Likely gains from market timing in Japan

This paper explores the potential gains and required predictive ability of market timing in Japan and then compares the results to previously reported findings from another developed financial market — the United States — and a developing Asia Pacific financial market — Singapore. Shifts between cash equivalents and common stocks are evaluated. The results demonstrate that the potential gains from market timing in Japan are quite attractive and that the minimum predictive accuracy required for successful market timing may be attainable by some portfolio managers. However, for the period examined, the results also indicate that larger incremental gains result from market timing Singapore stocks and cash equivalents.An earlier version of this paper was presented at the Second Annual Pacific Basin Finance Conference in Seoul, Korea in 1991. The author appreciates the helpful comments of Lim Kian Guan and two anonymous referees.     

股权分置改革与股票需求价格弹性——基于供给需求的理论框架和经验证据

股票需求的完全价格弹性这一假设是许多金融理论的基础。然而,真实市场上的股票并非是相互替代的,股价与市场供给有关。本文在中国股权分置改革的背景下,建立股票供给和需求的理论模型,分析在需求和供给变动两个冲击下,流通股股东的累积超额收益。我们进而利用市场模型和市场调整模型,计算流通股股东在股改复牌前后的累积超额收益,并分析检验其截面影响因素。实证检验发现,累积超额收益和远期股票供给量成负相关关系。在控制流通股供给冲击效应之后,我们还发现公司盈利能力和非流通股集中度与股改价格效应负相关。进一步考虑市场时机和内生性问题后,结论仍然稳健。本文创造性地度量了股权分置改革经济价值的市场预期,并提供了需求曲线斜率为负的经验证据。     

Real Estate Investment Trusts, Small Stocks and Bid-ask Spreads

This study examines the liquidity of Real Estate Investment Trusts (REITs), as measured by their bid-ask spread. We find that REIT spreads have increased over the period 1986–1990, are inversely related to market capitalization, and are similar in magnitude to spreads on other stocks of comparable size. Analysis of variance tests indicate that REIT spreads are similar across equity, mortgage and hybrid asset types. Multivariate regression results indicate that market capitalization is the primary determinant of REIT bid-ask spreads, and spreads are larger for National Association of Securities Dealers Automated Quotations (NASDAQ) REITs than for New York Stock Exchange (NYSE) REITs. The regression results also indicate that spreads are lower for equity REITs than for mortgage or hybrid REITs, and are inversely related to the fraction of the REIT's shares held by institutional investors. The similarity between REIT spreads and those of other common stocks holds in both bull and bear real estate markets and suggests that, from a liquidity perspective, REITs are similar to other common stocks.     

Hedging spot fuel oil in Singapore: Will the new SIMEX contract succeed?

We assess SIMEX's new market for fuel oil futures by examining its effectiveness in hedging a cash fuel oil position in Singapore. We find that the SIMEX contract can eliminate about two-thirds of the volatility of a Singapore cash position and is many times more effective than a cross-hedge constructed with overseas contracts. Given its potential usefulness as a hedging tool for the regional petroleum industry, we anticipate that the new contract will be a success.We are grateful to Mobil (New York) for making the Platt oil price data available to us and to Jim Bovenage specifically for accessing the data for us.     

Stock market surveillance and market performance: The case of Taiwan

In this paper we investigate the effect of warning announcements on the price behaviour of stocks. We also study the effects of various corrective treatments (trading halts, call trading and 100% payment/delivery with order) on the performance of stocks in the Taiwan stock market. It is found that warning announcements serve to improve the performance of stocks, except in the case of consecutive warnings. Generally speaking, the corrective measures taken after the consecutive warnings are able to reduce the volatility, the abnormal returns and the excess liquidity of the stocks.The authors are Professors from the National Sun Yat-sen University, and the Securities and Exchange Commission respectively.     

Impact of price limits on Taiwan security returns

The paper investigates the effects of daily price limits imposed by the R.O.C. Government on shares listed on the Taiwan Stock Exchange. The study is performed on nineteen blue-chip stocks from six industries. For each sample stock, the daily returns (from 4 January 1986 to 24 October 1987) are divided into three groups: (A) first experimental, (B) second experimental and (C) control groups. Each sample point in groups A and B consists of one event day and the following six trading days. Event day is defined to be the day the stock price reaches the upper (lower) price limit. Group C comprises all other days, except ex-dividend days. Group C data are used in the market model to obtain the alpha and beta estimates for that stock. These estimates are then used to (CARs) embedded in data sets A and B. The preliminary results of this research suggest severe violation of the random walk hypothesis. Further, the impact of government imposed price limits on stocks varies across stocks. While several patterns of CARs of stock return are observed, the results suggest existence of potential profitable short-run investment strategies among several sample stocks in this study.We are most grateful to the National Science Council of Taiwan and National Chiao-Tung University for providing the data set, SPIT. This paper has benefitted from the discussion in the conference.     

An empirical test of the Brennan-Schwartz bond pricing model in the Australian context

This paper presents an empirical test of some aspects of the Brennan and Schwartz arbitrage bond pricing model. Specifically it evaluates the assumed discrete version of the joint interest process for the short and long rates by estimating it for a series of sample periods under varying market conditions. The implications of the specified form of these two interest rates within the context of hypotheses of interest rate behaviour are also examined. The bond valuation model is tested for bond price index data. The model is found to have a consistent estimation error of 10% and predominantly overestimated the actual price index. The performance of the model is not found to be sensitive to the value of the utility dependent parameter.We thank seminar participants at the University of New South Wales, the Australian National University, and participants at the Inaugural International Conference on Asian-Pacific Financial Markets, November 16–18, 1989, the National University of Singapore for many helpful comments and suggestions. We are responsible for any remaining errors.     

企业营销中的量价决策初探

结合具体案例介绍了在运用概率的方法定量预测市场价格的基础上，按照利润最佳、产销均衡、库存合理的原则进行量价决策的方法。     

Price Formation Under Small Numbers Competition: Evidence from Land Auctions in Singapore

This article examines the price formation process under small numbers competition using data from Singapore land auctions. The theory predicts that bid prices are less than the zero-profit asset value in these first-price sealed-bid auctions. The model also shows that expected sales price increases with the number of bidders both because each bidder has an incentive to offer a higher price and because of a greater likelihood that a high-value bidder is present. The empirical estimates are consistent with auction theory and show that the standard land attributes are reflected in auction prices as expected.     

Price Premium and Foreclosure Risk

Many previous studies identify loan, property, borrower and environmental factors that impact the probability of foreclosure. Implicit in these studies is the assumption that the property was purchased at fair value. We question this assumption based on several empirical findings regarding property value uncertainty. In contrast to previous research, we explicitly quantify the price premium from a hedonic pricing model. Using a comprehensive database of real estate transactions in Singapore during 1989–2000, we document a price premium associated with properties that are subsequently foreclosed based on actual sales transactions. In addition, we find that the premium paid at purchase significantly increases the probability of foreclosure. These results are robust and continue to hold after controlling for other property-specific factors, time-varying macroeconomic conditions, alternative model specifications and definitions of price premium.     

Modeling Spatial Variation in Housing Prices: A Variable Interaction Approach

The absolute location of each real estate parcel in an urban housing market has a unique location-value signature. Accessibility indices, distant gradients and locational dummies cannot fully account for the influence of absolute location on the market price of housing because there are an indeterminable number of externalities (local and nonlocal) influencing a given property at a given location. Furthermore, the degree to which externalities affect real estate values is not only unique at each location but highly variable over space. Hence, absolute location must be viewed as interactive with other determinants of housing value. We present an interactive variables approach and test its ability to explain price variations in an urban residential housing market. The statistical evidence suggests that the value of location, as embodied in the selling price of housing units, may not be separable from other determinants of value. It is recommended that housing valuation models, therefore, be specified to allow site, structural and other independent attributes to interact with absolute location—{ x , y } coordinates—when accounting for intraurban variation in the market price of residential housing. This approach is especially useful when estimating the value of housing for geographic areas where very little is known a priori about the neighborhoods or submarkets.     

Cooperative R&D and the Value of the Firm

In this paper, we investigate the stock price responses of listed firms in the U.S. markets to announcements of R & D collaborations. We find that abnormal returns of stocks are significantly positive after R & D collaborations are announced. The positive stock price response towards the R & D cooperation initiations can be partially explained by the nature of the collaborations and the characteristics of the participating firms. We also find that the stock prices of rival firms respond negatively to announcements of R & D cooperation. This result seems to support the hypothesis that cooperative R & D improves economic efficiency of the cooperative firms that gain competitive advantage. We do not find evidence supporting the hypothesis that R & D cooperation creates collusive, anticompetitive effects in the product market.     

How Do Land Auction Formats Influence the Market Structure and Aggregate Surplus of Real Estate Development?

This article proposes a duopoly dynamic game theoretic model to investigate the market structure and aggregate surplus of real estate development when land is sold in a sealed‐bid first price auction vis‐à‐vis an open English auction. It relaxes the assumption of symmetric bidders. The land values have common value and private value components. We find that the sealed‐bid first price auction introduces competition in the real estate development market. The open English auction leads a monopoly market. State agencies are recommended to increase the aggregate surplus of real estate development by publishing past bidding information under the sealed‐bid first price auction and reducing information asymmetry between bidders.     

国际原油价格预测因素探讨

随着中国进口原油数量的不断增加，国际原油价格成了影响我国经济运行的重要因素。首先从经济学角度分析了合理油价的空间为15－21美元／桶，而后进一步分析了影响油价的非供求因素如期货市场、石油库存、气候以及欧佩克的影响力，力图提供一个预测国际原油价格走势的基本框架。     

中国燃料油市场2008年回顾及2009年展望

2008年国内燃料油产量为2229万吨,同比减少8.4%;净进口量为1435万吨,同比下降低29.4%;表观消费量为3664万吨,同比减少804万吨.2008年国内外燃料油市场价格前高后低,波动剧烈.新加坡180cSt高硫燃料油市场平均价格为511美元/吨,同比上涨35.5%:国内燃料油市场价格整体高于上年水平.预计2009年国内燃料油产量将有较大幅度的下降,进口量继续回落,供应量比2008年进一步减少.除船用燃料油需求量同比基本持平或略有下降外,发电、再加工以及炼钢、建筑等高能耗制造业的燃料油需求均将明显下降.预计2009年国内燃料油需求量为3250万～3350万吨,较2008年减少300万～400万吨.     

The Impact of Leveraged and Inverse ETFs on Underlying Real Estate Returns

Leveraged and inverse ETFs (LETFs) were introduced in 2006. By 2008 there was concern that the requirement of LETFs to rebalance near the close might have a significant impact on the prices of the stocks in the underlying indexes. We examine the impact of trading activity induced by six real estate‐related LETFs on the late‐day price dynamics of 63 real estate sector stocks. Through a comparison of sample and control stocks and through a regression model of LETF rebalancing, we find that these LETFs significantly impact the prices of component stocks, increase their volatility and contribute to price momentum.     

An Arbitrage-Free Estimate of Prepayment Option Prices in Fixed-Rate GNMA Mortgage-Backed Securities

In an efficient market, the no-arbitrage condition implies that the price difference between any two assets must be the market value of all differences in their cash flows. We use this logic to deduce the price of the prepayment option embedded in fixed-rate Government National Mortgage Association (GNMA) mortgage-backed securities. The option price equals the difference between an observed GNMA price and the cost of a synthetic, nonprepayable GNMA constructed from the least expensive portfolio of Treasury securities that exactly replicates the promised GNMA cash flow stream, assuming prepayment is precluded. We regress the option prices on variables found significant in previous prepayment studies, finding that five key regressors explain more than 90% of the prepayment option value in pooled time-series cross-sectional analysis. We also show that the time value of the prepayment option calculated by our method displays a pattern similar to that produced by the Black-Scholes (1973) option pricing model. An additional empirical result is the existence of negative option prices and negative time value of the option prices. We attribute these to the fact that homeowners sometimes exercise their prepayment options when they are out-of-the-money, and to refinancing transaction costs. Our method is independent of assumptions regarding interest rate processes and the homeowner's prepayment behavior, and it provides a benchmark for testing theoretical prepayment models.     

Speculative storage in imperfectly competitive markets

Markets for many commodities are characterized by imperfectly competitive production as well as substantial storage by speculators who are attracted by significant price volatility. We examine how speculative storage affects the behavior of an oligopoly producing a commodity for which demand is subject to random shocks. Speculators compete with consumers when purchasing the commodity and then subsequently compete with producers when selling their stocks, resulting in two opposing incentives: on the one hand, producers would like to increase production to capture future sales in advance by selling to speculators; while on the other hand, they would like to withhold production to deter speculation, thereby eliminating the additional supply from speculators in future periods. We find that the incentive to sell to speculators can be quite strong, potentially resulting in prices sufficiently high to drive consumers from the market. Furthermore, these incentives are non-monotonic in the number of producers: speculative storage occurs more frequently in a relatively concentrated oligopoly than in the extremes of monopoly or perfect competition.     

Pricing strategies of transnational corporations

This paper uses data collected from 111 transnational corporations which operated 153 subsidiaries in the ASEAN region (Thailand, Malaysia, Singapore, Indonesia, and the Philippines) to analyze their pricing practices in the host country markets in relationship to the corporations home country and to the structural characteristics of the host country market. The data collected in this study is thus used to analyze the determinants of predatory pricing, intercountry price discrimination, and price leadership.The author is with the Centre for International Business Studies, School of Business Administration, The University of Western Ontario, London, Ontario, Canada.     

Foreclosure Discount: Definition and Dynamic Patterns

The lack of a consistent definition of foreclosure discount gives rise to discount rates that vary from nonexistent to sizeable across locations and time. We define the foreclosure discount as the discount of the real estate owned (REO) sale price relative to a normal‐sale estimated market value. With a dataset of 1.34 million REO sale transactions, across 16 CBSAs between 2000 and 2012, we find three noteworthy empirical findings. First, a high REO sale concentration in a market increases the foreclosure discount. Second, foreclosure discount is negatively related to recent house‐price appreciation. Third, the often reported high foreclosure discount for lower value properties is likely due to property condition.