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Testing for asset price bubbles: three new approaches 资产价格泡沫测试:三种新方法
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165838
R. Jarrow
{"title":"Testing for asset price bubbles: three new approaches","authors":"R. Jarrow","doi":"10.1080/21649502.2015.1165838","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165838","url":null,"abstract":"Testing for the existence of asset price bubbles is a difficult task. This paper shows that the local martingale theory of bubbles provides three new approaches that can be used to test for the existence of asset price bubbles, two of which are currently unexplored in the literature. The first is based on specifying a stochastic process for the asset's price process. The second exploits option price data, if options trade on the asset suspected to exhibit a price bubble. The third uses a multiple-factor model for the return process of the underlying asset.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122055844","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: 20
Exit strategies in bubble-like markets using a changepoint model† 基于变点模型的泡沫型市场退出策略
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165918
M. Zhitlukhin, W. Ziemba
{"title":"Exit strategies in bubble-like markets using a changepoint model†","authors":"M. Zhitlukhin, W. Ziemba","doi":"10.1080/21649502.2015.1165918","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165918","url":null,"abstract":"We present applications of a stochastic changepoint detection model in the context of bubble-like financial markets. A changepoint of a random sequence is an unknown moment of time when its trend changes. The aim is to detect a direction change in a sequence of stock market or other asset index values, while sequentially observing it. A detection rule thus models an exit strategy before a possible market crash. We describe theoretical results and apply them to several stock market bubbles including stock markets in the US in 1929, 1987, 2008, and China in 2015.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128112186","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: 4
Non-predictable stock market declines 不可预测的股市下跌
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165907
W. Ziemba
{"title":"Non-predictable stock market declines","authors":"W. Ziemba","doi":"10.1080/21649502.2015.1165907","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165907","url":null,"abstract":"I have used four measures that have had considerable success using price movements or market indicators in predicting stock market declines of 10% or more and average 25%. Other declines of 5–15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on seven of the latter instances for the US S&P500.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129117541","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
Acquirers gain twice as much as targets in M&As: a different perspective on a longstanding perception 收购方在并购中获得的收益是目标方的两倍:这是一个长期存在的观点的不同视角
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2017.1286089
Tarcisio da Graça, R. Masson
{"title":"Acquirers gain twice as much as targets in M&As: a different perspective on a longstanding perception","authors":"Tarcisio da Graça, R. Masson","doi":"10.1080/21649502.2017.1286089","DOIUrl":"https://doi.org/10.1080/21649502.2017.1286089","url":null,"abstract":"We propose a structural event study methodology, which explicitly models the interaction of two merger and acquisition (M&A) effects: synergy (total value) and dominance (bargaining power). This interaction simultaneously determines the acquirer's and the target's observed abnormal returns around the transaction announcement. Accordingly, we propose a structural estimation approach of which estimates suggest that acquirers get twice as much gains as targets. The structural parameters are uniquely identified with the reduced forms’ coefficients. We use this feature to validate our structural approach. Moreover, the reduced forms' estimates are consistent with the M&A literature. However, the interpretation/intuition from the structural estimates offers a new perspective on how acquirers and targets share synergies. More generally, the structural approach allows testing theories and hypotheses related to M&As under an empirical framework that captures the interdependency of the parties' abnormal returns. The efficiency of the empirical procedure is higher than the efficiency of methods that overlook this interdependency.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123804826","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
Mathematical models of bubbles 气泡的数学模型
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165863
P. Protter
{"title":"Mathematical models of bubbles","authors":"P. Protter","doi":"10.1080/21649502.2015.1165863","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165863","url":null,"abstract":"In this paper we review recent attempts to model mathematically the price evolution of risk assets when they are undergoing bubble pricing. We consider both continuous processes and processes with jumps, and use the framework that, under a risk-neutral measure, the price process will be a strict local martingale (and not a ‘true’ martingale) when bubble pricing is present. Finally, we mention briefly the issue of causes for bubbles, and one approach to modelling them mathematically.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133894154","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: 11
Credit market bubble building? A forming credit bubble could burst by 2017 信贷市场泡沫正在形成?正在形成的信贷泡沫可能在2017年破裂
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165962
E. Altman, B. Kuehne
{"title":"Credit market bubble building? A forming credit bubble could burst by 2017","authors":"E. Altman, B. Kuehne","doi":"10.1080/21649502.2015.1165962","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165962","url":null,"abstract":"Bubble theories and concerns are becoming quite common these days for several asset classes, prompting discussions and warnings, including those from regulators. We now come to some key questions—are we in the midst of an inflating credit bubble and, if so, when is it likely that the bubble will burst? Contrarily, are we experiencing an extended period of opportunistic debt financing—a theory made popular amongst corporate finance theorists going back to at least the 1960s and 1970s. The evidence we have compiled leads us to conclude that, indeed, a bubble is building, but it is not likely to explode dramatically, with a significant increase in corporate bond and loan defaults, until at least late 2016 or more likely in 2017–2018. Fear, however, of a potential crisis in credit and equity markets, or major dislocations in important industries or countries, may contribute to periods of negative price movements and increased volatility in these, and other, asset classes before the bubble actually bursts.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116391059","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 bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications 预测股灾的债券-股票收益模型:基本思想及早期应用
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165893
Sébastien Lleo, W. Ziemba
{"title":"The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications","authors":"Sébastien Lleo, W. Ziemba","doi":"10.1080/21649502.2015.1165893","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165893","url":null,"abstract":"We discuss the bond-stock earnings yield differential model (BSEYD) starting from when Ziemba first used it in Japan in 1988 through 2016 in various countries. The model has called many but not all crashes. Those have high interest rates in the most liquid long-term bonds relative to the trailing earnings-to-price ratio. In general, when the model is in the danger zone, almost always there will be a crash. The model called the 2000 and 2002 US crashes. A long horizon term study for the US, Canada, Japan, Germany, and the UK shows that being in the stock market when the bond-stock signal is not in the danger zone and in cash when it is in the danger zone provides a final wealth about double buy and hold for in these five countries.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130138129","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
A simple procedure to incorporate predictive models in a continuous time asset allocation 一个简单的程序，以纳入预测模型在一个连续的时间资产分配
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165906
Mark H. A. Davis, Sébastien Lleo
{"title":"A simple procedure to incorporate predictive models in a continuous time asset allocation","authors":"Mark H. A. Davis, Sébastien Lleo","doi":"10.1080/21649502.2015.1165906","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165906","url":null,"abstract":"Stochastic optimisation has found a fertile ground for applications in finance. One of the greatest challenges remains to incorporate a set of scenarios that accurately model the behaviour of financial markets, and in particular their behaviour during crashes and crises, without sacrificing the tractability of the optimal investment policy. This paper shows how to incorporate return predictions and crash predictions as views into continuous time asset allocation models.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115548253","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
Modelling the efficiency of universal banks in Ghana 对加纳全能银行的效率进行建模
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2016.1262938
Michael Adusei
{"title":"Modelling the efficiency of universal banks in Ghana","authors":"Michael Adusei","doi":"10.1080/21649502.2016.1262938","DOIUrl":"https://doi.org/10.1080/21649502.2016.1262938","url":null,"abstract":"The strategic importance of banks in almost every economy underpins the soaring interest in their sustainability with technical efficiency touted as one of the barometers of sustainability. Using data envelopment analysis, the study measures the technical efficiency and scale efficiency of 23 universal banks in Ghana with 2013 dataset. The results reveal that 11 out of the 23 banks operated efficiently during the year under consideration. Two local banks have been found to be highly robust efficient banks. The average overall technical efficiency of the banks is 89%, suggesting 11% technically inefficiency in the sample. In terms of returns-to-scale in the sample, the results suggest that the predominant form of scale inefficiency is increasing returns-to-scale, implying that most of the banks have the capacity to improve their efficiency by increasing their scale of operations.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"219 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116270966","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: 10
Using Zweig’s monetary and momentum models in the modern era 运用茨威格的现代货币和动量模型
Quantitative Finance Letters Pub Date : 2016-01-01 DOI: 10.1080/21649502.2015.1165917
John Swetye, W. Ziemba
{"title":"Using Zweig’s monetary and momentum models in the modern era","authors":"John Swetye, W. Ziemba","doi":"10.1080/21649502.2015.1165917","DOIUrl":"https://doi.org/10.1080/21649502.2015.1165917","url":null,"abstract":"We study Zweig's momentum and super model prediction using the Value Line Composite Index on current stock market datas based on FED monetary movements and stock market price movements. The results are still very good with buy and sell signals.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"16 22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128430458","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
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