Kapadia, Yuhang Xing

{"title":"What Explains the Distress Risk Puzzle: Death or Glory?","authors":"Jennifer S. Conrad, Nishad Kapadia, Yuhang Xing","doi":"10.2139/ssrn.2023933","DOIUrl":"https://doi.org/10.2139/ssrn.2023933","url":null,"abstract":"Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have significantly low average future returns. We show that there is a large overlap between stocks classified as high default risk, and those that are likely to produce extremely high returns over the next year (‘glory’ stocks). Predicted glory and predicted distress are highly correlated, with over 50% of firms in the top distress risk quintile also in the top quintile of predicted glory. Stocks with high predicted probabilities for glory also earn abnormally low average returns. We find evidence that low returns to high glory firms are also present in firms with zero leverage, where financial distress is unlikely, and that the low returns to high distress risk firms are large and significant in ‘speculative’ firms (with high sales growth and market-to-book ratios) that have high predicted glory; subsequent returns are small and statistically insignificant in ‘traditionally distressed’ firms. Thus, we show that, on average, firms which have a high potential for death (default) also tend to have a high potential for glory; where the two factors can be separated, the results suggest that it is glory, rather than distress, which is responsible for the low expected returns in securities.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"230 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134590808","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: 8

Social Interaction Effects and Individual Portfolio Choice: Evidence from 401(K) Pension Plan Investors 社会互动效应与个人投资组合选择:来自401(K)养老金计划投资者的证据

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2024095

Timothy (Jun) Lu, Ning Tang

引用次数: 21

Strategic Credit Line Usage and Performance 战略信用额度的使用和表现

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2023788

A. Kizilaslan, A. Mathers

引用次数: 5

Friendly Takeover Offers for Public Corporations: Interim Uncertainty, Reserve Prices, and Bustup Fees 上市公司的友好收购要约:中期不确定性、保留价格和破产费

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2023946

Bernard Black, R. Dam

{"title":"Friendly Takeover Offers for Public Corporations: Interim Uncertainty, Reserve Prices, and Bustup Fees","authors":"Bernard Black, R. Dam","doi":"10.2139/ssrn.2023946","DOIUrl":"https://doi.org/10.2139/ssrn.2023946","url":null,"abstract":"Legal restrictions create a material delay between the announcement of a friendly acquisition of a public firm and the deal’s final approval by target shareholders: a month for a takeover with a first step cash tender offer, longer for a merger. During this time target values may change, perhaps dramatically. While a target can accept new bids if its value rises, bidders usually cannot back out if the target’s value falls. We also observe that most takeovers occur at a significant premium to the target’s prior market price. Prior models of takeover bidding ignore the law-induced delay and resulting asymmetry between bidder and target, and generally assume that targets (if for sale) will accept zero-premium offers. We develop a model that incorporates delay-induced asymmetry and reserve prices. Principal new predictions include: targets often optimally set reserve prices higher than the current market price; first bidders may value the target for more than the target’s reserve price, yet be unwilling to bid because they expect a loss after accounting for the implied put option they provide the seller; the likelihood of a bidder making a bid is generally decreasing in the reserve price, the interim uncertainty, and the number of potential competing bidders; optimal reserve prices are decreasing in the interim uncertainty and number of potential new bidders, and can be below the target’s current price in extreme cases; (if the target offers a bustup fee to the first bidder, this increases the (conditional on the bustup fee) optimal reserve price, but reduces the target’s expected profit. Our predictions on the effect of bustup fees provide theoretical support for legal limits on bustup fees and other deal protections.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121123501","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

The Role of Bond Markets When Portfolio Choice is Constrained 投资组合选择受限时债券市场的作用

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2023630

Astrid V. Schornick

引用次数: 2

Short-Term Persistence in Hybrid Mutual Fund Performance: The Role of Style-Shifting Abilities 混合型共同基金业绩的短期持续性:风格转换能力的作用

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-03-12 DOI: 10.2139/ssrn.1856076

Ulf Herrmann, H. Scholz

引用次数: 23