共查询到20条相似文献,搜索用时 718 毫秒
1.
Marc-Gregor Czaja Hendrik Scholz Marco Wilkens 《Review of Quantitative Finance and Accounting》2009,33(1):1-26
We investigate here the sensitivity of the equity values of a large sample of German financial institutions to movements in
the term structure of interest rates. While similar approaches rely on a single interest rate factor only, we quantify the
exposure to changes in level, slope, and curvature, which are the driving factors of term structure changes. Our main findings
are: (i) banks and insurances are exposed to level and curvature changes but only marginally to slope movements; (ii) the
interest rate risk exposure depends on the banking sector investigated; (iii) level and curvature changes are priced in the
cross-section of stock returns.
相似文献
Marco WilkensEmail: |
2.
Sema Bayraktar 《Review of Quantitative Finance and Accounting》2009,32(2):169-195
This article derives international equity pricing relations by taking into account inflationary exchange risk under various
forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed
under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors
are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant
of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.
相似文献
Sema BayraktarEmail: |
3.
A recent trend in the German asset-backed securities (ABS) market is the securitization of subordinated loans and profit participation agreements (PPAs) granted to medium-sized
enterprises (MEs). This paper provides an overview of this growing market and analyzes the benefits of such transactions for
portfolio companies as well as for originators and potential investors. Simulations of 10 recent transactions indicate that
despite the relatively low interest rates charged on obligors, originators and investors can earn attractive returns at fairly
low risk. In particula, the junior tranches of these securitizations exhibit quite attractive risk-return profiles.
相似文献
Julia Hein (Corresponding author)Email: |
4.
Marat V. Kramin Saikat Nandi Alexander L. Shulman 《Review of Quantitative Finance and Accounting》2008,31(4):359-378
This article presents a numerically efficient approach for constructing an interest rate lattice for multi-state variable
multi-factor term structure models in the Makovian HJM [Econometrica 70 (1992) 77] framework based on Monte Carlo simulation and an advanced extension to the Markov Chain Approximation technique. The
proposed method is a mix of Monte Carlo and lattice-based methods and combines the best from both of them. It provides significant
computational advantages and flexibility with respect to many existing multi-factor model implementations for interest rates
derivatives valuation and hedging in the HJM framework.
相似文献
Alexander L. ShulmanEmail: |
5.
The Dynamic Impact of Macro Shocks on Insurance Premiums 总被引:1,自引:0,他引:1
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
相似文献
Ying Sophie HuangEmail: |
6.
Sophocles N. Brissimis Thomas Vlassopoulos 《The Journal of Real Estate Finance and Economics》2009,39(2):146-164
Although the close empirical relationship between the evolution of mortgage lending and housing prices is well established
in the literature, the direction of causation is less clear from a theoretical standpoint. We apply multivariate cointegration
techniques in order to address this issue empirically for the Greek economy. Our results, based on a cointegration relationship
that we identify as a mortgage loan demand equation, indicate that housing prices do not adjust to disequilibria in the market
for housing loans. This suggests that in the long run the causation does not run from mortgage lending to housing prices.
In the short run we find evidence of a contemporaneous bi-directional dependence.
相似文献
Thomas VlassopoulosEmail: |
7.
Ren-Raw Chen Hsien-Hsing Liao Tyler T. Yang 《The Journal of Real Estate Finance and Economics》2008,36(1):121-140
Due to the complex prepayment behavior, mortgage contracts and their derivatives are generally priced using Monte Carlo simulations.
The typical approach used by the industry, which involves simulating interest rates under the risk-neutral measure and applying a physically measured prepayment function, is subject to the problem of internal inconsistency. This is the first paper that directly investigates
the potential impact of this issue. Following the general equilibrium setting by Cox, Ingersoll and Ross, we incorporate the
market risk price parameter to derive the physical interest rate process from an observed yield curve. This allows us to model
mortgage values under the consistent physical measures of interest rates and prepayment functions. By analyzing a default-free
Ginnie Mae MBS, we find that the mixed measures lead to slower prepayment rate estimates and overpriced mortgage securities
by approximately 5%. Further, there can be substantial biases in the duration and convexity measures depending on market condition
and the particular security of interest. The internal inconsistency also leads to biased predictions of both expected and
stressed returns for different investment horizons. Depending on the particular security, the bias in expected and stressed
returns can be either positive or negative. These biases in risk estimates can introduce misallocation of risk-based capital
and/or failure in hedging the market risk of a mortgage-related portfolio.
相似文献
Tyler T. YangEmail: |
8.
The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans 总被引:1,自引:0,他引:1
Stefano Caselli Stefano Gatti Francesca Querci 《Journal of Financial Services Research》2008,34(1):1-34
We verify the existence of a relation between loss given default rate (LGDR) and macroeconomic conditions by examining 11,649
bank loans concerning the Italian market. Using both the univariate and multivariate analyses, we pinpoint diverse macroeconomic
explanatory variables for LGDR on loans to households and SMEs. For households, LGDR is more sensitive to the default-to-loan
ratio, the unemployment rate, and household consumption. For SMEs, LGDR is influenced by the total number of employed people
and the GDP growth rate. These findings corroborate the Basel Committee’s provision that LGDR quantification process must
identify distinct downturn conditions for each supervisory asset class.
相似文献
Francesca Querci (Corresponding author)Email: |
9.
We find no evidence of accrual mispricing for firms that disclose accrual information at earnings announcements. For these
firms, the market differentiates the discretionary from the nondiscretionary components of the earnings surprise. In contrast,
the market fails to distinguish between the discretionary and the nondiscretionary components of the earnings surprise for
firms that do not disclose accrual information at earnings announcements. These firms experience some stock price correction
around the filing date. However, the correction is only partial, resulting in a post-filing drift.
相似文献
Henock LouisEmail: |
10.
We advance the real-option-based empirical analysis of commercial real estate investment in three respects. First, we test
several real option implications for real estate construction that have not been examined in the commercial real estate investment
literature. In particular and in line with the predictions of real option models, we show that the effects of real interest
rate and the expected demand growth on hurdle rent become more negative when the market volatility is greater. Second, we
use a cointegrating vector of office employment and office stock to provide a better control of the demand for new construction
than traditional indicators based on real estate prices and vacancy rates. Third, whereas the existing studies focus on the
U.S. commercial real estate markets, we study two major office markets in Asia, namely Singapore and Hong Kong. We rely on
the local stock market in the two city states to derive forward-looking measures of office demand growth expectations.
相似文献
Maarten Jennen (Corresponding author)Email: |
11.
Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic
expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks,
on average. We determine that sector-based ETFs have an abnormally large short interest level, whereas international ETFs
have an unusually small short interest level. The level of short interest is larger for ETFs that have a higher trading volume
and a lower market capitalization, regardless of the type of ETF assessed. The level of short interest is lower for ETFs representing
indexes that have tradable derivatives, but higher for international ETFs representing indexes that have tradable derivatives.
We also determine that the level of short interest in an ETF serves as an effective signal of bearish sentiment when considering
all ETFs, but is not an effective signal when isolating any particular type of ETF.
相似文献
Jeff MaduraEmail: |
12.
We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the US findings
of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and US markets that could impact on merger motives.
Compared with the US, New Zealand is a small capital market; with weak takeover regulation and a prolonged aftermath of the
1987 stock market crash. Consistent with US research, we find evidence of synergy and hubris motivations in New Zealand takeovers
although we find the synergy motivation is stronger. Contrary to expectations we find no evidence of agency motivated takeovers.
相似文献
Hamish D. AndersonEmail: |
13.
Jim Clayton David C. Ling Andy Naranjo 《The Journal of Real Estate Finance and Economics》2009,38(1):5-37
This paper investigates the role of fundamentals and investor sentiment in commercial real estate valuation. In real estate
markets, heterogeneous properties trade in illiquid, highly segmented and informationally inefficient local markets. Moreover,
the inability to short sell private real estate restricts the ability of sophisticated traders to enter the market and eliminate
mispricing. These characteristics would seem to render private real estate markets highly susceptible to sentiment-induced
mispricing. Using error correction models to carefully model potential lags in the adjustment process, this paper extends
previous work on cap rate dynamics by examining the extent to which fundamentals and investor sentiment help to explain the
time-series variation in national-level cap rates. We find evidence that investor sentiment impacts pricing, even after controlling
for changes in expected rental growth, equity risk premiums, T-bond yields, and lagged adjustments from long run equilibrium.
相似文献
Andy NaranjoEmail: |
14.
In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific
observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using
a dataset for 19 countries and over 500 real estate investment trusts, we find that, following a negative demand shock, the
“underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced.
相似文献
Susan WachterEmail: |
15.
Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers 总被引:1,自引:0,他引:1
Lok Sang Ho Yue Ma Donald R. Haurin 《The Journal of Real Estate Finance and Economics》2008,37(4):299-316
We argue that shocks to a housing market are transmitted through the hierarchy of quality tiers within a housing market. The
result is the prediction of waves of house price changes accompanied by changes in transaction volume. Our study is related
to existing models of spatial ripple effects across housing markets. The data are from the Hong Kong housing market. The findings
from Granger causality tests strongly support the argument that domino effects within a single housing market occur in response
to external shocks.
相似文献
Donald R. HaurinEmail: |
16.
Yalin Gündüz Torsten Lüdecke Marliese Uhrig-Homburg 《Journal of Financial Services Research》2007,32(3):141-159
Credit default swaps (CDSs) are among the most successful financial innovations of recent years, which is reflected in the
rapidly expanding market. CDS trading occurs in the over-the-counter market, which relies heavily on broker intermediation
to arrange trades. We provide empirical evidence that liquidity in the voice brokered market varies with the particulars of
the CDS contracts and that the differences in market structure is reflected in the costs of liquidity. Moreover, the brokered
and direct interdealer trading markets seem to be well integrated; thus the higher liquidity costs in the brokered market
may reflect the value of intermediation. Hybrid market structures, which combine voice brokerage with an electronic platform,
are discussed as a viable alternative to fully automated trading systems.
相似文献
Yalin GündüzEmail: |
17.
Ben R. Marshall Martin R. Young Rochester Cahan 《Review of Quantitative Finance and Accounting》2008,31(2):191-207
We show that candlestick charting, the oldest known form of technical analysis, is not profitable in the Japanese equity market
over the 1975–2004 period. Candlestick technical analysis, which was developed in Japan in the 1600s, is deeply intertwined
with Japanese culture and is very popular in Japan. However, there is no evidence candlestick technical trading strategies
add value in either the entire 30 year period, in three 10 year sub-periods or in bull or bear markets.
相似文献
Rochester CahanEmail: |
18.
Value relevance of value-at-risk disclosure 总被引:2,自引:2,他引:0
Chee Yeow Lim Patricia Mui-Siang Tan 《Review of Quantitative Finance and Accounting》2007,29(4):353-370
The SEC issued FRR No. 48 in 1997 to enhance public disclosure of firms’ exposures to market risk. We examine whether the
quantitative value-at-risk (VAR) estimates disclosed by 81 non-financial firms during the period 1997–2002 are value-relevant
using the earnings-returns relation. The empirical results indicate that high VAR is associated with weaker earnings-returns
relation. Further analysis shows that VAR is positively and significantly associated with future stock return volatility.
Our evidence suggests that investors perceive the earnings of firms with substantial market risk exposure to be less persistent,
and adjust the future abnormal earnings for the higher risk exposure. Thus, this results in a lower expected rate of return.
相似文献
Chee Yeow LimEmail: |
19.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |
20.
An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts 总被引:2,自引:2,他引:0
Nicholas Dopuch Chandra Seethamraju Weihong Xu 《Review of Quantitative Finance and Accounting》2008,31(2):147-166
Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar
results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts,
and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings
are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent
with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable
(i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.
相似文献
Weihong Xu (Corresponding author)Email: |