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Stochastic durations, the convexity effect, and the impact of interest rate changes 随机存续期，凸性效应，利率变化的影响
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2014-11-02 DOI: 10.1080/1351847X.2013.791631
José Soares da Fonseca
{"title":"Stochastic durations, the convexity effect, and the impact of interest rate changes","authors":"José Soares da Fonseca","doi":"10.1080/1351847X.2013.791631","DOIUrl":"https://doi.org/10.1080/1351847X.2013.791631","url":null,"abstract":"This article shows that the equilibrium models of bond pricing do not preclude arbitrage opportunities caused by convexity. Consequently, stochastic durations derived from these models are limited in their ability to act as interest rate risk measures. The research of the present article makes use of an intertemporal utility maximization framework to determine the conditions under which duration is an adequate interest rate risk measure. Additionally, we show that zero coupon bonds satisfy those equilibrium conditions, whereas coupon bonds or bond portfolios do not as a result of the convexity effect. The results are supported by empirical evidence, which confirms the influence of convexity on the deviation of coupon bond returns from equilibrium.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2014-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847X.2013.791631","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59716634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Football championships and jersey sponsors’ stock prices: an empirical investigation 足球锦标赛与球衣赞助商股票价格的实证研究
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2013-04-25 DOI: 10.1080/1351847X.2012.659268
M. Hanke, Michael Kirchler
{"title":"Football championships and jersey sponsors’ stock prices: an empirical investigation","authors":"M. Hanke, Michael Kirchler","doi":"10.1080/1351847X.2012.659268","DOIUrl":"https://doi.org/10.1080/1351847X.2012.659268","url":null,"abstract":"Corporate sports sponsorship is an important part of many companies’ corporate communication strategy. In this paper, we take the example of major football tournaments to show that sponsorship indeed affects the sponsor's (stock) market value. We find a statistically significant impact of football results (at an individual match level) of the seven most important football nations at European and World Championships on the stock prices of jersey sponsors. In general, the more important a match and the less expected its result, the higher its impact. In addition, we find a form of ‘mere-exposure’ effect which is difficult to reconcile with the efficient markets hypothesis.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2013-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847X.2012.659268","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59716521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 63
Implied Cost of Capital Based Investment Strategies - Evidence from International Stock Markets 基于资本的隐含成本投资策略——来自国际股票市场的证据
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2013-04-01 DOI: 10.2139/ssrn.966248
Florian Esterer, David Schröder
{"title":"Implied Cost of Capital Based Investment Strategies - Evidence from International Stock Markets","authors":"Florian Esterer, David Schröder","doi":"10.2139/ssrn.966248","DOIUrl":"https://doi.org/10.2139/ssrn.966248","url":null,"abstract":"Investors can generate excess returns by implementing trading strategies based on publicly available equity analyst forecasts. This paper captures the information provided by analysts by the implied cost of capital (ICC), the internal rate of return that equates a firm’s share price to the present value of analysts’ earnings forecasts. We find that U.S. stocks with a high ICC outperform low ICC stocks on average by 6.0 % per year. This spread is significant when controlling the investment returns for their risk exposure as proxied by standard pricing models. Further analysis across the world’s largest equity markets validates these results. Copyright Springer-Verlag Berlin Heidelberg 2014","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89100585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
A macroprudential approach to address liquidity risk with the loan-to-deposit ratio 运用宏观审慎的方法，通过存贷比来应对流动性风险
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2013-03-05 DOI: 10.1080/1351847X.2014.983137
Jan Willem van den End
{"title":"A macroprudential approach to address liquidity risk with the loan-to-deposit ratio","authors":"Jan Willem van den End","doi":"10.1080/1351847X.2014.983137","DOIUrl":"https://doi.org/10.1080/1351847X.2014.983137","url":null,"abstract":"This paper maps the empirical features of the loan-to-deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We examine the LTD trends and cycles of 11 euro area countries by filtering methods and analyse the interaction between loans and deposits. We propose macroprudential policy to prevent an unsustainable level of the LTD ratio and policy measures to counter destabilizing cyclical developments.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2013-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1351847X.2014.983137","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59716652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 61
The Liquidity Impact of Open Market Share Repurchases 公开市场股票回购对流动性的影响
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2013-02-25 DOI: 10.2139/ssrn.493044
Jonas Råsbrant, Adri De Ridder
{"title":"The Liquidity Impact of Open Market Share Repurchases","authors":"Jonas Råsbrant, Adri De Ridder","doi":"10.2139/ssrn.493044","DOIUrl":"https://doi.org/10.2139/ssrn.493044","url":null,"abstract":"We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant decrease of the bid-ask spread on repurchase days relative to surrounding non-repurchase days. However, repurchases executed as block trades outside the order driven trading system have a detrimental effect on the bid-ask spread, consistent with a negative response to the presence of informed managerial trading.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2013-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84496294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The CARMA Interest Rate Model CARMA利率模型
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2012-12-20 DOI: 10.2139/ssrn.1138632
Arne Andresen, F. Benth, Steen Koekebakker, Valeriy Zakamulin
{"title":"The CARMA Interest Rate Model","authors":"Arne Andresen, F. Benth, Steen Koekebakker, Valeriy Zakamulin","doi":"10.2139/ssrn.1138632","DOIUrl":"https://doi.org/10.2139/ssrn.1138632","url":null,"abstract":"In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2012-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88797025","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 37
Same as it Ever Was? Europe's National Borders and the Market for Corporate Control 和以前一样吗?欧洲的国界与企业控制市场
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2012-11-12 DOI: 10.2139/ssrn.1478862
M. Umber, Michael H. Grote, Rainer Frey
{"title":"Same as it Ever Was? Europe's National Borders and the Market for Corporate Control","authors":"M. Umber, Michael H. Grote, Rainer Frey","doi":"10.2139/ssrn.1478862","DOIUrl":"https://doi.org/10.2139/ssrn.1478862","url":null,"abstract":"National borders continue to be strong barriers for mergers and acquisitions in Europe. Using regional data, we construct a gravity model and find that the restraining impact of national borders decreased by more than 17 percent between 1991 and 2007. However, no significant change has occurred since the mid-1990s (i.e., four years before the introduction of the euro). In comparison, we run a corresponding analysis in the United States using the 10 federal regions as country equivalents. The resulting ‘quasi-border’ effect in the United States is weaker than that in the European Union. Yet its decline by 43 percent is much stronger in the same period. We conclude that European integration policy has had little effect on fostering M&A cross-border transactions.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2012-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73690580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Inflation Derivatives Under Inflation Target Regimes 通胀目标制下的通胀衍生品
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2012-04-26 DOI: 10.2139/ssrn.1232922
M. Avriel, Jens Hilscher, A. Raviv
{"title":"Inflation Derivatives Under Inflation Target Regimes","authors":"M. Avriel, Jens Hilscher, A. Raviv","doi":"10.2139/ssrn.1232922","DOIUrl":"https://doi.org/10.2139/ssrn.1232922","url":null,"abstract":"Inflation targeting -- the central bank practice of attempting to keep inflation levels within fixed bounds around a quantitative target -- has been adopted by more than twenty economies. Such practice has an important impact on the stochastic nature of inflation and, consequently, on the pricing of inflation derivatives. We develop a flexible model of inflation targeting in which the central bank's intervention to steer inflation towards the target depends on past deviations and the policymaker's ability or will to enforce the target. We use our model to price inflation derivatives and demonstrate the impact of inflation targeting on derivative pricing.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2012-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88175851","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models 不对称资本结构调整:来自动态面板阈值模型的新证据
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2012-03-17 DOI: 10.2139/ssrn.1444488
V. Dang, Minjoo Kim, Y. Shin
{"title":"Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models","authors":"V. Dang, Minjoo Kim, Y. Shin","doi":"10.2139/ssrn.1444488","DOIUrl":"https://doi.org/10.2139/ssrn.1444488","url":null,"abstract":"We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms’ adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as well as to properly test for the threshold effect. We consider several proxies for adjustment costs that affect the asymmetries in capital structure adjustments and find evidence that firms with large financing imbalance (or a deficit), large investment or low earnings volatility adjust faster than those with the opposite characteristics. Firms not only adjust at different rates but also seem to adjust toward heterogeneous leverage targets. Moreover, we document a consistent pattern that firms undertaking quick adjustment are over-levered with a financing deficit and rely heavily on equity issues to make such adjustment.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2012-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81785867","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 78
Latency, Liquidity and Price Discovery 延迟、流动性和价格发现
IF 2.5 3区 经济学
European Journal of Finance Pub Date : 2011-11-22 DOI: 10.2139/ssrn.1247482
Ryan Riordan, Andreas Storkenmaier
{"title":"Latency, Liquidity and Price Discovery","authors":"Ryan Riordan, Andreas Storkenmaier","doi":"10.2139/ssrn.1247482","DOIUrl":"https://doi.org/10.2139/ssrn.1247482","url":null,"abstract":"The speed of trading is an important factor in modern security markets. We still know relatively little about the e ffect of speed on liquidity and price discovery, two important aspects of market quality. On April 23rd, 2007, Deutsche Boerse made the most important upgrade to their trading system since 2002. With the 8.0 release of Xetra, system latency was reduced from 50 ms to 10 ms. Both quoted and eff ective spreads decreases post upgrade. This increase in liquidity, is due to dramatically lower adverse selection costs that are only partially translated into higher liquidity. We interpret this as a decrease in the competition between liquidity suppliers who are able to increase their revenues by more than 185 million Euros. The contribution of quotes to price discovery doubles to 90% post upgrade, indicating that prices are more effcient.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2011-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83780653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","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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