对冲基金、对冲策略以及市场中性

本文梳理了对冲基金的概念、特征及对冲策略,指出市场中性是这些对冲策略普遍存在的内在一致性要求。在此基础上,本文进一步讨论了市场中性策略的收益来源,分析了市场中性策略的做空优势,指出对冲策略拓宽了传统组合边界。     

Hedging,hedge accounting,and earnings predictability

Review of Accounting Studies - Studies suggest that, pursuant to the implementation of SFAS 133, even sophisticated users of financial statements find it difficult to comprehend earnings...     

The role of derivatives in hedge fund activism

Using a hand-collected sample of hedge fund activist engagements from 1994 to 2014, this study analysed the role of derivatives in the hedge fund activism. Evidence shows abnormal returns of targets of hedge fund activists who did not use derivatives exceeded the abnormal returns of targets of hedge fund activists who employed derivatives around the activist engagement disclosure period. We also find that idiosyncratic volatility of the targets of hedge fund activists who did not use derivatives was more reduced than that of the targets of hedge fund activists who used derivatives. Finally, the probability of takeovers increases for hedge fund activists who did not use derivatives.     

Hedging,speculation, and shareholder value

We document that gold mining firms have consistently realized economically significant cash flow gains from their derivatives transactions. We conclude that these cash flows have increased shareholder value since there is no evidence of an offsetting adjustment in firms’ systematic risk. This finding contradicts a central assumption in the risk management literature that derivatives transactions have zero net present value, and highlights an important motive for firms to use derivatives that the literature has hitherto ignored. Although we find considerable evidence of selective hedging in our sample, the cash flow gains from selective hedging appear to be small at best.     

全球流动性过剩、对冲基金发展与中国金融稳定

全球流动性过剩导致全球金融资产激增,推动对冲基金业规模迅速膨胀,也使得对冲基金业在结构和投资动向上也出现了新的变化。对冲基金在全球寻找套利和投机机会,对全球的金融稳定产生一定的影响,在此背景下,中国需要审慎资本项目开放和加强对冲基金的监管。     

Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares‐based model, a vector autoregression, a vector error‐correction model and a diagonal‐vec multivariate generalized autoregressive conditional heteroscedasticity model. Hedging effectiveness is measured using a risk‐return comparison and a utility maximization method. We find that time‐varying generalized autoregressive conditional heteroscedasticity hedge ratios perform better than constant hedge ratios in terms of minimizing risks, but when return effects are also considered, the utility‐based measure prefers the ordinary least squares method in the in‐sample hedge, whilst both approaches favour the conditional time‐varying multivariate generalized autoregressive conditional heteroscedasticity hedge ratio estimates in out‐of‐sample analyses.     

DCC-GARCH、M-Copula-GARCH和Copula-SV在商品期货对冲中的应用研究

中国商品期货市场已经成为全球期货市场不可或缺的重要组成部分。文章比较研究了DCC-GARCH、M-Copula-GARCH和Copula-SV三种模型对我国最重要的期货合约——铜和棉花的对冲比率的影响。结果表明:Copula-SV是最优的对冲模型,文章还发现:二月期的铜期货合约和三月期的棉花期货合约对冲现货的效率最高。     

A rational expectations equilibrium model of urban growth and land markets

This paper presents a simple model of urban spatial growth under uncertainty with an infinite time horizon. The rational expectations equilibrium path (REE path) of the urban land market is obtained in explicit form as a function of exogenously given stochastic processes of future population, transport and household income in the city. Spatial and temporal characteristics of asset prices along the REE path are examined in detail.     

Commonality in hedge fund returns: Driving factors and implications

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure to emerging market equities, which we identify as a common factor in hedge fund returns over this period. Our results show that funds with a high commonality were affected disproportionately by illiquidity and exhibited negative returns during the subsequent financial crisis, thereby providing little diversification benefits to the financial system and to investors.     

Adaptive expectations,rational expectations,and money demand in hyperinflation Germany

In the recent literature Sargent and Wallace (IER, June, 1973) have estimated the demand equation for money in hyperinflation under the restriction that the adaptive formula of Phillip Cagan yields rational inflation expectations in the sense of John Muth. The present paper finds evidence to reject for the Germany case the proposition that adaptive expectations are rational. The procedure employed is basically to overfit the stochastic representation for the inflation rate implied by the ‘adaptive-is-rational’ hypothesis. The paper also puts forward and applies a two-step procedure to estimate the important money demand elasticity in hyperinflation. The procedure returns reasonable results with large estimated standard errors.     

The effect of derivative assets on information acquisition and price behavior in a rational expectations equilibrium

This article shows that introducing derivative assets increasesincentives to collect information about asset payoffs. The increasein information collection makes the price of the underlyingasset more informative and causes the expected price to increase.Extending the model to a dynamic setting with multiple riskyassets, we find the introducing derivative assets for one assetincreases the expected prices of positively correlated assetsand reduces price reaction to future earnings announcements.These findings are consistent with the bulk of the empiricalevidence on the relationship between the introduction of derivativeassets and the behavior of asset prices.     

Hedging jump risk,expected returns and risk premia in jump-diffusion economies

This article presents a pure exchange economy that extends Rubinstein [Bell J. Econ. Manage. Sci., 1976, 7, 407–425] to show how the jump-diffusion option pricing model of Black and Scholes [J. Political Econ., 1973, 81, 637–654] and Merton [J. Financ. Econ., 1976, 4, 125–144] evolves in gamma jumping economies. From empirical analysis and theoretical study, both the aggregate consumption and the stock price are unknown in determining jumping times. By using the pricing kernel, we determine both the aggregate consumption jump time and the stock price jump time from the equilibrium interest rate and CCAPM (Consumption Capital Asset Pricing Model). Our general jump-diffusion option pricing model gives an explicit formula for how the jump process and the jump times alter the pricing. This innovation with predictable jump times enhances our analysis of the expected stock return in equilibrium and of hedging jump risks for jump-diffusion economies.     

Monetary instruments and policy rules in a rational expectations environment

This paper explores the implications of rational expectations and the aggregate supply theory advanced by Lucas (1973) and Barro (1976) for analysis of optimal monetary policy under uncertainty along the lines of Poole (1970), returning to a topic initially treated by Sargent and Wallace (1975). Not surprisingly, these two ‘classical’ concepts alter both the menu of feasible policy choice and the desirability of certain policy actions. In our setup, unlike that of Sargent and Wallace (1975), the systematic component of monetary policy is a relevant determinant of the magnitude of ‘business fluctuations’ that arise from shocks to the system. Central bank behavior — both the selection of monetary instruments and the framing of overall policy response to economic conditions — can work to diminish or increase the magnitude of business fluctuations. However, the ‘activist’ policies stressed by the present discussion bear little (if any) relationship to the policy options rationalized by the conventional analysis of monetary policy under uncertainty. In particular, in contrast to Poole's analysis, money supply responses to the nominal interest rate are not important determinants of real economic activity. Rather, the central bank should focus on policies that make movements in the general price level readily identifiable by economic agents.     

Critical reflections on research approaches, accounting regulation and the regulation of accounting

The design and choice of research approaches, the nature of accounting regulation and the reactions to these regulations in organisations, involving, in effect, the regulation of accounting, are three themes of considerable importance in accounting research. They are the three themes that have dominated the research agenda of the author throughout his academic career. This paper explores the nature of these three key research themes developing some critical reflections on what has been discovered about each of these themes using the author's sole and joint research and publications as a vehicle for this analysis.     

Irish accounting, business and financial history: a bibliographical essay

Historians have engaged with accounting and business archives primarily in the areas of social and economic history. While much economic and social history draws on macro-economic data, micro-level sources have cast new light on old historical problems such as the Great Famine (1845-51) and the development of trade in Ireland and between Ireland and abroad. This paper traces the contributions of historians of Ireland to our understanding of accounting, business and financial history and maps out potential areas of research for accounting and business historians in the light of earlier and current trends in historical research. Adopting a historians' perspective, the paper will also provide a historical background and suggest potential bibliographical and archival sources to present and future accounting and business historians with a view to enhancing and enriching our understanding of the context in which accounting and business is situated in Ireland.     

The development of management accounting in UK clearing banks, 1920-70

There is a perception that, in the British banks which dominated the industry for much of the twentieth century, management accounting was limited in scope and contributed to a general inefficiency in these institutions. Various official reports published from the 1960s until very recently have reinforced this view. However, some authors have argued that the banks were more sophisticated in their management than such criticisms would imply. This paper investigates the role, development and limitations of management accounting in the sector, drawing on archival evidence and relating this to the more general development of management accounting. In advancing our understanding, evidence is found to support both views.     

Reporting accounting changes and fundamental errors: a teaching note

Mastering the requirements for reporting accounting changes and fundamental errors in comparative statements is a challenging topic for many accounting students. Because authoritative literature focuses on identifying events and associating them with reporting methods, many illustrative examples confound the differences between reporting methods with the differences between the factual situations in which the methods apply. This paper presents a single-context teaching aid that focuses on mastering basic reporting methods inherent in the International Accounting Standard governing accounting changes and in the US generally accepted accounting principles. Suggestions are also provided for class discussions of issues surrounding the reporting of accounting changes and fundamental errors.     

Management accounting in Europe: a view from Canada

On the basis of a reading ofManagement Accounting: European Perspectivesedited by Al Bhimani (1996) there appears to be no historical pan-European perspective on management accounting. However, following the advent of the relevance lost and strategic cost management movements, and especially activity-based costing, there does seem to be emerging a certain homogeneity in European management accounting practices. This commentary questions the intellectual and practical basis for these movements and activity-based costing. It also identifies some of the particular achievements of European management accounting researchers which are not covered in the book.     

Management accounting practices in Europe: a perspective from the States

I provide a perspective from the States on four questions primarily based on information inManagement Accounting: European Perspectivesedited by Al Bhimani (1996). First, seven factors are identified as having shaped management accounting practices in European nations—academics, education, government, professional associations, consultants, technology, and the inter-nation transfer of information. Second, evidence supports the view that, across European nations, more changes are occurring in management accounting practice terminology and techniques than in the purposes and styles of using management accounting techniques. Third, evidence indicates that there is convergence across European nations in management accounting practices, especially in terminology and techniques, but less convergence in the purposes and styles of using techniques. Fourth, management accounting practices in European nations, particularly terminology and techniques, is converging on a global management accounting practice model. I propose that management accounting practices—particularly terminology and techniques—is converging across nations (at least for those firms that are affected by the global economy)anddiverging across industries both within and between nations.