共查询到20条相似文献,搜索用时 484 毫秒
1.
John J. Maher Robert M. Brown Raman Kumar 《Review of Quantitative Finance and Accounting》2008,31(2):167-189
We examine the valuation effects of overall demand for corporate equities combined with the influence of abnormal earnings
and unexpected funds flow. Our results indicate that the expected and unexpected net new total flow of funds into all stock
mutual funds do not by themselves have a meaningful effect on firm equity valuation. However, we find the combination of unexpected
funds flow and realized abnormal earnings have significant and important valuation effects. Importantly, the valuation impact
is greatest for those firms with high earnings growth potential that also operate in an environment characterized by high
information asymmetry.
相似文献
Raman KumarEmail: |
2.
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: |
3.
This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility
by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike
stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently
and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility
is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and
put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied
call volatility is nearly an unbiased forecast of future volatility.
相似文献
Steven LiEmail: |
4.
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: |
5.
Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds 总被引:1,自引:1,他引:0
Vinay Datar Raymond W. So Yiuman Tse 《Review of Quantitative Finance and Accounting》2008,31(4):379-393
This article examines the intraday returns and liquidity patterns of the Standard & Poor’s Depositary Receipts (SPY) and the iShares
Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks. Our findings
suggest that some commonality exists in the returns and liquidity of these apparently different assets. First, there are intraday,
daily and monthly patterns in the measures of liquidity for both funds. Second, the measures of liquidity are correlated across
these two assets. Third, there is evidence of intraday spillover in the mean, volatility and depth from the SPY to the EWJ,
but daily spillover is not observed. Our study extends two evolving strands of the literature: the integration of world markets
in terms of returns behavior, and the other strand suggests that liquidity may have a systematic, or market-wide, component.
This paper provides direct evidence of the integration between the US and Japanese markets because contemporaneous trading
prices for the US (SPY) and Japanese (EWJ) indices are employed.
相似文献
Yiuman Tse (Corresponding author)Email: Email: |
6.
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: |
7.
Home Equity,Household Savings and Consumption 总被引:1,自引:0,他引:1
The home-owning family’s equity is a piggybank that can be broken open by borrowing. Each borrowing increases liabilities
and cash equally, initially leaving net wealth unchanged. When those funds are spent and cash balances fall, consumption increases
even as net wealth can decline. In a dynamic optimization, the marginal propensity to consume from net wealth is not always
positive and can be positively correlated with housing debt.
相似文献
P. ChinloyEmail: |
8.
Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange 总被引:3,自引:0,他引:3
After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that
the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday
returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session
having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the
high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the
market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks
after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility
observed at the market open.
相似文献
Gary Gang TianEmail: |
9.
We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics
across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific
benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well
as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights
defined by industry sectors, assets, and geographical regions is important to the assessment of fund management. For each
set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.
相似文献
Mitch Warachka (Corresponding author)Email: |
10.
Seung Hun Han Yoon S. Shin Walter Reinhart William T. Moore 《Journal of Financial Services Research》2009,35(2):141-166
We examine stock market reactions to corporate credit rating changes in 26 emerging market countries included in the Morgan
Stanley Capital International (MSCI) Emerging Market Index. We hypothesize and test the notion that emerging market firms
in the American Depository Receipts (ADRs) markets are more likely to purchase ratings from the Big Two (Moody’s and S&P),
and that they react more strongly to the announcements of corporate rating changes by Moody’s or S&P than to those of raters
in local markets. We compare the effect of credit rating changes of the Big Two in two emerging stock markets: local markets
(local currencies) and ADR markets (U.S. dollars). We find significant price reactions in the ADR markets, and insignificant
reactions in local markets, and conclude that there is capital market segmentation in ADR markets for credit rating changes
of emerging market firms. We find evidence that investors react more strongly in the ADR markets than local markets because
they require higher costs of capital for firms cross-listed both in the ADR markets and local markets due to greater expected
bankruptcy costs and foreign exchange risks of those firms. We also report that stock markets react significantly, not only
to rating downgrades, but also to upgrades in the ADR markets.
相似文献
William T. MooreEmail: |
11.
This study examines a sample of 12,562 dual-rated local government bond issues including 6,104 split-rated issues to determine
which rating agency has the greatest impact on yields. Using a database of municipal bond issues from 1986 to 2002, we show
that Moody’s rated significantly more issues than S&P, and that Moody’s ratings were more conservative. However, from 1993
to 1997, there was a reduction in ratings disagreements and in Moody’s market share. Beginning in 1995, Moody’s received negative
publicity related to a Department of Justice anti-trust investigation. Moody’s appears to have responded by sharply increasing
their relative conservatism in 1997. From 1986 to 1994, Moody’s ratings had a greater impact on bond yields than S&P ratings,
but their dominant influence on yields disappears in the recent sample period from 1995 to 2002.
相似文献
Donna M. Dudney (Corresponding author)Email: |
12.
Jaroslaw Morawski Heinz Rehkugler Roland Füss 《Financial Markets and Portfolio Management》2008,22(2):101-126
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as
equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate
correlation structures and cointegration relationships of private and public real estate and equity markets for the United
States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market
with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized
real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
相似文献
Roland FüssEmail: |
13.
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: |
14.
Evidence of feedback trading with Markov switching regimes 总被引:1,自引:1,他引:0
Previous research has concluded that the degree of return autocorrelation observed in index returns varies linearly with the
volatility of the series, and that feedback traders are at least partly responsible for this phenomenon. Using daily Australian
bond and equity market returns, we test this conclusion directly by using a Markov switching model for changing variance that
explicitly allows the autocorrelation of returns to vary with the volatility regime. We find evidence that a significant proportion
of investors in both the Australian equity and bond markets are positive feedback traders and are responsible for the observed
increase in negative autocorrelation in index returns during periods of high and increasing volatility.
相似文献
Robert W. FaffEmail: |
15.
The persistence of earnings per share 总被引:2,自引:2,他引:0
Luis A. Gil-Alana Rolando F. Peláez 《Review of Quantitative Finance and Accounting》2008,31(4):425-439
The persistence of innovations to accounting earnings per share, EPS, has important implications for equity valuation, yet
it remains a largely neglected subject. This paper employs various empirical tests in order to measure the persistence of
shocks to EPS for the S&P 500 index. Within the I(0)/I(1) paradigm the empirical evidence rejects the I(1) specification, supporting instead a trend-stationary representation. When fractional orders of integration are considered,
the results indicate that the detrended series is long memory (d > 0) and mean reverting (d < 1). The responses decay slowly to zero, albeit 50 quarters after an initial shock the responses remain significantly different
from zero. Likewise, the variance ratio evidence suggests that the effect of a shock persists over time spans characteristic
of the business cycle.
相似文献
Rolando F. Peláez (Corresponding author)Email: |
16.
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: |
17.
David Abad Sonia Sanabria José Yagüe 《Review of Quantitative Finance and Accounting》2009,32(3):287-308
Using Spanish data, this paper examines, for the first time, the differences in the intraday response of an order-driven market
to earnings announcements made during trading and non-trading hours. We show that the speed of reaction depends on timing
of the announcement: for overnight (daytime) announcements, the improvement in liquidity is (not) immediate. This finding
could explain why Spanish firms prefer to release the bad (good) earnings announcement in trading (non-trading) hours. This
strategic timing differs from the traditional disclosure policy in American markets, suggesting that different microstructures
may react differently to news releases and, consequently, drive the strategic timing of corporate disclosures.
相似文献
José Yagüe (Corresponding author)Email: |
18.
Louis T. W. Cheng Hung-Gay Fung Tak Yan Leung 《Review of Quantitative Finance and Accounting》2007,28(1):23-54
The literature has suggested that earnings and earnings forecasts provide stronger signals than dividends about future performance
of a firm. We test the information effects of simultaneous announcement of earnings and dividends in the Hong Kong market,
distinguished by three interesting features (concentrated family-shareholdings, low corporate transparency, and no tax on
dividends). Our results show significant share price reactions to unexpected earnings and dividend changes, but dividends
appear to play a dominant role over earnings in pricing, a result contrary to findings in the literature. The signaling hypothesis
works primarily for firms with earning increases, while the maturity hypothesis works mainly for firms with earnings declines.
相似文献
Tak Yan LeungEmail: |
19.
Martin Hoesli Colin Lizieri Bryan MacGregor 《The Journal of Real Estate Finance and Economics》2008,36(2):183-206
Historic analysis of the inflation hedging properties of stocks has produced anomalous results, with stocks often appearing
to offer a perverse hedge. This has been attributed to the impact of real and monetary shocks to the economy, which influence
both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results
have been mixed. This paper explores the relationship between commercial real estate returns and economic, fiscal and monetary
factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalization stock returns
is carried out with inflation divided into expected and unexpected components. The analyses are undertaken using an error
correction approach. In the long run, once real and monetary variables are included, asset returns are positively linked to
anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real
estate returns, particularly private market returns, exhibit characteristics that differ from those of stocks.
相似文献
Bryan MacGregorEmail: |
20.
Return enhancement trading strategies for size based portfolios 总被引:1,自引:1,他引:0
Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia
will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged
value of the market risk premium is useful for successfully predicting the return sign for CRSP small decile portfolio returns,
but not large ones. We additionally employ this model in market timing simulations of micro-cap mutual funds in which investment
can actually be made. The results indicate that a market-timing strategy based on our return-sign forecasting model outperforms
a buy-and-hold strategy for 13 of 14 micro-cap funds studied. On average, the buy-and-hold strategy produces an average compound
return of 11.98% per annum versus an average of 16.60% for the market-timing strategy. Nevertheless, trading restrictions
make the return-sign forecasting model more practical to employ by the micro-cap fund portfolio manager rather than the individual
fund investor.
相似文献
Bruce G. ResnickEmail: |