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A volatility smile-based uncertainty index 基于波动率微笑的不确定性指数
IF 1
Annals of Finance Pub Date : 2021-03-12 DOI: 10.1007/s10436-021-00384-6
José Valentim Machado Vicente, Jaqueline Terra Moura Marins
{"title":"A volatility smile-based uncertainty index","authors":"José Valentim Machado Vicente,&nbsp;Jaqueline Terra Moura Marins","doi":"10.1007/s10436-021-00384-6","DOIUrl":"10.1007/s10436-021-00384-6","url":null,"abstract":"<div><p>We propose a new uncertainty index based on the discrepancy of the smile of FX options. We show that our index spikes near turbulent periods, forecasts economic activity and its innovations hold a significant and negative equity premium. Unlike other uncertainty indexes, our index is supported by equilibrium models, which relate the difference of options prices across moneyness to uncertainty. Moreover, our index is based on investment decisions, can be easily and continuously updated and is comparable across countries.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2021-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00384-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44262883","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
Bank business models, negative policy rates, and prudential regulation 银行业务模式、负利率政策和审慎监管
IF 1
Annals of Finance Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3824276
R. Savona
{"title":"Bank business models, negative policy rates, and prudential regulation","authors":"R. Savona","doi":"10.2139/ssrn.3824276","DOIUrl":"https://doi.org/10.2139/ssrn.3824276","url":null,"abstract":"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.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44231493","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
Optimal group size in microlending 微透镜中的最佳组大小
IF 1
Annals of Finance Pub Date : 2021-01-18 DOI: 10.1007/s10436-020-00382-0
Philip Protter, Alejandra Quintos
{"title":"Optimal group size in microlending","authors":"Philip Protter,&nbsp;Alejandra Quintos","doi":"10.1007/s10436-020-00382-0","DOIUrl":"10.1007/s10436-020-00382-0","url":null,"abstract":"<div><p>Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunus, who received the Nobel Peace Prize in recognition of his largely successful efforts. Since that time the modeling of microlending has received a fair amount of academic attention. One of the issues not yet addressed in full detail, however, is the issue of the size of the group. Some attention has nevertheless been paid using an experimental and game theory approach. We, instead, take a mathematical approach to the issue of an optimal group size, where the goal is to minimize the probability of default of the group. To do this, one has to create a model with interacting forces, and to make precise the hypotheses of the model. We show that the original choice of Muhammad Yunus, of a group size of five people, is, under the right, and, we believe, reasonable hypotheses, either close to optimal, or even at times exactly optimal, i.e., the optimal group size is indeed five people.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2021-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00382-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49327105","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
On modifications of the Bachelier model 关于Bachelier模型的修正
IF 1
Annals of Finance Pub Date : 2021-01-18 DOI: 10.1007/s10436-020-00381-1
Alexander Melnikov, Hongxi Wan
{"title":"On modifications of the Bachelier model","authors":"Alexander Melnikov,&nbsp;Hongxi Wan","doi":"10.1007/s10436-020-00381-1","DOIUrl":"10.1007/s10436-020-00381-1","url":null,"abstract":"<div><p>Mathematically, stock prices described by a classical Bachelier model are sums of a Brownian motion and an absolute continuous drift. Hence, stock prices can take negative values, and financially, it is not appropriate. This drawback is overcome by Samuelson who has proposed the exponential transformation and provided the so-called Geometrical Brownian motion. In this paper, we introduce two additional modifications which are based on SDEs with absorption and reflection. We show that the model with reflection may admit arbitrage, but the model with an appropriate absorption leads to a better model. Comparisons regarding option pricing among the standard Bachelier model, the Black–Scholes model and the modified Bachelier model with absorption at zero are executed. Moreover, our main findings are also devoted to the Conditional Value-at-Risk based partial hedging in the framework of these models. Illustrative numerical examples are provided.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2021-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00381-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50492164","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
The Shapley value decomposition of optimal portfolios 最优投资组合的Shapley值分解
IF 1
Annals of Finance Pub Date : 2020-11-27 DOI: 10.1007/s10436-020-00380-2
Haim Shalit
{"title":"The Shapley value decomposition of optimal portfolios","authors":"Haim Shalit","doi":"10.1007/s10436-020-00380-2","DOIUrl":"10.1007/s10436-020-00380-2","url":null,"abstract":"<div><p>Investors want the ability to evaluate the true and complete risk of the financial assets held in a portfolio. Yet, the current analytic methods provide only partial risk measures. I suggest that, by viewing a portfolio of securities as a cooperative game played by the assets that minimize portfolio risk, investors can calculate the exact value, each security contributes to the common payoff of the game, which is known as the Shapley value. It is determined by computing the contribution of each asset to the portfolio risk by looking at all the possible coalitions in which the asset would participate. I develop this concept in order to decompose the risk of mean-variance and mean-Gini efficient portfolios. This decomposition gives us a better rank of assets by their comprehensive contribution to the risk of optimal portfolios. Such a procedure allows investors to make unbiased decisions when they analyze the inherent risk of their holdings. The Shapley value is calculated for index classes and the empirical results based on asset allocation data are contrary to some of the findings of conventional wisdom and beta analysis.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00380-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50518682","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
Revisiting the link between financial development and industrialization: evidence from low and middle income countries 重新审视金融发展与工业化之间的联系:来自中低收入国家的证据
IF 1
Annals of Finance Pub Date : 2020-11-09 DOI: 10.1007/s10436-020-00376-y
Gouthami Kothakapa, Samyukta Bhupatiraju, Rahul A. Sirohi
{"title":"Revisiting the link between financial development and industrialization: evidence from low and middle income countries","authors":"Gouthami Kothakapa,&nbsp;Samyukta Bhupatiraju,&nbsp;Rahul A. Sirohi","doi":"10.1007/s10436-020-00376-y","DOIUrl":"10.1007/s10436-020-00376-y","url":null,"abstract":"<div><p>The paper uses a dynamic panel model to analyze the relationship between financial development and industrialization in the context of low and middle income countries between 1970 and 2014. The results indicate that the relationship between the two is non-linear. More precisely, the results indicate that financial development has a negative effect on industrial development up to a point, after which the effect turns positive. This evidence of a “U-shaped” relationship emphasizes the centrality of financial development in the industrialization process in developing economies, but it also points to the complex nature of the relationship.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00376-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48541039","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
Two price economic equilibria and financial market bid/ask prices 两个价格经济均衡和金融市场买卖价格
IF 1
Annals of Finance Pub Date : 2020-11-09 DOI: 10.1007/s10436-020-00377-x
Robert J. Elliott, Dilip B. Madan, Tak Kuen Siu
{"title":"Two price economic equilibria and financial market bid/ask prices","authors":"Robert J. Elliott,&nbsp;Dilip B. Madan,&nbsp;Tak Kuen Siu","doi":"10.1007/s10436-020-00377-x","DOIUrl":"10.1007/s10436-020-00377-x","url":null,"abstract":"<div><p>Demand and supply uncertainty lead to a model of markets that set prices to acceptable risk levels for excess supplies and net revenues. The result is a two price partial equilibrium economy. The equilibrium solutions are applied to two price financial market data to infer demand and supply elasticities and log normal volatilities from market quotes on bid and ask prices. Demand elasticities are observed to be higher than supply elasticities as are the volatilities. Normalizing observed volatilities to the volatility of the daily traded volume a market implied duration of the economic equilibrium is inferred. The median level of duration is around a minute and half with an interquartile range from 37 s to 2 min. For larger orders, bid and ask prices may be constructed by calibrating the demand and supply volatilities.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00377-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42738865","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
Heterogeneous beliefs, monetary policy, and stock price volatility 异质信念、货币政策和股价波动
IF 1
Annals of Finance Pub Date : 2020-11-09 DOI: 10.1007/s10436-020-00379-9
Katsuhiro Oshima
{"title":"Heterogeneous beliefs, monetary policy, and stock price volatility","authors":"Katsuhiro Oshima","doi":"10.1007/s10436-020-00379-9","DOIUrl":"10.1007/s10436-020-00379-9","url":null,"abstract":"<div><p>In this paper, I build a two-agent New Keynesian model in which households with subjective and objective beliefs about capital gains from stock prices exist. The former type of households constructs their beliefs about expected capital gains by Bayesian learning from observed growth rates of stock prices. In a homogenous agent model with only subjective beliefs, the effect of the interest rate on stock prices tends to be unrealistically strong. I show how the presence of heterogeneity improves second moments of stock prices with realistic moments of business cycle properties. This quantitative improvement in stock price behaviors allows me to conduct a realistic analysis of how the stance of monetary policy affects stock price volatilities. Strong inertia of monetary policy provides the stability of stock prices. This is because the near-term real interest rate has dominant effects on stock prices under the presence of subjective beliefs since the presence limits the forward-looking nature in pricing stocks. However, because output depends on the expected path of the real interest rate in the forward-looking manner, strong monetary policy inertia does not necessarily provide stabilities of stock prices and output at the same time.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00379-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50465997","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
Learning from prices: information aggregation and accumulation in an asset market 从价格中学习：资产市场中的信息聚合和积累
IF 1
Annals of Finance Pub Date : 2020-11-04 DOI: 10.1007/s10436-020-00378-w
Michele Berardi
{"title":"Learning from prices: information aggregation and accumulation in an asset market","authors":"Michele Berardi","doi":"10.1007/s10436-020-00378-w","DOIUrl":"10.1007/s10436-020-00378-w","url":null,"abstract":"<div><p>Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two potential signals each period: one exogenous and private and the other, prices, endogenous and public. Prices aggregate private information but include aggregate noise. Information can accumulate over time both through endogenous and exogenous signals. With a constant fundamental, the precision of both private and public cumulative information increases over time but agents put progressively more weight on the endogenous signals, asymptotically disregarding private ones. If the fundamental is time-varying, the use of past private signals complicates the role of prices as a source of information, since it introduces endogenous serial correlation in the price signal and cross-correlation between it and innovations in the fundamental. A modified version of the Kalman filter can still be used to extract information from prices and results show that the precision of the endogenous signals converges to a constant, with both private and public information used at all times.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00378-w","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50449477","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
Internal financing, managerial compensation and multiple tasks 内部融资、管理层薪酬和多重任务
IF 1
Annals of Finance Pub Date : 2020-10-30 DOI: 10.1007/s10436-020-00375-z
Sandro Brusco, Fausto Panunzi
{"title":"Internal financing, managerial compensation and multiple tasks","authors":"Sandro Brusco,&nbsp;Fausto Panunzi","doi":"10.1007/s10436-020-00375-z","DOIUrl":"10.1007/s10436-020-00375-z","url":null,"abstract":"<div><p>We study the optimal capital budgeting policy of a firm taking into account the choice between internal and external financing. The manager can dedicate effort either to increase short-term profitability, thus generating greater immediate cash-flow, or to improve long-term perspectives. When both types of effort are observable, low productivity firms end up using internal funds, while high productivity firms use external capital markets. When effort to boost short-term cash flow is observable, while effort to boost long-term profitability is not, non-monotonic policies may be optimal. In such cases financing switches back and forth between internal and external funds as the quality of the project increases.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00375-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44290378","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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