Quantitative Finance and Economics最新文献_第8页

Comparing ask and transaction prices in the Swiss housing market 比较瑞士房地产市场的要价和成交价格

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021004

Diego Ardila,Ahmed Ahmed,Didier Sornette

{"title":"Comparing ask and transaction prices in the Swiss housing market","authors":"Diego Ardila,Ahmed Ahmed,Didier Sornette","doi":"10.3934/qfe.2021004","DOIUrl":"https://doi.org/10.3934/qfe.2021004","url":null,"abstract":"We analyze the relationship between ask and transaction prices in the Swiss residential real estate market over the 2005-2015 period. First, we present strong evidence that ask and transaction prices are co-integrated across different market segments, but they do not Granger-cause one another. Second, we analyze the cross-sectional distributions of ask and transaction prices/per living space and conclude that they do not follow the same distribution, with the distribution of transaction prices close to a log normal distribution and the distribution of ask prices exhibiting slightly fatter tails. Finally, we show significant evidence that transaction prices tend to exceed ask prices during protracted booms and bubble regimes. We discuss these empirical patterns in light of theoretical housing search models, and provide support for the hypothesis that the 2005-2015 Swiss market has been dominated by an auction-like dynamics. Hence, although ask prices constitute a suitable proxy to follow the development of the Switzerland's real estate market, especially given the sparsity of available transaction data, they might be prone to underestimate the extent of price increases when the market is booming, and the magnitude of the correction when the market enters the bust phase of the housing cycle.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503664","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

Centralized vs. decentralized ledgers in the money supply process: a SWOT analysis 货币供应过程中的中心化与去中心化分类账:SWOT分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021003

Abderahman Rejeb, Karim Rejeb, John G. Keogh

引用次数: 2

Leverage and performance: the case of the U.S. hospitality industry 杠杆与绩效:以美国酒店业为例

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021010

Conrado Diego García-Gómez, M. Bilgin, Ender Demir, José María Díez-Esteban

{"title":"Leverage and performance: the case of the U.S. hospitality industry","authors":"Conrado Diego García-Gómez, M. Bilgin, Ender Demir, José María Díez-Esteban","doi":"10.3934/QFE.2021010","DOIUrl":"https://doi.org/10.3934/QFE.2021010","url":null,"abstract":"This study analyzes the leverage and performance relationship in the context of the U.S. hospitality industry. We consider that, studying this traditional corporate finance issue in the context of the hospitality industry, is relevant due to its unique characteristics in terms of capital structure and value creation. In addition to Ordinary Least Squares (OLS) and Fixed-Random effects (FE-RE) estimations, we also employ System Generalized Method of Moments (GMM) panel data techniques to avoid the endogeneity issue. Thus, using a sample of 313 U.S. hospitality firms for the period 2001–2018, our primary results are consistent with the pecking order theory, suggesting a negative relationship between leverage and firm performance. The findings are robust to alternative variables description and econometric techniques. We also find an inverted U-shape relationship, but given the high indebtedness of hospitality firms, the negative impact on firm performance is prevalent. Our contribution to the literature is double. First, we highlight the importance of analyzing the capital structure issue in a certain industry and, second, we provide important policy implications for managers and investors.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229112","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: 6

Does digital finance benefit the income of rural residents? A case study on China 数字金融是否有利于农村居民的收入?以中国为例

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021030

Tinghui Li, Jiehua Ma

{"title":"Does digital finance benefit the income of rural residents? A case study on China","authors":"Tinghui Li, Jiehua Ma","doi":"10.3934/qfe.2021030","DOIUrl":"https://doi.org/10.3934/qfe.2021030","url":null,"abstract":"Rural residents' income is one of the core issues of rural economic development, and digital financial inclusion is one of the important influencing factors of rural residents' income. Especially under the background of the implementation of digital financial technology, the relationship between the two has become more complex. Based on the panel data set of 1624 counties in Chinese mainland in the past 2014–2019 years, the paper uses panel regression models to study the impact of digital financial inclusion on rural residents' income. Further, by analyzing the industrial structure, education level and financial development level, the following conclusions are drawn. First, digital financial inclusion significantly promotes the increase of rural residents' income, but there are differences in regional level and different quantiles of rural residents' income. At the regional level, the promotion of control effect at the provincial level is stronger than that at the county level; in different quantiles of residents' income, with the increase of residents' income quantile, the promoting effect is gradually enhanced. Second, the heterogeneous impact of digital financial inclusion on rural residents' income is reflected in three aspects: regional development, education level and financial development level. Third, industrial structure, education level and financial development level will enhance the promotion effect of digital financial inclusion on rural residents' income, but there are significant differences in the intensity of the regulatory effect of the three variables.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229614","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: 21

Equity premium prediction: keep it sophisticatedly simple 股票溢价预测:尽量简单

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021012

Anwen Yin

引用次数: 0

Threshold effects of financialization on enterprise R & D innovation: a comparison research on heterogeneity 金融化对企业研发创新的门槛效应:异质性的比较研究

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021022

Tinghui Li, Xue Li, Khaldoon Albitar

{"title":"Threshold effects of financialization on enterprise R & D innovation: a comparison research on heterogeneity","authors":"Tinghui Li, Xue Li, Khaldoon Albitar","doi":"10.3934/QFE.2021022","DOIUrl":"https://doi.org/10.3934/QFE.2021022","url":null,"abstract":"By taking samples of 1221 non-financial listed companies in China from 2010 to 2019, threshold effects of financialization on enterprise R&D innovation, as well as heterogeneous impacts of the threshold effects in different enterprise types are analyzed by using panel threshold model. The research shows that there are threshold effects of financialization on enterprise R&D innovation, and these threshold effects are heterogeneous among different types of enterprises. To be specific, first, in groups with different ownership structures, the inhibiting effect of state-owned enterprises financialization on R&D innovation decreases with the increase of financialization, while the impact of financialization of non-state-owned enterprises on R&D innovation is firstly promoted and then inhibited with the increase of financialization. Second, in groups with different financing constraints, the inhibiting effect of financialization with high financing constraints enterprises on R&D innovation decreases significantly with the increase of financialization, while the effect of financialization with low financing constraints enterprises on R&D innovation changes from an insignificant promoting effect to a significant inhibiting effect with the increase of financialization. These conclusions provide empirical evidence for different types of enterprises on how to balance the relationship between financialization and R&D innovation.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229546","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: 22

Relative mispricing and takeover likelihood 相对错误定价和收购可能性

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021031

Keming Li

引用次数: 0

Constant leverage certificates: dynamics, performance, and risk-return characteristics 恒杠杆证书:动态、绩效和风险收益特征

IF 5.3

Quantitative Finance and Economics Pub Date : 2020-11-20 DOI: 10.3934/qfe.2020032

Vladimir Anić

{"title":"Constant leverage certificates: dynamics, performance, and risk-return characteristics","authors":"Vladimir Anić","doi":"10.3934/qfe.2020032","DOIUrl":"https://doi.org/10.3934/qfe.2020032","url":null,"abstract":"This paper analyzes a relatively new investment product named as constant leverage certificate (CLC), which is designed to provide a multiple of the return of its underlying asset on a daily basis. Based on the literature on leveraged ETFs, which have a similar design, it is well-known that such a strategy does not reproduce the corresponding multiple of the underlying in the long run. But due to the typically much larger leverage factors of CLCs compared to leveraged ETFs, it is questionable whether many of the results found for leveraged ETFs can be applied to these certificates as well. Against this background, I study the drivers of the long-term deviation of the product return from the leveraged return of the underlying, test a generalized version of the theoretical long-term return model originally developed for leveraged ETFs with a simulation study, and analyze the return distribution based on the theoretical model and empirical data. In contrast to prior literature, my results indicate that the effect of compounding is much more pronounced than the noncompounding deviation also for short-term investment periods. The theoretical model, however, is relatively accurate despite much larger leverage factors.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41512126","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

Impact of the novel coronavirus on stock market returns: evidence from GCC countries 新型冠状病毒对股市回报的影响：来自海湾合作委员会国家的证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2020-09-24 DOI: 10.3934/QFE.2020029

Raéf Bahrini, A. Filfilan

{"title":"Impact of the novel coronavirus on stock market returns: evidence from GCC countries","authors":"Raéf Bahrini, A. Filfilan","doi":"10.3934/QFE.2020029","DOIUrl":"https://doi.org/10.3934/QFE.2020029","url":null,"abstract":"The novel coronavirus (COVID-19) is not only an unprecedented human and health crisis, but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial markets. Many equity markets around the world have endured heavy declines since the pandemic’s outbreak. To provide an understanding of the effects of the novel coronavirus pandemic on stock markets, we investigate in this paper the impact of the COVID-19 confirmed cases and deaths on the daily returns of the major stock market indices in the Gulf Cooperation Council (GCC) countries over the period from April 1, 2020 to June 26, 2020. Using a panel data regression analysis, we find that stock markets in the GCC countries responded negatively and with a great degree to new and total COVID-19 confirmed deaths, while response to the number of COVID-19 confirmed cases is not significant. Therefore, during the COVID-19 outbreak daily returns of the major stock market indices in the GCC countries declined as the number of confirmed deaths increased. Further analysis suggests that GCC stock markets are impacted positively by the crude oil price (WTI) and negatively by the variation of the implied volatility in the global oil market and the global stock markets.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2020-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42926945","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: 51

A new trading algorithm with financial applications 一个新的交易算法与金融应用

IF 5.3

Quantitative Finance and Economics Pub Date : 2020-09-02 DOI: 10.3934/qfe.2020027

Guillermo Peña

引用次数: 4