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1.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |
2.
Traditional executive stock options are often criticized for inherently weak links between pay and performance. Hurdle rate
executive stock options represent a viable improvement. However, valuing these options presents extraordinary analytic difficulties.
With a constant dividend yield the strike price becomes a path-dependent function of the stock price and exact analytic valuation
is intractable. To solve this problem, we apply the Monte Carlo valuation approach developed by Longstaff and Schwartz (Rev
Financ Stud 4:113–147, 2001) to estimate the value of path-dependent American options. We also extend the methodology to incorporate
the theoretical framework by Ingersoll (J Bus 79:453–487, 2006) to permit subjective valuation influenced by an executive’s
risk aversion.
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Charles Corrado (Corresponding author)Email: |
3.
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: |
4.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
5.
Cheng-few Lee Keshab Shrestha Robert L. Welch 《Review of Quantitative Finance and Accounting》2007,28(2):163-185
In this paper, we derive an equilibrium relationship between the yields on Eurodollar and Treasury bills based on equivalent martingale results derived by Harrison and Kreps (1979) and Harrison and Pliska (1981, 1983) as well as the corporate debt pricing model developed by Merton (1974). The derived equilibrium relationship incorporates the models used by Booth and Tse (1995) and Shrestha and Welch (2001) as special cases. The equilibrium relationship indicates that the conditional volatility of the yield on Eurodollars explains the variation in the TED spread.
We empirically test the equilibrium relationship using a GARCH-M model and the concept of fractional cointegration. We use
both the ex ante data implied by the respective futures contracts as well as the ex post spot data with daily, weekly and monthly frequencies. We find empirical support for the Equilibrium relationship.
相似文献
Robert L. WelchEmail: |
6.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
7.
We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
相似文献
Jonathan FletcherEmail: |
8.
Derek K. Oler 《Review of Accounting Studies》2008,13(4):479-511
This paper investigates whether an acquirer’s pre-announcement cash level can predict post-acquisition returns. Harford (1999, Journal of Finance, 54, 1969–1997) shows that some cash-rich acquirers have lower announcement period returns than other acquirers, suggesting the
market partially anticipates poor future performance. This paper shows that the acquirer’s cash level is also strongly and
negatively predictive of post-acquisition returns, indicating that the announcement response is incomplete. Post-acquisition
return on net operating assets (RNOA) is significantly decreasing in acquirer cash, suggesting that the market responds to
subsequent poor operating performance as it is reported. Overall, these results are consistent with the market’s inattention
to a less prominent accounting signal (acquirer cash) but attentiveness to a more prominent accounting signal (RNOA), as proposed
by Hirshleifer and Teoh (2003, Journal of Accounting Economics, 36, 337–386).
相似文献
Derek K. OlerEmail: |
9.
In a framework where no uncertainty arises, Arnott (J Publ Econ Theor 7:27–50, 2005) investigates a neutral property taxation policy that will not affect a landowner’s choices of capital intensity and timing
of development. We investigate the same issue, but allow rents on structures to be stochastic over time. We assume that a
regulator implements taxation on capital, vacant land, and post-development property so as to expropriate a certain ratio
of pre-tax site value as well as to achieve neutrality. We find that the optimal taxation policy is to tax capital and subsidize
properties before and after development. We also investigate how this optimal policy changes in response to changes in several
exogenous forces related to demand and supply conditions of the real estate market.
相似文献
Tan Lee (Corresponding author)Email: |
10.
M. Deetz T. Poddig I. Sidorovitch A. Varmaz 《Financial Markets and Portfolio Management》2009,23(3):285-313
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models
to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional
multi-factor models outperform strategies based on unconditional multi-factor models, and do better than a passive buy-and-hold
strategy. However, a strategy that uses the sample mean as a return forecast is superior. We also find that the estimation
of the covariance matrices based on the conditional and unconditional multi-factor models does not improve the performance
of the active asset allocation strategy relative to the incorporation of the historical covariance matrices. These results
are fairly robust to different estimation approaches, as well as to the impact of transaction costs and the consideration
of upper and lower bounds for the portfolio weights.
相似文献
M. DeetzEmail: |
11.
The contextual nature of the predictive power of statistically-based quarterly earnings models 总被引:2,自引:2,他引:0
We present new empirical evidence on the contextual nature of the predictive power of five statistically-based quarterly earnings
expectation models evaluated on a holdout period spanning the twelve quarters from 2000–2002. In marked contrast to extant
time-series work, the random walk with drift (RWD) model provides significantly more accurate pooled, one-step-ahead quarterly
earnings predictions for a sample of high-technology firms (n = 202). In similar predictive comparisons, the Griffin-Watts (GW) ARIMA model provides significantly more accurate quarterly
earnings predictions for a sample of regulated firms (n = 218). Finally, the RWD and GW ARIMA models jointly dominate the other expectation models (i.e., seasonal random walk with
drift, the Brown-Rozeff (BR) and Foster (F) ARIMA models) for a default sample of firms (n = 796). We provide supplementary analyses that document the: (1) increased frequency of the number of loss quarters experienced
by our sample firms in the holdout period (2000–2002) vis-à-vis the identification period (1990–1999); (2) reduced levels
of earnings persistence for our sample firms relative to earnings persistence factors computed by Baginski et al. (2003) during earlier time periods (1970s–1980s); (3) relative impact on the predictive ability of the five expectation models
conditioned upon the extent of analyst coverage of sample firms (i.e., no coverage, moderate coverage, and extensive coverage);
and (4) sensitivity of predictive performance across subsets of regulated firms with the BR ARIMA model providing the most
accurate predictions for utilities (n = 87) while the RWD model is superior for financial institutions (n = 131).
相似文献
Kenneth S. Lorek (Corresponding author)Email: |
G. Lee WillingerEmail: |
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.
Ronald C. Rutherford Thomas M. Springer Abdullah Yavas 《The Journal of Real Estate Finance and Economics》2007,35(1):23-38
Previous research (Rutherford et al. 2005; Levitt and Syverson 2005) identify and quantify agency problems in the brokerage of single-family houses. Real estate agents are found to receive
a premium when selling their own houses in comparison to similar client-owned houses. Given the homogeneity of the condominium
market in comparison to the single-family house market, we use a large sample of condominium transactions to examine if agency
problems exist in the condominium market. Controlling for sample selection and endogeneity bias of the data, we find evidence
for a similar price premium for agent-owned condominiums. In contrast to the results for single-family houses in the same
geographic market, we find that agent-owned condominiums must stay on the market longer to receive a higher price.
相似文献
Abdullah YavasEmail: |
14.
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: |
15.
Bernd Scherer 《Financial Markets and Portfolio Management》2009,23(3):315-327
The current vast account surpluses of commodity-rich nations, combined with record account deficits in developed markets (the
United States, Britain) have created a new type of investor. Sovereign wealth funds (SWF) are instrumental in deciding how
these surpluses will be invested. We need to better understand the investment problem for an SWF in order to project future
investment flows. Extending Gintschel and Scherer (J. Asset Manag. 9(3):215–238, 2008), we apply the portfolio choice problem for a sovereign wealth fund in a Campbell and Viceira (Strategic Asset Allocation,
2002) strategic asset allocation framework. Changing the analysis from a one to a multi-period framework allows us to establish
a three-fund separation. We split the optimal portfolio for an SWF into speculative demand as well as hedge demand against
oil price shocks and shocks to the short-term risk-free rate. In addition, all terms now depend on the investor’s time horizon.
We show that oil-rich countries should hold bonds and that the optimal investment policy for an SWF as a long-term investor
is determined by long-run covariance matrices that differ from the correlation inputs that one-period (myopic) investors use.
相似文献
Bernd SchererEmail: |
16.
This article revisits the debate on the nature of private placements by specifying that informed insiders make trading decisions
in the secondary market and equity issuance decision in the primary equity market (Lee and Wu (2008)). This article uses conditional residuals from the insider trading regression (abnormal insider trades) and conditional
residuals from equity financing choice regression (unexpected equity financing choice) to measure private information. An
important advantage of conditional correlation coefficient approach over the two-stage approach (Lee and Wu 2008) in testing the presence of asymmetric information is that the former is bounded by −1 and 1 and thus permits cross-sectional
comparisons the relatedness between abnormal insider trades and unexpected equity financing choice.
相似文献
Lee Cheng-FewEmail: |
17.
Marcel Naujoks Kevin Aretz Alexander G. Kerl Andreas Walter 《Financial Markets and Portfolio Management》2009,23(1):3-29
We employ an innovative methodology suggested by Bernhardt et al. (J. Financ. Econ. 80:657–675, 2006) to examine the herding (or anti-herding) behavior of German analysts regarding earnings forecasts. This methodology avoids
well-known shortcomings often encountered in related studies, such as correlated information signals, unexpected common shocks
to earnings, systematic optimism or pessimism, or forecast target mismeasurement. Our findings suggest that German analysts
anti-herd, that is, they systematically issue earnings forecasts that are further away from the consensus forecast than their
private information indicates. Furthermore, we analyze the association between herding behavior and different characteristics,
including the size of the brokerage, general or firm-specific experience, and the coverage of firms on the Neuer Markt. We mainly confirm findings for the United States, for example, that anti-herding is more severe in cases of higher competition
among analysts. Contrary to anecdotal evidence, we also find anti-herding behavior in earnings forecasts for Neuer Markt firms during the “new economy” bubble.
相似文献
Andreas Walter (Corresponding author)Email: |
18.
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: |
19.
Annette Nguyen Robert Faff Philip Gharghori 《Review of Quantitative Finance and Accounting》2009,33(2):141-158
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fama and French (J Financ Econ 33:3–56, 1993) model’s ability to explain the cross sectional variation in equity returns is because the Fama–French factors are proxying
for risk associated with future GDP growth in the Australian equities market. To assess the validity of Vassalou’s findings,
we augment the CAPM and the Fama–French model with a GDP growth factor and run system regressions of the GDP-enhanced models
using the GMM approach. Our results suggest that news about future GDP growth is not priced in equity returns and that any
ability that SMB and HML exhibit in explaining equity returns is not because they contain information about future GDP growth.
相似文献
Philip Gharghori (Corresponding author)Email: |
20.
Firm diversification and earnings management: evidence from seasoned equity offerings 总被引:4,自引:3,他引:1
Chee Yeow Lim Tiong Yang Thong David K. Ding 《Review of Quantitative Finance and Accounting》2008,30(1):69-92
Popular press suggests that diversified firms are more aggressive in managing earnings than non-diversified firms. We examine
this claim in the seasoned equity offering (SEO) setting, where firms have been shown to have the incentive to manage earnings
upwards. Using the cross-sectional modified Jones [(1991) J Accounting Res 29:193–228] model to measure discretionary current accruals, we find that discretionary current accruals
are higher among diversified firms than in non-diversified ones. Our evidence is consistent with the view that the extent
of firm diversification is directly related to the degree of earnings management. We further show that diversified issuers
with high discretionary accruals underperformed other SEO firms.
相似文献
David K. DingEmail: |