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The role of market efficiency on implied cost of capital estimates: an international perspective 市场效率对隐含资本成本估算的作用:国际视角
IF 1
Annals of Finance Pub Date : 2020-10-28 DOI: 10.1007/s10436-020-00374-0
David Schröder
{"title":"The role of market efficiency on implied cost of capital estimates: an international perspective","authors":"David Schröder","doi":"10.1007/s10436-020-00374-0","DOIUrl":"10.1007/s10436-020-00374-0","url":null,"abstract":"<div><p>This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of market efficiency. A key methodological contribution of this paper is to assess the quality of the ICC as estimate of expected returns by evaluating its forecast error for subsequent stock returns. The results show that the accuracy of the ICC as measure of expected stock returns is positively associated with the countries’ level of market efficiency.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00374-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43689808","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
Panel data modeling of bank deposits 银行存款的面板数据建模
IF 1
Annals of Finance Pub Date : 2020-10-06 DOI: 10.1007/s10436-020-00373-1
Sofia Costa, Marta Faias, Pedro Júdice, Pedro Mota
{"title":"Panel data modeling of bank deposits","authors":"Sofia Costa,&nbsp;Marta Faias,&nbsp;Pedro Júdice,&nbsp;Pedro Mota","doi":"10.1007/s10436-020-00373-1","DOIUrl":"10.1007/s10436-020-00373-1","url":null,"abstract":"<div><p>Studying the dynamics of deposits is important for three reasons: first, it serves as an important component of liquidity stress testing; second, it is crucial to asset-liability management exercises and the allocation between liquid and illiquid assets; third, it is the support for a Liquidity at Risk methodology. Current models are based on <span>(textit{AR}(1))</span> processes that often underestimate liquidity risk. Thus, a bank relying on those models may face failure in an event of crisis. We propose an alternative approach for modeling deposits, using panel data and a momentum term. The model enables the simulation of a variety of deposit trajectories, including episodes of financial distress, showing much higher drawdowns and realistic liquidity at risk estimates, as well as density plots that present a wide range of possible values, corresponding to booms and financial crises. Therefore, this methodology is more suitable for liquidity management at banks, as well as for conducting liquidity stress tests.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00373-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50457679","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
Development banking under weak institutions and imperfect credit markets 机构薄弱和信贷市场不完善下的发展银行
IF 1
Annals of Finance Pub Date : 2020-07-08 DOI: 10.1007/s10436-020-00372-2
Reynaldo Senra Hodelin
{"title":"Development banking under weak institutions and imperfect credit markets","authors":"Reynaldo Senra Hodelin","doi":"10.1007/s10436-020-00372-2","DOIUrl":"10.1007/s10436-020-00372-2","url":null,"abstract":"<div><p>Governments have created development banks in hopes of accelerating growth. Theoretical growth models that assess the pertinence of these banks are scarce and, none of them analyzes the implication of these banks under weak institutions and underdeveloped financial markets, which are two common problems in poor countries. This article studies the implications of subsidies to producers, a monopoly bank, or to a development bank, for the technology adoption and welfare in a Schumpeterian growth model in which creditors cannot completely eradicate moral hazard. I find that under these circumstances, the innovator will under-invest in research and, although subsidies contribute to a higher level of technology in the economy, they may harm the welfare of the working class. Subsidies to a development bank can be the most effective measure in terms of catching up with advanced economies, but this policy can be the most negative for the economic environment by diverting a large amount of resources from investment in research. Finally, this policy harms workers’ welfare when they finance the subsidy.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00372-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50462591","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
An evolutionary finance model with a risk-free asset 具有无风险资产的进化金融模型
IF 1
Annals of Finance Pub Date : 2020-06-24 DOI: 10.1007/s10436-020-00370-4
Sergei Belkov, Igor V. Evstigneev, Thorsten Hens
{"title":"An evolutionary finance model with a risk-free asset","authors":"Sergei Belkov,&nbsp;Igor V. Evstigneev,&nbsp;Thorsten Hens","doi":"10.1007/s10436-020-00370-4","DOIUrl":"10.1007/s10436-020-00370-4","url":null,"abstract":"<div><p>The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several “short-lived” risky assets (securities) are traded in discrete time. The risky securities live one period, yield random payoffs at the end of it, and then are re-born at the beginning of the next period. The main goal of the study is to identify investment strategies that make it possible for an investor to “survive” in the market selection process. It is shown that a strategy of this kind exists, is in a sense asymptotically unique and can be described by a simple explicit formula amenable for quantitative investment analysis.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00370-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50510569","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
The price leadership share: a new measure of price discovery in financial markets 价格领先份额：衡量金融市场价格发现的新指标
IF 1
Annals of Finance Pub Date : 2020-06-19 DOI: 10.1007/s10436-020-00371-3
Riccardo De Blasis
{"title":"The price leadership share: a new measure of price discovery in financial markets","authors":"Riccardo De Blasis","doi":"10.1007/s10436-020-00371-3","DOIUrl":"10.1007/s10436-020-00371-3","url":null,"abstract":"<div><p>We propose a new measure to establish price leadership among multiple related price series using a multivariate Markov chain model. This new measure, the price leadership share (PLS), can easily be calculated when price series are related but not fully cointegrated (e.g. there is a fractional cointegration and the unit root test fails) and with more than two price series simultaneously, offering advantages over the existing price discovery measures. In addition, we propose a price leadership concentration index to help the comparative analysis. The measure is tested on six gold contracts, including spot, futures, and ETF, with a global coverage over a 2-year period. Results show that gold futures contracts, mainly the US contract (CME futures), have a major role in the price discovery function confirming the previous literature’s findings. Overall, the PLS measure overcomes the limits of other existing price discovery measures.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00371-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50496382","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: 12
Two price economic equilibria and financial market bid/ask prices 两种价格经济均衡与金融市场买卖价格
IF 1
Annals of Finance Pub Date : 2020-06-18 DOI: 10.2139/ssrn.3633351
R. Elliott, D. Madan, T. Siu
{"title":"Two price economic equilibria and financial market bid/ask prices","authors":"R. Elliott, D. Madan, T. Siu","doi":"10.2139/ssrn.3633351","DOIUrl":"https://doi.org/10.2139/ssrn.3633351","url":null,"abstract":"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.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47493307","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
Bank default indicators with volatility clustering 具有波动性聚类的银行违约指标
IF 1
Annals of Finance Pub Date : 2020-06-18 DOI: 10.1007/s10436-020-00369-x
Turalay Kenc, Emrah Ismail Cevik, Sel Dibooglu
{"title":"Bank default indicators with volatility clustering","authors":"Turalay Kenc,&nbsp;Emrah Ismail Cevik,&nbsp;Sel Dibooglu","doi":"10.1007/s10436-020-00369-x","DOIUrl":"10.1007/s10436-020-00369-x","url":null,"abstract":"<div><p>We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we adapted a GARCH option pricing model which extends the seminal structural approach of default by Merton (J Finance 29(2):449, 1974) and calculated “distance to default” indicators that respond to heightened market developments. With its richer volatility dynamics, our results better reflect higher expected default probabilities precipitated by the GFC. The diagnostics show that the model generally outperforms standard models of default and offers relatively good indicators in assessing bank failures.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00369-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50493369","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
Bank default indicators with volatility clustering 具有波动性聚类的银行违约指标
IF 1
Annals of Finance Pub Date : 2020-06-18 DOI: 10.1007/s10436-020-00369-x
T. Kenc, E. Çevik, S. Dibooğlu
{"title":"Bank default indicators with volatility clustering","authors":"T. Kenc, E. Çevik, S. Dibooğlu","doi":"10.1007/s10436-020-00369-x","DOIUrl":"https://doi.org/10.1007/s10436-020-00369-x","url":null,"abstract":"","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00369-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52108575","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
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models 制度转换跳跃扩散和随机波动模型下的有效亚洲期权定价
IF 1
Annals of Finance Pub Date : 2020-06-04 DOI: 10.1007/s10436-020-00366-0
J. Lars Kirkby, Duy Nguyen
{"title":"Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models","authors":"J. Lars Kirkby,&nbsp;Duy Nguyen","doi":"10.1007/s10436-020-00366-0","DOIUrl":"10.1007/s10436-020-00366-0","url":null,"abstract":"<div><p>Utilizing frame duality and a FFT-based implementation of density projection we develop a novel and efficient transform method to price Asian options for very general asset dynamics, including regime switching Lévy processes and other jump diffusions as well as stochastic volatility models with jumps. The method combines continuous-time Markov chain approximation, with Fourier pricing techniques. In particular, our method encompasses Heston, Hull-White, Stein-Stein, 3/2 model as well as recently proposed Jacobi, <span>(alpha )</span>-Hypergeometric, and 4/2 models, for virtually any type of jump amplitude distribution in the return process. This framework thus provides a ‘<i>unified</i>’ approach to pricing Asian options in stochastic jump diffusion models and is readily extended to alternative exotic contracts. We also derive a characteristic function recursion by generalizing the Carverhill-Clewlow factorization which enables the application of transform methods in general. Numerical results are provided to illustrate the effectiveness of the method. Various extensions of this method have since been developed, including the pricing of barrier, American, and realized variance derivatives.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00366-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45446809","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: 15
Forecasting volatility in bitcoin market 预测比特币市场的波动
IF 1
Annals of Finance Pub Date : 2020-06-03 DOI: 10.1007/s10436-020-00368-y
Mawuli Segnon, Stelios Bekiros
{"title":"Forecasting volatility in bitcoin market","authors":"Mawuli Segnon,&nbsp;Stelios Bekiros","doi":"10.1007/s10436-020-00368-y","DOIUrl":"10.1007/s10436-020-00368-y","url":null,"abstract":"<div><p>In this paper, we revisit the stylized facts of bitcoin markets and propose various approaches for modeling the dynamics governing the mean and variance processes. We first provide the statistical properties of our proposed models and study in detail their forecasting performance and adequacy by means of point and density forecasts. We adopt two loss functions and the model confidence set test to evaluate the predictive ability of the models and the likelihood ratio test to assess their adequacy. Our results confirm that bitcoin markets are characterized by <i>regime shifting</i>, <i>long memory</i> and <i>multifractality</i>. We find that the Markov switching multifractal and FIGARCH models outperform other GARCH-type models in forecasting bitcoin returns volatility. Furthermore, combined forecasts improve upon forecasts from individual models.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00368-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50445549","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
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