Great Places to Work®: Resilience in Times of Crisis

We study the resilience of the “100 Best Companies to Work for in America” in times of financial crisis by analyzing their long‐term financial performance. Apart from implementing methods that tackle the statistical problems of stock returns, we use a conditional model to measure financial performance in periods of market growth (bull markets) and market downturn (bear markets). We find that best places to work are indeed resilient in times of crisis since neither their financial performance nor their systematic risk are affected during bear markets: top companies continue to outperform the market during periods of crisis, and the performance of lower‐ranked great workplaces does not deteriorate. Moreover, we find that previous studies were overestimating performance, and only great workplaces on the top half of the rankings exhibit positive excessive returns. © 2015 Wiley Periodicals, Inc.     

基金股票仓位与A股市场走势相关性研究

在划分股市牛熊周期的基础上,采用VECM模型和VAR方法对基金股票仓位变动与股票市场走势之间关系进行研究,结果表明基金股票仓位与股票市场收益率二者之间的关系存在着显著性和非稳定性,即基金作为主要机构投资者对股票市场的走势具有重要影响作用,而在股市的各个不同阶段,基金持仓比例的波动与A股指数收益率二者之间的关系各不相同。     

Dividend announcements under varying market conditions: The case of specially designated dividends

In this study the author examines differences in the behavior of stock returns surrounding the announcements of the specially designated dividends (SDDs) between bull markets and bear markets. Results show that SDDs declared during bull markets have a significantly higher positive effect on stock prices than those declared during bear markets. This evidence, new to literature, indicates that SDDs declared during bull markets are viewed by the market as more favorable than those declared during bear markets.     

Individual stock sentiment beta and stock returns

Using the data in Chinese stock market, we measure the individual stock sentiment beta, which is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. We demonstrate that stocks in the highest individual stock sentiment beta portfolio have significantly higher excess returns, CAPM alpha, Fama-French three-factor alpha and Fama-French five-factor alpha. Besides, we find that the high individual stock sentiment beta stocks are smaller, younger, more volatile stocks with higher price and higher market beta. After controlling for firm characteristic, the returns of High-Low individual stock sentiment beta portfolios are still significantly positive. Moreover, we show the effect of the individual stock sentiment beta on stock returns is positive and significant in different stock markets, in different sample periods, and in bull and bear market. Besides, the results of the Bayes-Stein individual stock sentiment beta are still stable.     

Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic

Using the five-minute interval price data of two cryptocurrencies and eight stock market indices, we examine the risk spillover and hedging effectiveness between these two assets. Our approach provides a comparative assessment encompassing the pre-COVID-19 and COVID-19 sample periods. We employ copula models to assess the dependence and risk spillover from Bitcoin and Ethereum to stock market returns during both the pre-COVID-19 and COVID-19 periods. Notably, the COVID-19 pandemic has increased the risk spillover from Bitcoin and Ethereum to stock market returns. The findings vis-à-vis portfolio weights and hedge effectiveness highlight hedging gains; however, optimal investments in Bitcoin and Ethereum have reduced during the COVID-19 pandemic, while the cost of hedging has increased during this period. The findings also confirm that cryptocurrencies cannot provide incremental gains by hedging stock market risk during the COVID-19 pandemic.     

The stock–bond comovements and cross-market trading

We propose an asset pricing model with heterogeneous agents allocating capital to the stock and bond markets to optimize their portfolios, utilizing the dynamic interaction between the two markets. While some agents focus on the stock market and have more expertise in it, the others specialize in the bond market. Based on their comparative advantages in a particular market, heterogeneous agents constantly revise their investment portfolios by taking into account the time-varying stock–bond return comovements and the changing market conditions. Agents׳ collective investment behavior shapes the stock–bond interlinkage, which feedbacks on their subsequent capital allocations. Using monthly US stock and bond data from January 1990 to June 2014, we estimate the vector autoregression model with threshold and Markov switching mechanisms. We find evidence in support of flight-to-quality and show that it is mainly driven by the technical traders who actively sell stocks and buy bonds during periods of high market uncertainty.     

The relationship between accounting numbers and returns: some empirical evidence from the emerging market of the Czech Republic

Generally, stock prices reflect future expectations of earnings, whereas accounting data reflect past performance. This paper attempts to discover the relationship between accounting data and market price returns of the companies listed on the Prague Stock Exchange (PSE). The Prague Stock Exchange was established in 1993 and provides an opportunity to make a comparison between a newly established market and the findings of studies of established markets. There has been a wealth of publications and accounting research studies on developed markets. Generally, accounting attributes are thought to be relevant because they tend to be contemporaneously statistically associated with stock prices. Some studies have suggested, and empirically tested, that stock prices lead earnings (e.g. Collins et al., 1987; Kothari, 1992; Kothari and Sloan, 1992; Kothari and Zimmerman, 1995). This study tests the existence of such a relationship in the Czech capital market, relying partially on the methodology proposed by Kothari and Sloan (1992) and Kothari (1992). This paper investigates whether there is a statistically significant permanent relationship between returns and accounting data on the Czech market. The study was conducted using accounting earnings and stock prices during the period 1993–8. The empirical evidence here suggests that a similar relation exists on the emerging Czech market. The relation is statistically significant for measurement windows of one year and longer. The increase in the mean response coefficient, reported later in this study, suggests that one-leading-year returns are as important as contemporaneous returns in terms of their sensitivity to annual earnings changes. However, one cannot infer with a degree of confidence that the Czech capital market views earnings changes to be largely permanent, which would be consistent with the time-series properties of annual earnings.     

Stock returns and economic activity in mature and emerging markets

This paper empirically investigates the dynamic interdependencies between stock returns and economic activity in mature and emerging markets. The existence, kind and strength of potential uni-directional and/or bi-directional relations are examined, running from stock returns to future economic activity and/or from economic activity to future stock returns. A bivariate VAR(12) model is applied and Granger causality tests are performed. Monthly data covering the January 1991–December 2006 period are used. The existence of an empirical relationship, with forecasting ability, between stock returns and future economic activity is confirmed. The results are strongly differentiated between mature and emerging markets.     

CAPM模型在上海股票市场的有效性检验

根据资本资产定价模型(CAPM),从上海A股市场随机抽取100支股票,计算它们的收益率,选择上证综合指数为市场组合的市场指数,并利用双层回归分析方法对2007年1月1日至2011年12月31日这段时间的100支股票进行实证检验。虽然很多国外研究表明,CAPM模型在一定程度上能够解释市场收益,并在资产估价、资本预算、投资风险分析方面已经得到了广泛应用,同时也有利于投资者构建最优的证券投资组合,但本文实证研究结果发现,CAPM模型并不适合中国的股票市场,股票预期收益率和系统风险之间不仅不存在正相关的关系,而且也不存在线性关系,除了系统风险外,非系统风险在解释股票收益上也具有一定的作用。     

Market effects of private equity placement: Evidence from Chinese equity and bond markets

Research has provided empirical evidence for the stock market reaction toward private placement; however, similar research has not been conducted in terms of the bond market. Using the event study method, we empirically examine the explanatory power of the signaling, free cash flow, and wealth transfer hypotheses based on the reaction of the stock market, bond market, and firm abnormal returns to the private placement announcement. The results show that the stock market has a negative reaction toward private placement, whereas the bond market has a positive reaction. The results also show that the scale of private placement is correlated with the severity of the market reaction. Abnormal returns indicate no significant change both before and after the private placement, and they are unaffected by the scale of private placement. These results are consistent with the wealth transfer hypothesis; however, the market reaction is not attributable to the signaling hypothesis and the free cash flow hypothesis. Extensive research shows that the abnormal returns of private placement change dramatically in non-state-owned enterprises and firms with low credit rating bonds, whereas the bond maturity has no significant impact on the abnormal returns—the wealth transfer effect of private placement is stronger in non-state-owned enterprises and firms with low credit rating bond.     

Efficiency and stock returns: evidence from the insurance industry

This study investigates whether the capital market values the efficiency of firms. After tracing stock returns and efficiency changes of 399 listed insurance firms in 52 countries during the 2002–2008 period, the paper reports a positive and statistically significant relationship between profit efficiency change and market adjusted stock returns. However, there is no robust evidence that cost efficiency change is associated with stock returns.     

Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data

Using daily data we show sudden, extreme declines in the U.S. stock market for crash dates to lead to a capital preserving (as opposed to strategic or tactical) reallocation to government debt securities. In most cases we find flight-induced reallocation reverses direction within one day of a crash. However, for the 1987 world crash we find increased and persistent return volatility in both equity and bond returns lasting up to five days following this dramatic decline in world equity prices. Like previous research in this area, we find equity crashes alter long-run stock/bond return correlations and lead to increased stock and bond return volatility. Finally, we describe the somewhat unique stock and bond correlation adjustments triggered by the 9/11 attack and the impact this event had on the behavior of U.S. equity investors?? flight-to-safety reaction.     

The impacts of investor sentiment on returns and conditional volatility of international stock markets

One of the main arguments of behavioral finance is that some properties of asset prices are most probably regarded as deviations from fundamental value and they are generated by the participation of traders who are not fully rational, thus called noise traders. Noise trader theory postulates that sentiment traders have greater impact during high-sentiment periods than during low-sentiment periods, and sentiment traders miscalculate the variance of returns undermining the mean-variance relation. The main objective of this research is to construct a model to evaluate the returns and conditional volatility of various stock market indexes considering the changes in the investor sentiment by measuring the effects of noise trader demand shocks on returns and volatility. EGARCH model is used to determine whether earning shocks have more influence on the conditional volatility in high sentiment periods weakening the mean–variance relation. This paper takes an international approach using weekly market index returns of U.S., Japan, Hong Kong, U.K., France, Germany, and Turkey. Weekly trading volumes of these indexes are regressed against a group of macroeconomic variables and the residuals are used as proxies for investor sentiment and significant evidence is found that there is asymmetric volatility in these market indexes and earning shocks have more influence on conditional volatility when the sentiment is high.     

What do movements in financial traders’ net long positions reveal about aggregate stock returns?

Previous financial economics studies have successfully identified the existence of informed trading in futures markets; however, there is no study on the specific type of strategy chosen by informed agents to maximize profits. To fill this gap in the literature, we investigate the importance of movements in futures traders’ net long positions in predicting aggregate equity market returns. This study finds that movements in the net long positions of bond, commodity, and stock futures traders are strong predictors of aggregate stock returns as they outperform a large number of popular return predictors both in and out of sample. In addition, a one-standard-deviation change in futures traders’ net long positions can lead to an increase (decrease) of up to 3.4% (4.12%) in annualized market excess equity returns. The study’s first-order autocorrelation results reveal an absence of persistence in the net long predictors. A vector autoregression decomposition shows that the economic source of financial traders’ net long position predictive power stems predominantly from the discount rate and cash flow channels. Overall, the study finds that financial traders are informed traders who are able to anticipate future aggregate cash flows and associated discount rate news.     

国际热钱流动对中国A股市场的影响——基于1999-2009年月度数据的实证研究

通过借鉴他人研究成果,对传统计算热钱的方法进行了系数调整,估算了1999年1月到2009年6月出入我国热钱的月度数据,并在此基础上,建立了热钱对股指和新开户数的VAR模型和VECM模型,对进入我国的热钱与股指以及新开户数之间的关系进行了探讨。研究结论认为,上证指数的上涨虽然导致国际热钱显著流入了股市,但热钱流入股市后却没有对股指产生显著影响。     

Price effects of steel commodities on worldwide stock market returns

We analyze the price effects of steel commodities on stock market returns in emerging and developed economies. These commodities have recently attained increased media exposure due to the rise in the U.S. steel import tariffs, which pose the threat of reducing global demand for steel products and, consequently, lowering prices abroad. However, little has been investigated on the impact of steel commodity prices on worldwide stock market returns. By performing structural VAR and GARCH techniques on a weekly-frequency time series from 2002 to 2015, we find positive and statistically significant effects of linear and non-linear steel commodity price shocks on real stock returns in the commodity markets. In the highly diversified financial markets such as U.S. and Germany, real stock returns do not significantly respond to steel commodity price shocks, although we find highly significant positive responses from developed economies such as Australia, Japan and South Korea. Results are robust to different model specifications. Our evidence suggests that higher tariffs on steel imports represent a larger disadvantage to commodity markets which are more largely impacted by steel commodity prices. We provide economic policy implications based on recent literature.     

Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment

This paper investigates how monetary policy shock affects the stock market of the United States (US) conditional on states of investor sentiment. In this regard, we use a recently developed estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks, which in turn is achieved by integrating the current short-term rate surprises, which are least affected by an information effect, into a vector autoregressive (VAR) model as an exogenous variable. When allowing for time-varying model parameters, we find that, compared to the low investor sentiment regime, the negative reaction of stock returns to contractionary monetary policy shocks is stronger in the state associated with relatively higher investor sentiment. Our results are robust to alternative sample period (which excludes the zero lower bound) and model specification and also have important implications for academicians, investors, and policymakers.     

中国内地、香港与美国股票市场的长期协整关系研究

随着中国经济不断地融入国际经济环境中,中国内地证券市场的国际化进程也逐渐加快,表现为与世界主要资本市场的联动效应明显增强。本文通过运用协整检验对中国内地、香港以及美国股票市场联动效应的研究发现,金融危机改变了三地股市间的长期均衡关系。     

Stock price effect of high-yield debt issues

This paper investigates the common stock price reaction at the announcement of the issuance of high-yield straight debt. The two-day announcement period abnormal returns are not different from zero for the 164 bond issues in the sample. No difference is found between announcement period abnormal returns of firms with bonds that default and firms with bonds that do not default. Results from statistical tests indicate that the announcement period abnormal returns are not explained by issuance year, bond-rate class, underwriter, issuance size, takeover activity or prior high-yield debt issuance experience. The findings are not consistent with the models by Miller and Rock (1985), Jensen (1986), Myers and Majluf (1984) and Krasker (1986). However, results indicate that existing stockholders are not harmed or helped by the issuance of the high-yield straight debt.