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UNIVERSAL RISK BUDGETING 普遍风险预算
IF 2
Annals of Financial Economics Pub Date : 2021-06-18 DOI: 10.1142/s2010495221500147
Alex Garivaltis
{"title":"UNIVERSAL RISK BUDGETING","authors":"Alex Garivaltis","doi":"10.1142/s2010495221500147","DOIUrl":"https://doi.org/10.1142/s2010495221500147","url":null,"abstract":"I juxtapose Cover’s vaunted universal portfolio selection algorithm ([Cover, TM (1991). Universal portfolios. Mathematical Finance, 1, 1–29]) with the modern representation of a portfolio as a certain allocation of risk among the available assets, rather than a mere allocation of capital. Thus, I define a Universal Risk Budgeting scheme that weights each risk budget, instead of each capital budget, by its historical performance record, á la Cover. I prove that my scheme is mathematically equivalent to a novel type of [Cover, TM and E Ordentlich (1996). Universal portfolios with side information. IEEE Transactions on Information Theory, 42, 348–363] universal portfolio that uses a new family of prior densities that have hitherto not appeared in the literature on universal portfolio theory. I argue that my universal risk budget, so-defined, is a potentially more perspicuous and flexible type of universal portfolio; it allows the algorithmic trader to incorporate, with advantage, his prior knowledge or beliefs about the particular covariance structure of instantaneous asset returns. Say, if there is some dispersion in the volatilities of the available assets, then the uniform or Dirichlet priors that are standard in the literature will generate a dangerously lopsided prior distribution over the possible risk budgets. In the author’s opinion, the proposed “Garivaltis prior” makes for a nice improvement on Cover’s timeless expert system, that is properly agnostic and open to different risk budgets from the very get-go. Inspired by [Jamshidian, F (1992). Asymptotically optimal portfolios. Mathematical Finance, 2, 131–150], the universal risk budget is formulated as a new kind of exotic option in the continuous time Black–Scholes market, with all the pleasure, elegance, and convenience that entails.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42705251","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
UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES 传染病的不确定性与美国国债已实现波动性的可预测性
IF 2
Annals of Financial Economics Pub Date : 2021-06-01 DOI: 10.1142/S2010495221500081
Sisa Shiba, Rangan Gupta
{"title":"UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES","authors":"Sisa Shiba, Rangan Gupta","doi":"10.1142/S2010495221500081","DOIUrl":"https://doi.org/10.1142/S2010495221500081","url":null,"abstract":"This paper aims to examine the predictive power of the daily newspaper-based index uncertainty related to infectious diseases (EMVID) for the US Treasury securities’ realized volatility (RV) using the heterogonous autoregressive volatility (HAV-RV) model. In our out-of-sample forecast, we find strong significant evidence on the role of the EMVID index in forecasting the volatility of the US Treasury securities in the short-, medium- and long-run horizons except for the US 2-Year Treasury-Note (T-Note) Futures. Assessing the EMVID index role during the COVID-19 episode, we find that even in this short period, the index role in predicting the US Treasury securities is highly significant. These findings have important implications for portfolio managers and investors in times of unprecedented levels of uncertainty resulting from epidemic and pandemic diseases.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49577009","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
LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19 限制套利因素与ivol回报之谜:来自台湾疫情前和疫情期间的实证证据
IF 2
Annals of Financial Economics Pub Date : 2021-05-07 DOI: 10.1142/S2010495221500044
Khoa Dang Duong, Qui Nhat Nguyen, T. Le, D. Nguyen
{"title":"LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19","authors":"Khoa Dang Duong, Qui Nhat Nguyen, T. Le, D. Nguyen","doi":"10.1142/S2010495221500044","DOIUrl":"https://doi.org/10.1142/S2010495221500044","url":null,"abstract":"This paper examines the impacts of limit-to-arbitrage factors on the returns of the idiosyncratic volatility (IVOL) puzzle in Taiwan before and during the Covid-19 pandemic. Although various studies explore the relationship between stock returns and IVOL, the empirical findings are mixed. We are motivated by unique market microstructures in Taiwan, such as individual investors' aggressive trading volume and low transaction costs in Taiwan, discouraging arbitrary trading activities. Our empirical results indicate a negative relationship between IVOL and stock returns by using data from the Taiwan stock market. However, the IVOL anomaly does not exist during the Covid-19 pandemic, even in the small stocks sample. Besides, our findings suggest that four proxies of limits-to-arbitrage, such as reversal, transaction costs, turnover and Amihud's Illiquidity, have statistically significant impacts on the return of IVOL anomaly in Taiwan except for the pandemic period. Finally, our finding suggests that the stock turnover is the only limit-to-arbitrage factor that helps investors earn arbitrary profits during the COVID-19 period. © 2021 World Scientific Publishing Company.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"16 1","pages":"2150004"},"PeriodicalIF":2.0,"publicationDate":"2021-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41515752","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: 9
PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA 随机利率下的期权定价与法卡法纳过程:一个简单、明确的公式
IF 2
Annals of Financial Economics Pub Date : 2021-04-19 DOI: 10.1142/S2010495221500032
Moawia Alghalith
{"title":"PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA","authors":"Moawia Alghalith","doi":"10.1142/S2010495221500032","DOIUrl":"https://doi.org/10.1142/S2010495221500032","url":null,"abstract":"Assuming a stochastic interest rate, we introduce a simple formula for pricing European options. In doing so, we provide a complete closed-form formula that does not require any numerical/computational methods. Furthermore, the model and formula are far simpler than the previous models/formulas. Our formula is as simple as the classical Black–Scholes pricing formula. Moreover, it removes the theoretical limitation of the original Black–Scholes model without any added practical complexity.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":"2150003"},"PeriodicalIF":2.0,"publicationDate":"2021-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48390554","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
ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION 资产投资多元化、破产风险与企业多元化的中介作用
IF 2
Annals of Financial Economics Pub Date : 2021-04-07 DOI: 10.1142/S2010495221500019
Vu Huu Thanh, Nguyen Minh Ha, M. McAleer
{"title":"ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION","authors":"Vu Huu Thanh, Nguyen Minh Ha, M. McAleer","doi":"10.1142/S2010495221500019","DOIUrl":"https://doi.org/10.1142/S2010495221500019","url":null,"abstract":"This paper explores the structural relationship among asset investment diversification, business diversification and the bankruptcy risk of firms. Asset investment diversification is divided into two components, namely related and unrelated asset investment diversification, while business diversification includes related and unrelated business diversification. In the hypothetical relationship, business diversification is proposed to play a mediating role to explain the effect of asset investment diversification on bankruptcy risk. Specifically, related and unrelated asset investment diversification affect bankruptcy risk through two mediators, namely related and unrelated business diversification. Hence, it is vital to employ the general linear structural model (GSEM) with panel data on 470 businesses publicly listed in Vietnam from 2008 to 2017. Surprisingly, the empirical results show that both related and unrelated asset diversification have positive impacts on bankruptcy risk. Nevertheless, only related business diversification plays a mediating role between related asset diversification and bankruptcy risk, while unrelated business diversification has an insignificant mediating effect on the relationship between unrelated asset diversification and bankruptcy risk.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":"2150001"},"PeriodicalIF":2.0,"publicationDate":"2021-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42196183","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 RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES 经济政策不确定性与企业税率的关系
IF 2
Annals of Financial Economics Pub Date : 2021-04-05 DOI: 10.1142/S2010495221500020
Matthew Clance, Giray Gozgor, Rangan Gupta, C. Lau
{"title":"THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES","authors":"Matthew Clance, Giray Gozgor, Rangan Gupta, C. Lau","doi":"10.1142/S2010495221500020","DOIUrl":"https://doi.org/10.1142/S2010495221500020","url":null,"abstract":"This paper investigates the relationship between economic policy uncertainty and corporate tax rates in a panel dataset of 126 countries throughout 2003–2018. We use the so-called “World Uncertainty Index” to measure the level of economic policy uncertainty. We utilize various estimation techniques and find a one-way causality from economic policy uncertainty to corporate tax rates. Specifically, a rise in economic policy uncertainty leads to higher corporate tax rates. We also discuss potential implications.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":"2150002"},"PeriodicalIF":2.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45241037","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
SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE) 提交和接受金融经济学年鉴
IF 2
Annals of Financial Economics Pub Date : 2021-03-31 DOI: 10.1142/S2010495221010016
M. McAleer
{"title":"SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE)","authors":"M. McAleer","doi":"10.1142/S2010495221010016","DOIUrl":"https://doi.org/10.1142/S2010495221010016","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"1 1","pages":"2101001"},"PeriodicalIF":2.0,"publicationDate":"2021-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42727793","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
REGULARIZATION METHODS FOR ESTIMATING A MULTI-FACTOR CORPORATE BOND PRICING MODEL: AN APPLICATION FOR BRAZIL 估计多因素公司债券定价模型的正则化方法:在巴西的应用
IF 2
Annals of Financial Economics Pub Date : 2021-03-01 DOI: 10.1142/S2010495221500056
Paulo Guimarães, Osvaldo Candido, André Ricardo de Pinho Ronzani
{"title":"REGULARIZATION METHODS FOR ESTIMATING A MULTI-FACTOR CORPORATE BOND PRICING MODEL: AN APPLICATION FOR BRAZIL","authors":"Paulo Guimarães, Osvaldo Candido, André Ricardo de Pinho Ronzani","doi":"10.1142/S2010495221500056","DOIUrl":"https://doi.org/10.1142/S2010495221500056","url":null,"abstract":"The present work focused on studying which factors affect Brazilian inflation-linked corporate bond prices in a primary market setting. The explanatory variables tested were rating, maturity, duration, issuer governance level, industrial classification, collateral, tax exemption, public offering modality, financial volume, coupon frequency, number of issues, number of days since going public, and the Brazilian basic interest rate target. In order to choose the set of variables with best predictive performance, best subsets ordinary least square (OLS) and least absolute shrinkage and selection operator (LASSO) were applied on a testing sample. For estimating purposes, we also tested the Ridge estimator. For both LASSO and Ridge, we used the k-fold approach to choose the optimal value for the lambda penalty. In terms of smallest mean squared error, the OLS estimator outperformed both the Ridge and the LASSO. This result suggests that the variance-bias trade-off might not be a concern for the Brazilian case.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"16 1","pages":"2150005"},"PeriodicalIF":2.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43121821","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
TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM 网络资本与企业价值的权衡理论检验:来自越南的经验证据
IF 2
Annals of Financial Economics Pub Date : 2020-12-16 DOI: 10.1142/s201049522050013x
Duong Dang Khoa, P. T. Anh, L. Duyên
{"title":"TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM","authors":"Duong Dang Khoa, P. T. Anh, L. Duyên","doi":"10.1142/s201049522050013x","DOIUrl":"https://doi.org/10.1142/s201049522050013x","url":null,"abstract":"This study investigates empirically how net-working-capital (NWC) affects firm value, using a sample of the Vietnamese stock market. Our empirical results indicate an optimal NWC level that maximiz...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050013"},"PeriodicalIF":2.0,"publicationDate":"2020-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44612370","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
REVENUE DIVERSIFICATION AND BANKING RISK: DOES THE STATE OWNERSHIP MATTER? EVIDENCE FROM AN EMERGING MARKET 收入多元化与银行业风险：国有企业重要吗？来自新兴市场的证据
IF 2
Annals of Financial Economics Pub Date : 2020-12-01 DOI: 10.1142/S2010495220500190
Giang Thi Huong Vuong, Manh Huu Nguyen
{"title":"REVENUE DIVERSIFICATION AND BANKING RISK: DOES THE STATE OWNERSHIP MATTER? EVIDENCE FROM AN EMERGING MARKET","authors":"Giang Thi Huong Vuong, Manh Huu Nguyen","doi":"10.1142/S2010495220500190","DOIUrl":"https://doi.org/10.1142/S2010495220500190","url":null,"abstract":"Our paper investigates the influence of state ownership on the linkage between revenue diversification and risk of Vietnam domestic commercial banks in the period 2009–2018. By using the Generalize...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050019"},"PeriodicalIF":2.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42386454","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: 3
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