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Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors Bootstrap滚动窗口动量和情绪之间的Granger因果关系动态：对投资者的启示
IF 1
Annals of Finance Pub Date : 2021-10-26 DOI: 10.1007/s10436-021-00399-z
Mohamed Sahbi Nakhli, Abderrazak Dhaoui, Julien Chevallier
{"title":"Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors","authors":"Mohamed Sahbi Nakhli,&nbsp;Abderrazak Dhaoui,&nbsp;Julien Chevallier","doi":"10.1007/s10436-021-00399-z","DOIUrl":"10.1007/s10436-021-00399-z","url":null,"abstract":"<div><p>This paper seeks to examine the unidirectional versus bidirectional Granger causality between investors’ sentiment and momentum strategies. It is based on the full sample Granger causality test and the recent rolling-window bootstrap approach. We also applied a probit model to the extent to which the probability that investors’ sentiment and momentum strategies influence each other. Our results suggest bidirectional Granger causality between investor sentiment and momentum strategy with unstable causality dynamics over time. We find that ADS and VIX positively affect the likelihood that investor sentiment Granger causes momentum strategy and negatively impact the probability that momentum strategy Granger causes investor sentiment. Gold harms the likelihood that investors’ sentiment and momentum strategies affect each other. The research design is unique to combine bootstrap rolling-window Granger causality tests between Sentiment and Momentum to assess investors’ implications in terms of confidence, uncertainty, aggressiveness, or optimism versus Pessimism.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 2","pages":"267 - 283"},"PeriodicalIF":1.0,"publicationDate":"2021-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48041346","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
Bank business models, negative policy rates, and prudential regulation 银行业务模式、负政策利率和审慎监管
IF 1
Annals of Finance Pub Date : 2021-10-13 DOI: 10.1007/s10436-021-00397-1
Roberto Savona
{"title":"Bank business models, negative policy rates, and prudential regulation","authors":"Roberto Savona","doi":"10.1007/s10436-021-00397-1","DOIUrl":"10.1007/s10436-021-00397-1","url":null,"abstract":"<div><p>Using data from Italian banks over the period 2011–2017, we study how negative interest rate policy and prudential regulation impact on bank business models. We report four key findings. First, banks shifted into retail- and market-oriented business models. Second, high- and low-deposit banks reduced loans and increased security/liquid assets; only market-oriented banks expanded lending. Third, interest rate income compression induced by negative rates has been substantial for the Italian banking system as a whole, although retail banks seem to have suffered less. Fourth, non-interest incomes played a compensatory effect. The portfolio reshuffling, as we observed for wholesale and retail banks (less lending and more securities/liquid assets), is related to the goal of reducing risk exposures and, in turn, the connected capital absorption required by prudential regulation.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 3","pages":"355 - 392"},"PeriodicalIF":1.0,"publicationDate":"2021-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-021-00397-1.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50479113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Welfare implications of mitigating investment uncertainty 减轻投资不确定性对福利的影响
IF 1
Annals of Finance Pub Date : 2021-09-15 DOI: 10.1007/s10436-021-00395-3
Takayuki Ogawa, Jun Sakamoto
{"title":"Welfare implications of mitigating investment uncertainty","authors":"Takayuki Ogawa,&nbsp;Jun Sakamoto","doi":"10.1007/s10436-021-00395-3","DOIUrl":"10.1007/s10436-021-00395-3","url":null,"abstract":"<div><p>This study explores the welfare implications of mitigating investment uncertainty in the context of Easley and O’Hara (Rev Financ Stud 22:1817–1843, 2009) While one may expect welfare gains by encouraging participation in financial markets by ambiguity-averse investors, we formally show that it hurts other investors and thus is not Pareto-improving without appropriate income transfers. We also examine the welfare effects of income redistribution among heterogeneous investors and government spending on investor education.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"559 - 582"},"PeriodicalIF":1.0,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-021-00395-3.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41394387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Performance of advanced stock price models when it becomes exotic: an empirical study 先进股票价格模型在变得奇异时的表现：一项实证研究
IF 1
Annals of Finance Pub Date : 2021-08-28 DOI: 10.1007/s10436-021-00396-2
Gero Junike, Wim Schoutens, Hauke Stier
{"title":"Performance of advanced stock price models when it becomes exotic: an empirical study","authors":"Gero Junike,&nbsp;Wim Schoutens,&nbsp;Hauke Stier","doi":"10.1007/s10436-021-00396-2","DOIUrl":"10.1007/s10436-021-00396-2","url":null,"abstract":"<div><p>We calibrate several advanced stock price models to a time series of real market data of European options on the DAX. Via a Monte Carlo simulation, we price barrier down-and-out call options for all models and compare the modeled prices to given real market data of the barrier options. The Bates model reproduces barrier option prices very well. The BNS model overvalues and Lévy models with stochastic time-change and leverage undervalue the exotic options. The Heston model and a local volatility model undervalue the barrier option prices by about 5–6%. A heuristic analysis suggests that the different degree of fluctuation of the random paths of the models are responsible of producing different prices for the barrier options. Higher margins or additional risks like liquidity, calibration or model risk might economically explain why many advanced models undervalue barrier options.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"109 - 119"},"PeriodicalIF":1.0,"publicationDate":"2021-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00396-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50519468","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
Deposit insurance and reinsurance 存款保险和再保险
IF 1
Annals of Finance Pub Date : 2021-07-29 DOI: 10.1007/s10436-021-00387-3
Volker Britz, Hans Gersbach, Hans Haller
{"title":"Deposit insurance and reinsurance","authors":"Volker Britz,&nbsp;Hans Gersbach,&nbsp;Hans Haller","doi":"10.1007/s10436-021-00387-3","DOIUrl":"10.1007/s10436-021-00387-3","url":null,"abstract":"<div><p>We study the consequences and optimal design of bank deposit insurance and reinsurance in a general equilibrium setting. The model involves two production sectors, financed by bonds and bank loans, respectively. Financial intermediation by banks is required in the model as we assume that one of the production sectors is risky and requires monitoring by banks. Households fund banks through deposits and equity. Deposits are explicitly insured and banks pay a premium per unit of deposits. Any remaining shortfall is implicitly guaranteed by the government. Two types of equilibria emerge: One type of equilibria supports the Pareto optimal allocation. In the other type, bank lending and the default risk are excessively large. The intuition is as follows: the combination of financial intermediation by banks, limited liability of bank shareholders, and deposit insurance makes deposits risk-free from the individual households’ perspective, although they involve risk from the societal point of view. This distorts investment choices and the resulting input allocation to production sectors. We show, however, that a judicious combination of deposit insurance and reinsurance eliminates all non-optimal equilibrium allocations. Our paper thus may provide a benchmark result for policy proposals advocating deposit insurance cum reinsurance.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"425 - 470"},"PeriodicalIF":1.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00387-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47949434","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
On the money creation approach to banking 论银行业的货币创造方法
IF 1
Annals of Finance Pub Date : 2021-07-27 DOI: 10.1007/s10436-021-00385-5
Salomon Faure, Hans Gersbach
{"title":"On the money creation approach to banking","authors":"Salomon Faure,&nbsp;Hans Gersbach","doi":"10.1007/s10436-021-00385-5","DOIUrl":"10.1007/s10436-021-00385-5","url":null,"abstract":"<div><p>We study today’s two-tier money creation and destruction system: Commercial banks create bank deposits (privately created money) through loans to firms or asset purchases from the private sector. Bank deposits are destroyed when households buy bank equity or when firms repay loans. Central banks create electronic central bank money (publicly created money or reserves) through loans to commercial banks. In a simple general equilibrium setting, we show that symmetric equilibria yield the first-best level of money creation and lending when prices are flexible, regardless of monetary policy and capital regulation. When prices are rigid, we identify the circumstances in which money creation is excessive or breaks down and the ones in which an adequate combination of monetary policy and capital regulation can restore efficiency. Finally, we provide a series of extensions and generalizations of the results.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 3","pages":"265 - 318"},"PeriodicalIF":1.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00385-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50517911","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: 7
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging 分数Barndorf-Nielsen和Shephard模型：在方差和波动率互换以及套期保值中的应用
IF 1
Annals of Finance Pub Date : 2021-07-13 DOI: 10.1007/s10436-021-00394-4
Nicholas Salmon, Indranil SenGupta
{"title":"Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging","authors":"Nicholas Salmon,&nbsp;Indranil SenGupta","doi":"10.1007/s10436-021-00394-4","DOIUrl":"10.1007/s10436-021-00394-4","url":null,"abstract":"<div><p>In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long-term memory and jumps. The proposed model incorporates the long-term memory and positive autocorrelation properties of fractional Brownian motion with <span>(H&gt;1/2)</span>, and the jump properties of the BN-S model. We find arbitrage-free prices for variance and volatility swaps for this new model. Because fractional Brownian motion is still a Gaussian process, we derive some new expressions for the distributions of integrals of continuous Gaussian processes as we work towards an analytic expression for the prices of these swaps. The model is analyzed in connection to the quadratic hedging problem and some related analytical results are developed. The amount of derivatives required to minimize a quadratic hedging error is obtained. Finally, we provide some numerical analysis based on the VIX data. Numerical results show the efficiency of the proposed model compared to the Heston model and the classical BN-S model.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"529 - 558"},"PeriodicalIF":1.0,"publicationDate":"2021-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00394-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44863681","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: 19
Model uncertainty on commodity portfolios, the role of convenience yield 模型不确定性对商品投资组合、便利收益的作用
IF 1
Annals of Finance Pub Date : 2021-07-07 DOI: 10.1007/s10436-021-00393-5
Junhe Chen, Marcos Escobar-Anel
{"title":"Model uncertainty on commodity portfolios, the role of convenience yield","authors":"Junhe Chen,&nbsp;Marcos Escobar-Anel","doi":"10.1007/s10436-021-00393-5","DOIUrl":"10.1007/s10436-021-00393-5","url":null,"abstract":"<div><p>This paper investigates the effect of model uncertainty on the performance of commodity-based portfolios. We consider a constant relative risk aversion (CRRA) utility maximizer investor in a complete market, with independent ambiguity-aversion levels for the three factors explaining the term structure of future prices, namely, spot prices, convenience yield (CY) and interest rates (IRs), as proposed in the seminal work of Schwartz (J Finance 52(3): 923–973, 1997). This generic investor is interested in the speculative component of the investment rather than possessing/consuming the physical commodity. We obtain closed-form solutions for optimal investments, optimal perturbations (alternative model) and value functions in line with the robust portfolio setting of Maenhout (Rev Financial Stud 17(4): 951–983, 2004). Our main focus is on the effect of convenience yield’s uncertainty on the optimal analysis. We estimate the model by applying a combination of maximum likelihood estimation (MLE) and Kalman Filter (KF) techniques, to two commodities: West Texas Intermediate (WTI) and copper future prices. The analysis demonstrates that uncertainty on the CY factor could be the largest contributor to the under-performance of a commodities portfolio, with wealth equivalent losses (WELs) in the ranges of 33% to 88% (WTI), and 7% to 31% (copper). Moreover, small variations, of up 25%, on CY’s covariance parameters could lead to a WEL of up to 40% (WTI, lesser volatility of CY).</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"501 - 528"},"PeriodicalIF":1.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00393-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41848419","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
Systemic risk measurement: bucketing global systemically important banks 系统性风险测量:对全球系统重要性银行进行分类
IF 1
Annals of Finance Pub Date : 2021-07-07 DOI: 10.1007/s10436-021-00391-7
Marina Brogi, Valentina Lagasio, Luca Riccetti
{"title":"Systemic risk measurement: bucketing global systemically important banks","authors":"Marina Brogi,&nbsp;Valentina Lagasio,&nbsp;Luca Riccetti","doi":"10.1007/s10436-021-00391-7","DOIUrl":"10.1007/s10436-021-00391-7","url":null,"abstract":"<div><p>The general consensus on the need to enhance the resilience of the financial system has led to the imposition of higher capital requirements for certain institutions, supposedly based on their contribution to systemic risk. Global Systemically Important Banks (G-SIBs) are divided into buckets based on their required additional capital buffers ranging from 1% to 3.5%. We measure the marginal contribution to systemic risk of 26 G-SIBs using the Distressed Insurance Premium methodology proposed by Huang et al. (J Bank Financ 33:2036–2049, 2009) and examine ranking consistency with that using the SRISK of Acharya et al. (Am Econ Rev 102:59–64, 2012). We then compare the bucketing using the two academic approaches and supervisory buckets. Because it leads to capital surcharges, bucketing should be consistent, irrespective of methodology. Instead, discrepancies in the allocation between buckets emerge and this suggests the complementary use of other methodologies.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 3","pages":"319 - 351"},"PeriodicalIF":1.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00391-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42606886","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
Birds of a feather: separating spillovers from shocks in sovereign default 物以类聚：主权违约中溢出效应与冲击的分离
IF 1
Annals of Finance Pub Date : 2021-06-23 DOI: 10.1007/s10436-021-00392-6
Ryan Rudderham
{"title":"Birds of a feather: separating spillovers from shocks in sovereign default","authors":"Ryan Rudderham","doi":"10.1007/s10436-021-00392-6","DOIUrl":"10.1007/s10436-021-00392-6","url":null,"abstract":"<div><p>In this paper, I propose a tractable model of sovereign default and the inter-state spillovers emanating from default. A coalition of nations may choose to insure against default, and the behavior of the coalition is used to examine the magnitude of the international spillovers. A voting structure for the coalition is proposed to examine idiosyncratic spillovers. The model is calibrated to the recent Greek Debt crisis to understand the spillovers from a default, and the moral hazard effect of the Troika. I find that spillover effects are large. If the rest of the world defaulted, this would create a loss equivalent to a permanent 9% decrease in government spending. Counterfactual experiments reveal that default would be prevalent without the IMF, suggesting that the own-penalty to defaulting has decreased since the IMF’s creation.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 3","pages":"353 - 378"},"PeriodicalIF":1.0,"publicationDate":"2021-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00392-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41553650","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
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