Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB

This paper extends the method of discounted cash flows to value investment projects through incorporating real options. It is assumed the cash flows generated by the firm are correlated with macroeconomic fundamentals, particularly with the interest rate. It is also assumed that the cash flows have jumps whose size is given by an extreme value distribution. The flows are viewed as a portfolio of real options. The options arise from a stochastic dynamic optimization process where the investor (the entrepreneur) seeks to maximize his/her total profit discounted, subject to the wealth he/she possesses. This wealth includes the investment project, a risk-free bond, and a set of real options associated with the project.     

THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS

Hedge fund managers receive a large fraction of their funds' profits, paid when funds exceed their high‐water marks. We study the incentives of such performance fees. A manager with long‐horizon, constant investment opportunities and relative risk aversion, chooses a constant Merton portfolio. However, the effective risk aversion shrinks toward one in proportion to performance fees. Risk shifting implications are ambiguous and depend on the manager's own risk aversion. Managers with equal investment opportunities but different performance fees and risk aversions may coexist in a competitive equilibrium. The resulting leverage increases with performance fees—a prediction that we confirm empirically.     

投资组合网络、竞争性网络联结与技术创新

本文以我国2009—2016年中小板与创业板上市公司为研究样本,研究了以风险投资机构为信息桥构建的投资组合网络的创新作用机制与效果。研究结果表明:企业的技术创新水平随着其建立的网络联结数量的增长而得到了显著提升;企业在投资组合网络中感知到的竞争威胁主要通过竞争性网络联结传导,竞争性网络联结数量的增长会损害企业的技术创新;风险投资机构的联合投资行为可以减弱竞争性网络联结的负向影响。考虑到企业技术创新活动的异质性将其划分为渐进式创新与突破式创新后,发现突破式创新较少受到投资组合网络内竞争性信息泄露的负面影响。     

The profitability of financial analysts’ recommendations: evidence from an emerging market

This article aims at measuring recommendation value on the Tunisian market and uses a hand-collected database of 6646 recommendations (2005–2009). We apply the methodology of calendar–time portfolio analysis. This consists of simulating a portfolio that would include stocks depending on the recommendations issued by financial analysts. In order to measure abnormal (or ‘excess’) returns, the raw return of the portfolio is then compared to the evolution of the stock index and to the prediction of the Capital Asset-Pricing Model. Some of the portfolios we build earn a positive significant excess risk-adjusted return of 1.19% per month. Beyond the results that are in line with the literature, we provide two original results. First, ‘sell’ signals are informative, whereas ‘buy’ signals are not. We suggest that it is related to large (small) firms having more ‘buy’ (‘sell’) recommendations and to the direction of the market trend over the period. Second, the fact that recommendation levels have more impact than recommendation changes is explained by the specific informational context on that market, which is that recommendations are systematically disclosed each month, whereas on other markets, recommendations are produced only when the analyst has some new information to disclose.     

On the exposure of insurance companies to sovereign risk—Portfolio investments and market forces

A sovereign debt crisis can have significant knock-on effects in the financial markets and put financial stability at risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional investors in the sovereign bond market. We use a firm level panel dataset that covers large insurance companies, banks and non-financial firms from nine countries over the time period from 1 January 2008–1 May 2013. We find significant and robust transmission effects from sovereign risk to domestic insurers. The impact on insurers is not significantly different from that on banks but larger than for non-financial firms. We find that systemically important insurers are more closely linked to the domestic sovereign. Based on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not reflected in current insurance regulation (incl. Solvency II in Europe).     

从价规制与从量规制孰优孰劣？--基于可再生能源产业上网价格政策与配额制的比较研究

上网价格政策（ FIT）与配额制（ RPS）是可再生能源电力产业中最常见的两种规制方法。本文分别在两种规制手段下构建了一个两阶段的寡头博弈模型，并给出均衡解，再运用数值模拟的方法对两种规制手段效果进行比较。结果表明：在提高可再生能源产量（装机容量）以及激励基于成本节约的R＆D投入方面，上网价格政策要优于配额制；而在降低碳排放量以及提高消费者剩余方面，配额制规制手段要更胜一筹。但两种方式的社会总福利大小无法进行衡量，这取决于负外部性的大小。     

Insurance companies’ trading behaviour during the European sovereign debt crisis: Flight home or flight to quality?

This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio revaluations at a quarterly frequency during 2006–2013. When explaining insurers’ trading behaviour we explicitly control for country risk and momentum strategies. The results show that insurers exhibited a flight to quality during the European sovereign debt crisis, while we find no evidence of a flight home. The flight to quality was not present before the European sovereign debt crisis and disappeared after ECB chairman Draghi's speech mid-2012. Interestingly, supervisory data suggests that the observed flight to quality was not driven by regulatory solvency constraints.     

BENCHMARKED RISK MINIMIZATION

This paper discusses the problem of hedging not perfectly replicable contingent claims using the numéraire portfolio. The proposed concept of benchmarked risk minimization leads beyond the classical no‐arbitrage paradigm. It provides in incomplete markets a generalization of the pricing under classical risk minimization, pioneered by Föllmer, Sondermann, and Schweizer. The latter relies on a quadratic criterion, requests square integrability of claims and gains processes, and relies on the existence of an equivalent risk‐neutral probability measure. Benchmarked risk minimization avoids these restrictive assumptions and provides symmetry with respect to all primary securities. It employs the real‐world probability measure and the numéraire portfolio to identify the minimal possible price for a contingent claim. Furthermore, the resulting benchmarked (i.e., numéraire portfolio denominated) profit and loss is only driven by uncertainty that is orthogonal to benchmarked‐traded uncertainty, and forms a local martingale that starts at zero. Consequently, sufficiently different benchmarked profits and losses, when pooled, become asymptotically negligible through diversification. This property makes benchmarked risk minimization the least expensive method for pricing and hedging diversified pools of not fully replicable benchmarked contingent claims. In addition, when hedging it incorporates evolving information about nonhedgeable uncertainty, which is ignored under classical risk minimization.