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1.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
2.
Shinhua Liu 《Journal of Financial Services Research》2008,34(1):77-91
Theories predict that launching index futures could affect the price informativeness for the underlying stocks. We test this
hypothesis by taking advantage of the introduction of the Nikkei 225 futures contracts in Singapore on September 3, 1986.
Employing two alternative statistical methods applied to both daily and weekly data, we find that, following the listing of
the index futures, returns become significantly more random and less predictable for the underlying stocks, even after controlling
for concurrent marketwide shifts. These findings suggest improved price informativeness for the underlying stocks, which is
further corroborated by their higher trading volume following the event.
相似文献
Shinhua LiuEmail: |
3.
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: |
4.
The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by
proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable
feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also
found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options
markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing
information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative
basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does.
Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance
of return on spot and futures.
相似文献
Kai-Li WangEmail: |
5.
Steven Shuye Wang Wei Li Louis T. W. Cheng 《Review of Quantitative Finance and Accounting》2009,32(3):235-267
We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces
additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying
stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities
for speculative and arbitrage activities using futures directly against options. These futures and options trading activities
are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility
and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity
of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings
are robust.
相似文献
Louis T. W. Cheng (Corresponding author)Email: |
6.
It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’
large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable
benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced
by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for
over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision
quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of
the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options
markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.
相似文献
John M. QuigleyEmail: |
7.
Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2009,39(1):74-91
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns.
The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns
are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices.
The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent
factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models.
Overall, the results are consistent with the notion that public markets are more efficient in processing information.
相似文献
Kevin C. H. ChiangEmail: |
8.
How do commodity futures respond to macroeconomic news? 总被引:1,自引:1,他引:0
Dieter Hess He Huang Alexandra Niessen 《Financial Markets and Portfolio Management》2008,22(2):127-146
This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures
indices. Based on a large sample from 1989 to 2005, we show that the daily price response of the CRB and GSCI commodity futures
indices to macroeconomic news is state-dependent. During recessions, news about higher (lower) inflation and real activity
lead to positive (negative) adjustments of commodity futures prices. In contrast, we find no significant reactions during
economic expansions. We attribute this asymmetric response to the state-dependent interpretation of macroeconomic news. Our
findings are robust to several alternative business cycle definitions.
相似文献
Alexandra Niessen (Corresponding author)Email: |
9.
Brent W. Ambrose Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(3):281-298
Previous research either assumes default free leases or leases subject to default risk using a structural approach. However,
structural credit risk models suffer from a common criticism that the firm’s asset value process is unobservable. We develop
a reduced form credit risk model for leases that avoids making assumptions regarding unobservable asset valuation processes.
Furthermore, we assume a correlated market and credit risk that provides us with a simple analytic formula for valuing defaultable
lease contracts. Numerical analysis reveals that tenant credit risk can have a substantial impact on the term structure of
leases. Finally, we use the model to demonstrate the implied lease term structure for a set of retail and financial firms
in the Fall of 2000.
相似文献
Yildiray YildirimEmail: |
10.
Is the January effect still alive in the futures markets? 总被引:1,自引:1,他引:0
The January effect concerns the fact that small capitalization stocks have historically outperformed large capitalized stocks
in January. We analyze evidence as to whether this anomaly can be exploited in the futures markets as a speculative investment
or to add risk-adjusted value to portfolio performance. We find that the January effect is still alive in the futures markets
on the Value Line minus S&P 500 spread trade, but that the marginal liquidity of the Value Line stock index futures contract
has made it very risky to exploit the effect. Historically from 1982/3 to 2004/5, the trade has been profitable. This anomaly
was also exploitable through a Russell 2000 minus S&P 500 spread trade from 1993/4 to 2004/5.
相似文献
William T. ZiembaEmail: |
11.
Jie Zhu 《Financial Markets and Portfolio Management》2009,23(3):243-269
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics
of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively.
The model is applied to 10 Asia-Pacific stock markets. Their in-mean effects on returns are tested. The empirical results
show that the persistent component is much more important for the volatility dynamic process than is the volatile component.
However, the volatile component is found to be a significant pricing factor of asset returns for most markets. A positive
or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly
priced for the return dynamic process.
相似文献
Jie ZhuEmail: |
12.
Michel Baroni Fabrice Barthélémy Mahdi Mokrane 《The Journal of Real Estate Finance and Economics》2008,37(3):233-264
Index-based derivatives markets are fast developing in Europe, the US and Asia. Both valuation based and transactions based
indices are used as bases for these derivatives contracts. This paper addresses the issue of revision effects on key index
parameters, and their implications for derivatives pricing and questions whether these indices may be suitable for derivatives.
More specifically, we address the issue of the robustness of the price level, mean, and volatility estimates for two repeat
sales real estate price indices: the classical Weighted Repeat Sales (WRS) method and a Principal Component Analysis (PCA)
factorial method, as elaborated in Baroni et al. (J Real Estate Res, 29(2):137–158, 2007). Our work is an extension of Clapham
et al. (Real Estate Econ, 34(2):275–302, 2006), with the aim of helping judge the efficiency of such indices in designing
real estate derivatives. We use an extensive repeat sales database for the Paris (France) residential market. We describe
the dataset used and compute the parameters (index price level, trend and volatility) of the indices produced over the period
1982–2005. We then test the sensitivity of these two indices to revisions due to additional repeat-sales transactions information.
Our analysis is conducted on the overall Paris market as well as on sub-markets. Our main conclusion is that even if the revision
problem may cause substantial concern for the stability of key parameters that are used as inputs in the pricing of derivatives
contracts, the order of magnitude of revision on derivatives pricing is not sufficient to deter market participants when it
comes to products such a swap contract or insurance contracts against severe losses. We also show that WRS and PCA react differently
to revision. The impact of index revision is non negligible in estimating the index price level for both indices. This result
is consistent with existing literature for the US and Swedish markets. Price level revision causes moderate concern when trading
products such as index futures or price insurance contracts, but could deter option like products. We show that managing this
price level revision risk is similar to delta hedging in standard option pricing theory. We also find that although revision
impact on index trend can be important, the WRS method seems more robust than PCA. However, the trend revision impact order
of magnitude for contracts such as total return swaps is low. Finally, revision influence on volatility estimates seems to
have a modest impact on derivatives, and according to the robustness of the volatility estimate, the PCA factorial index seems
to fare relatively better than the WRS index. Hence, our findings show that the factorial index could better sustain volatility
based derivatives. We also show that whatever the index, managing this volatility revision risk is similar to vega hedging
in option pricing theory.
相似文献
Mahdi MokraneEmail: |
13.
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: |
14.
Andros Gregoriou Christos Ioannidis Sugata Ghosh 《Financial Markets and Portfolio Management》2009,23(3):271-283
In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10
international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM)
model proposed by Campbell and Shiller (Rev. Financ. Stud. 1:195–228, 1988) to incorporate time varying proportional transaction costs. We rigorously address both the cross-country heterogeneity in
the estimated model and endogeneity. We find strong evidence that suggests transaction costs should be included as an additional
explanatory variable in the CCAPM. This leads to the conclusion that transaction costs should be included in asset pricing
models as their stochastic process impacts directly on private consumption expenditure.
相似文献
Andros GregoriouEmail: |
15.
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: |
16.
Durables like cars or houses are a substantial component in the balance sheets of households. These durables are exposed to
risk and can be insured in the market. We build a dynamic model in which agents have three possibilities to cope with the
risk exposure of the durable stock: (i) purchase of market insurance, (ii) buffer-stock saving of the riskless asset or (iii)
adjustment of the durable stock. We calibrate our model to the US economy and find a small role for market insurance.
相似文献
Winfried Koeniger (Corresponding author)Email: |
17.
This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration
methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have
lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer
assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships,
while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical
results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets.
Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization.
However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification
potential, especially in the framework of tactical asset allocation.
相似文献
Dieter G. KaiserEmail: |
18.
Shai Levi 《Review of Accounting Studies》2008,13(1):1-21
This study investigates firms’ decisions to disclose accruals information in earnings press releases versus to provide it
only in 10-Q filings and the impact of this disclosure on the pricing of accruals. I find that firms disclose accruals in
their press releases when earnings alone are a weak indication of cash flow performance and that following these disclosures
the accruals information is fully impounded into stock prices. The evidence suggests that when investor demand for accruals
is likely to exist and firms disclose the information in earnings press releases, the mispricing typically associated with
accruals is mitigated.
相似文献
Shai LeviEmail: |
19.
Ernst Konrad 《Financial Markets and Portfolio Management》2009,23(2):111-135
This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility of German
stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy surprises in
the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These findings are
robust for other Euro zone stock markets, but not significant for other Euro zone bond markets. The empirical evidence also
suggests that monetary policy surprises have larger effects on German stock return volatility in bear markets than in bull
phases. Moreover, our results support the claim that stock return volatility can be negatively correlated with stock returns,
contradicting predictions made by many asset pricing models (e.g., CAPM or ICAPM) and the empirical finding of an insignificant
relationship often reported in the literature.
相似文献
Ernst KonradEmail: |
20.
Pricing Structure in Tokyo Metropolitan Land Markets and its Structural Changes: Pre-bubble,Bubble, and Post-bubble Periods 总被引:1,自引:0,他引:1
Chihiro Shimizu Kiyohiko G. Nishimura 《The Journal of Real Estate Finance and Economics》2007,35(4):475-496
In this paper, we estimate hedonic price equations of Japanese commercial and residential land prices for a 25-year period
and to investigate possible structural changes in these price equations. Our price equations are based on transaction prices,
not appraised land values, of commercial land in Central Business Districts of Tokyo (Chiyoda Ward, Chuo Ward, and Minato
Ward), and residential land of its suburb (Setagaya Ward). We find that price structure differs substantially among locations,
reflecting differences in supplier pricing and end-user preferences. We also find significant structural changes in price
structure, identifying pre-bubble, bubble and post-bubble periods.
相似文献
Chihiro ShimizuEmail: |