WHY ISSUE TRACKING STOCK? INSIGHTS FROM A COMPARISON WITH SPIN‐OFFS AND CARVE‐OUTS

In recent years, tracking stocks, which amount to a new form of corporate restructuring, have been gaining in popularity. In 1999 alone, 17 companies announced new tracking stock issues, and by February 2000 there were 40 tracking stocks trading in the U.S. equity markets. Why have tracking stocks become so popular in recent years? In this article, the authors present new evidence on the effectiveness of tracking stock issues in creating shareholder value as compared to the record of two other closely related forms of corporate restructuring—spin‐offs and equity carve‐outs. The authors find that the parents and subsidiaries of tracking‐stock firms are more “related” than those that undertake the other two forms of corporate restructuring, that there is a positive announcement effect (similar in size to that of spin‐offs but greater than that of equity carve‐outs) on stock prices, and that the number of analysts following the firm increases following the issuance of tracking stock. These findings are interpreted as suggesting that the main corporate motives for issuing tracking stock are the valuation benefits from providing investors with more information about the newly listed subsidiary, while at the same time preserving the existing synergies between the business units involved. This maintenance of existing synergies, however, appears to have come at a significant price. Under the tracking stock structure, there seem to be no benefits attributable, as in the case of spin‐offs, to improvements in corporate governance. While spinoffs significantly increase the probability that the parents or subsidiaries will later be taken over (with its disciplining effect on management), there is no such increase in takeover probability for firms issuing tracking stock. Consistent with this difference, the authors find that the market‐adjusted two‐year holding period return for tracking stock parents and subsidiaries is significantly lower than the corresponding return for spinoffs and their corporate parents.     

INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!

We compare individual U.S. equity return data from Thomson Datastream (TDS) with similar data from the Center for Research in Security Prices (CRSP) to evaluate TDS for use in studies involving large numbers of individual equities in markets outside the United States. We document important issues of coverage, classification, and data integrity and find that naive use of TDS data can have a large impact on economic inferences. We show that after careful screening of the TDS data, inferences drawn from TDS data are similar to those drawn from CRSP. We illustrate the importance of the screens we develop using U.S. TDS data by applying the screens to TDS data from four European equity markets.     

SCENES FROM A BUDGET: HELPING THE POLICE WITH THEIR ACCOUNTING ENQUIRIES

Accounting information, when used in organizations for decision-making purposes, joins with other types of information to help define and interpret situations. In an effort to portray the role played by accounting information and that of the Treasurer in the construction of the budget of an English Police Authority, this paper explores through a dramaturgical metaphor the events which led to the setting of the budget.     

OPTIMAL PORTFOLIO SELECTION WITH A SHORTFALL PROBABILITY CONSTRAINT: EVIDENCE FROM ALTERNATIVE DISTRIBUTION FUNCTIONS

We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results indicate that the loss-averse portfolio outperforms the widely used mean-variance approach based on the cumulative cash values, geometric mean returns, and average risk-adjusted returns. We also evaluate the relative performance of the loss-averse portfolio with normal, symmetric thin-tailed, symmetric fat-tailed, and skewed fat-tailed return distributions in terms of average return, risk, and average risk-adjusted return.     

ASSET PRICING WITH IN- AND OUTFLOW CONSTRAINTS: THEORY AND EMPIRICAL EVIDENCE FROM SWEDEN

The paper analyzes asset pricing and portfolio choice when domestic investors collectively cannot hold foreign assets beyond a maximum value. We add the constraint that foreign investors cannot hold more than a fraction of the shares of domestic assets. Consistent with Swedish stock market data, both domestic and foreign investors pay premiums for investing in the other country's assets. Some empirical observations are inconsistent with the CAPM framework.     

A RECONSIDERATION OF DISCRIMINATION IN MORTGAGE UNDERWRITING WITH DATA FROM A NATIONAL MORTGAGE BANK

This paper, analyzing over 12,000 conventional and FHA/VA loan applications to a national mortgage lender in the 1989–1990 period, argues that mortgage denials occur only in a minority of cases, where the borrower has not learned the lender's underwriting rules in advance. Widespread borrower foreknowledge of such rules is demonstrated by a discriminant finding that 9 of 10 borrowers correctly choose whether to apply under FHA vs. conventional programs, based on financial and equity characteristics. This contrasts with the far lower ability of econometric models to identify approval/denial outcomes. It is revealing that denials on the basis of credit problems, the only important information generally not available until post application, account for most racial/ethnic differences and borrower education affects the probability of approval of government insured loans more than loan to value. Contrary to common assumptions, race differences in FHA/VA lending a re at least as pronounced as in conventional lending; and outcomes for Asians, correctly measured, diverge as much from outcomes for whites, as do outcomes for Hispanics and African American.     

中国银行党委副书记、副董事长、行长刘金 冰雪与新春交融 中行与冬奥共庆

点燃冰雪激情,共襄冬奥盛举。“2月4日,举世瞩目的第24届冬奥会、冬残奥会将在北京盛大开幕。中国银行作为本次冬奥会的唯一银行合作伙伴,我们的各项筹备工作已经全部就绪。”1月20日,第279场银行业保险业例行新闻发布会在北京召开,中国银行党委副书记、副董事长、行长刘金表示,从2017年7月中国银行与北京冬奥组委签约以来,中国银行坚决落实党中央、国务院决策部署,牢记冬奥合作伙伴的承诺,充分发挥全球化、综合化优势,举全行之力统筹冬奥金融服务。     

DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES

We revisit the traditional return‐based style analysis in the presence of time‐varying exposures and errors‐in‐variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy.     

HIGH‐FREQUENCY EXCHANGE‐RATE PREDICTION WITH AN ARTIFICIAL NEURAL NETWORK

This paper examines how market microstructure variables can be used to forecast foreign exchange (FX) rates at frequencies of one to several minutes. We use a unique FX dataset of global inter‐dealer electronic transactions and applied the artificial neural network (ANN) as the predicting model. The immediately preceding bid and ask prices are significant factors in these predictions, which is in keeping with market microstructure theory. These microstructure factors have not been tested in an ANN model before. High‐frequency trading strategies based on the ANN model are shown to be profitable even when transaction costs are included. Copyright © 2012 John Wiley & Sons, Ltd.     

MODELING THE TERM STRUCTURE FROM THE ON‐THE‐RUN TREASURY YIELD CURVE

We propose a new model to estimate the term structure of interest rates using observed on‐the‐run Treasury yields. The new model is an improvement over models that require a priori knowledge of the shape of the yield curve to estimate the term structure. The general form of the model is an exponential function that depends on the estimation of four parameters fit by nonlinear least squares and has straightforward interpretations. In comparing the proposed model with current yield‐curve‐smoothing models, we find that, for the data used, the proposed model does best overall in terms of pricing accuracy both in sample and out of sample. JEL classification: E43, G12     

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@zxyld123.笑看白云：国际经济疲软在减少出口需求的同时,也将推动经济结构调整和产业升级。近年来,在国际市场大动荡的背景下,中国的＂经济转型＂的重要和及时性;尽管目前国际经济环境对中国出口和金融资产产生不利影响,便对于国内房地产调控和抑制通胀等问题的解决是有利的。     

主编致辞

刚刚过去的2003年中,伟大的祖国取得了举世瞩目的辉煌成就。众志成城战胜“非典”,十六届三中全会吹响了完善社会主义市场机制的号角,载人航天飞船成功发射,圆了中华民族千年的飞天梦想……这些成就振奋人心,鼓舞士气,使全国人民以饱满的热情投身于社会主义市场经济建设大潮中,     

来自公司

中国国企在2008年后不再实施政策性关闭破产国务院国有资产监督管理委员会副主任邵宁在日前举行的全国国有企业关闭破产工作会议上表示,中国国有企业实施政策性关闭破产的期限为2005年至2008年。2008年后不再实施政策性关闭破产。邵宁说,今后4年,企业关闭破产工作的重点是贯彻落实国务院批准同意的总体规划。总体规划重点支持东北老工业基地的振兴和中西部地区的发展;重点做好军工、煤炭、有色金属等行