The nonlinear price dynamics of U.S. equity ETFs

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in valuations, we report the impact of non-classical variables including price trend and volatility using data from 2008 to 2011. We find a cubic nonlinearity in the trend suggesting that traders are not only aware of the underreaction of others, but also self-optimize by anticipating others’ reactions, and sell when the uptrend is stronger than usual.     

CEO overconfidence and agency cost of debt: An empirical analysis of CEO turnover events

We develop a model and characterize the differences between the investment policies of a rational CEO and an overconfident CEO. In the presence of risky outstanding debt, we show that an overconfident CEO has the incentive to overinvest more than that of a rational CEO. However, this incentive is mitigated by the discipline imposed by outside investors when an overconfident CEO seeks external financing. In contrast, when the firm has sufficient internal funds to meet its investment needs and outstanding debt is relatively safer, the overconfident CEO has no necessity to seek external funds and the overinvestment incentive persists. We examine bondholders’ and stockholders’ reaction around CEO turnover announcements and find evidence consistent with the over investment hypothesis.     

刀具半径补偿指令在数控铣上的应用

文章通过对刀具半径补偿功能的分析，总结出刀具半径补偿功能要点，给编程和加工带来很大的方便。     

Pension Funding Constraints and Corporate Expenditures*

This paper examines the impact of a company's pension contributions (PCs) on its dividend and investment policies. The effects of shocks to cash flows on these corporate expenditures are identified by changes to pension funding regulations. Using a sample of DB pension schemes in FTSE350 UK‐listed firms we find a strong negative relation between PCs and corporate dividends even after controlling for the correlation between funding status and unobserved investment opportunities. We find that the more stringent funding requirements under the Pensions Act 2004 had a more pronounced effect on both dividend and investment sensitivities to PCs.     

Variance trading and market price of variance risk

This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The deviations from the optimal schedule can lead to surprisingly large hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and economically very large. The variance risk premium cannot be explained by the known risk factors and option returns.     

Political Influence and the Banking Sector: Evidence from Korea*

This paper uses panel data to compare the performance of Korean banks with and without effective government control of the appointment of chief operating officers. A privatization programme succeeded in spreading ownership of banks widely among the public, but government retention of an ownership stake in an institution meant de facto control by government. Despite charging lower loan rates, banks controlled by government experience higher bad loans ratios. This is in line with expectations of regulatory forbearance and government protection for recipients of political loans. Banks controlled by government are less efficient than privately controlled banks and bad loan variables are higher at banks with lower efficiency scores.     

Fat tails,VaR and subadditivity

Financial institutions rely heavily on Value-at-Risk (VaR) as a risk measure, even though it is not globally subadditive. First, we theoretically show that the VaR portfolio measure is subadditive in the relevant tail region if asset returns are multivariate regularly varying, thus allowing for dependent returns. Second, we note that VaR estimated from historical simulations may lead to violations of subadditivity. This upset of the theoretical VaR subadditivity in the tail arises because the coarseness of the empirical distribution can affect the apparent fatness of the tails. Finally, we document a dramatic reduction in the frequency of subadditivity violations, by using semi-parametric extreme value techniques for VaR estimation instead of historical simulations.     

ISLAMIC BANKING AND FINANCE: RECENT EMPIRICAL LITERATURE AND DIRECTIONS FOR FUTURE RESEARCH

This paper examines the recent empirical literature in Islamic banking and finance, highlights the main findings and provides a guide for future research. Early studies focus on the efficiency, production technology and general performance features of Islamic versus conventional banks, whereas more recent work looks at profit‐sharing and loss‐bearing behaviour, competition, risks as well as other dimensions such as small business lending and financial inclusion. Apart from key exceptions, the empirical literature suggests no major differences between Islamic and conventional banks in terms of their efficiency, competition and risk features (although small Islamic banks are found to be less risky than their conventional counterparts). There is some evidence that Islamic finance aids inclusion and financial sector development. Results from the empirical finance literature, dominated by studies that focus on the risk/return features of mutual funds, finds that Islamic funds perform as well, if not better, than conventional funds – there is little evidence that they perform worse than standard industry benchmarks.     

Strategy switching in the Japanese stock market

This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals.     

Market selection of constant proportions investment strategies in continuous time

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for constant proportions investment strategies. This study is the first step towards a theory of continuous-time asset pricing that combines concepts from mathematical finance and economics by drawing on evolutionary ideas.     

Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk

According to the classic no arbitrage theory of asset pricing, in a frictionless market a No Free Lunch dynamic price process associated with any essentially bounded asset is a martingale under an equivalent probability measure. However, real financial markets are not frictionless. We introduce an axiomatic approach of Time Consistent Pricing Procedure (TCPP), in a model free setting, to assign to every financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity) of the ask (resp. bid) price. We prove that the No Free Lunch condition for a TCPP is equivalent to the existence of an equivalent probability measure R that transforms a process between the bid price process and the ask price process of every financial instrument into a martingale. Furthermore we prove that the ask (resp. bid) price process associated with every financial instrument is then a R super-martingale (resp. R sub-martingale) which has a càdlàg version.     

Methods for multicountry studies of corporate governance: Evidence from the BRIKT countries

We discuss empirical challenges in multicountry studies of the effects of firm-level corporate governance on firm value, focusing on emerging markets. We assess the severe data, “construct validity”, and endogeneity issues in these studies, propose methods to respond to those issues, and apply those methods to a study of five major emerging markets—Brazil, India, Korea, Russia, and Turkey. We develop unique time-series datasets on governance in each country. We address construct validity by building country-specific indices which reflect local norms and institutions. These similar-but-not-identical indices predict firm market value in each country, and when pooled across countries, in firm fixed-effects (FE) and random-effects (RE) regressions. In contrast, a “common index”, which uses the same elements in each country, has no predictive power in FE regressions. For the country-specific and pooled indices, FE and RE coefficients on governance are generally lower than in pooled OLS regressions, and coefficients with extensive covariates are generally lower than with limited covariates. These results confirm the value of using FE or RE with extensive covariates to reduce omitted variable bias. We develop lower bounds on our estimates which reflect potential remaining omitted variable bias.     

G.652光纤通信系统改用G.655光纤进行通信的分析和实践

文章讨论了G.652和G.655光纤组合而成的光纤链路的定量分析方法,介绍G.652和G.655光纤标准的相关变动,并对G.652光纤通信系统改用G.655光纤进行通信的实践作了分析.     

电信级以太网保护策略

本文介绍了电信网的发展趋势及现阶段以太网的主要的两种保护技术手段（G.8031G.8032）,分析了其作用机制及保护特性,对原有的以太网保护技术进行了对比和总结。结合不同的业务需求和驱动,对电信级以太网技术在不同层面的网络应用进行了探讨。     

Recent and classical tests for exponentiality: a partial review with comparisons

A wide selection of classical and recent tests for exponentiality are discussed and compared. The classical procedures include the statistics of Kolmogorov-Smirnov and Cramér-von Mises, a statistic based on spacings, and a method involving the score function. Among the most recent approaches emphasized are methods based on the empirical Laplace transform and the empirical characteristic function, a method based on entropy as well as tests of the Kolmogorov-Smirnov and Cramér-von Mises type that utilize a characterization of exponentiality via the mean residual life function. We also propose a new goodness-of-fit test utilizing a novel characterization of the exponential distribution through its characteristic function. The finite-sample performance of the tests is investigated in an extensive simulation study.Received: January 2002/Revised: January 2004     

Options and efficiency in spaces of bounded claims

In a seminal contribution, Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options. Galvani (2009) extends this result to norm separable _Lp$L_p$-spaces, with 1≤p<∞$1\le p<\infty$. This study concludes that options maintain the same spanning power in the space of bounded payoffs topologized by the duality with the space of the state price densities. In particular, under mild assumptions on the probability space, options written on a claim that is a.s. equal to an injective function complete the market.     

Nonparametric estimation of conditional VaR and expected shortfall

This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local linear estimate of the conditional distribution function. The nonparametric estimator of conditional expected shortfall is constructed by a plugging-in method. Both the asymptotic normality and consistency of the proposed nonparametric estimators are established at both boundary and interior points for time series data. We show that the weighted double kernel local linear conditional distribution estimator has the advantages of always being a distribution, continuous, and differentiable, besides the good properties from both the double kernel local linear and weighted Nadaraya–Watson estimators. Moreover, an ad hoc data-driven fashion bandwidth selection method is proposed, based on the nonparametric version of the Akaike information criterion. Finally, an empirical study is carried out to illustrate the finite sample performance of the proposed estimators.     

Risk sharing,risk shifting and the role of convertible debt

This paper considers a financial contracting problem between a risk neutral entrepreneur and a risk averse investor. Once the venture is started, the entrepreneur chooses an action that determines the riskiness of the venture’s payoff. When action choice is contractible, the optimal risk sharing consideration under limited liability calls for a pure debt contract and the low risk action is adopted. When the action choice is not contractible, due to the risk shifting problem implementing the low risk action requires a deviation from the optimal risk sharing. I focus on situations where despite this deviation, the risk averse investor prefers to implement the low risk action and show that a convertible debt contract is superior to pure debt, pure equity and any mixture of debt and equity.     

Realized jumps on financial markets and predicting credit spreads

This paper extends the jump detection method based on bipower variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that the jump parameters can be accurately estimated and that the statistical inferences are reliable under the assumption that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate data reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. The jump volatility risk factor seems to capture the low frequency movements in credit spreads and comoves countercyclically with the price–dividend ratio and corporate default rate.     

Do Market Participants Learn? The Case of the Budapest Stock Exchange

In the paper we consider one of the faster growing Central European emerging markets: the Budapest Stock Exchange (BSE), in order to see whether the market becomes more weak-form efficient over time. The Hungarian exchange is selected because it is the oldest stock exchange operating in the region and, in 1995, it was the first Central European exchange admitted by the London Stock Exchange as a properly regulated stock exchange. As an econometric tool for comparative analysis, we use a Test for Evolving Efficiency (TEE). In a comparison of nine stocks and the market index (BUX) we found that the BSE becomes more mature but the process is surprisingly slow.